Interface IFXRates
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- All Known Implementing Classes:
FXRates
public interface IFXRates
Interface for retrieving FX rates. Used by the postprocessors in the core; implemented in the reference implementation (or project).
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Method Summary
All Methods Instance Methods Abstract Methods Default Methods Modifier and Type Method Description Map<String,com.qfs.vector.IVector>
getDetailedMarketShift(com.qfs.store.IDatastoreVersion datastore, LocalDate asOfDate, String baseCcy, String counterCcy, com.quartetfs.biz.pivot.IActivePivot activePivot, List<Object> leafCoordinates, String marketDataSet, String scenarioSet)
Retrieve the FX market shifts between two currencies.com.qfs.vector.IVector
getMarketShift(com.qfs.store.IDatastoreVersion datastore, LocalDate asOfDate, String baseCcy, String counterCcy, com.quartetfs.biz.pivot.IActivePivot activePivot, List<Object> leafCoordinates, String marketDataSet, String scenarioSet)
Retrieve the FX market shifts between two currencies.Double
getSpotFXRate(com.qfs.store.IDatastoreVersion datastore, LocalDate asOfDate, String baseCcy, String counterCcy, com.quartetfs.biz.pivot.IActivePivot activePivot, List<Object> leafCoordinates, String marketDataSet)
Retrieve the spot FX rate between two currencies.default Double
getSpotFXRateWithErrorHandling(com.qfs.store.IDatastoreVersion datastore, LocalDate asOfDate, String baseCcy, String counterCcy, com.quartetfs.biz.pivot.IActivePivot activePivot, List<Object> leafCoordinates, String marketDataSet)
Retrieve the spot FX rate between two currencies with error handling.
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Method Detail
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getSpotFXRate
Double getSpotFXRate(com.qfs.store.IDatastoreVersion datastore, LocalDate asOfDate, String baseCcy, String counterCcy, com.quartetfs.biz.pivot.IActivePivot activePivot, List<Object> leafCoordinates, String marketDataSet)
Retrieve the spot FX rate between two currencies.- Parameters:
datastore
- The datastore version to get the FX Rates fromasOfDate
- AsOf DatebaseCcy
- base currency (USD for the USD/EUR rate)counterCcy
- quote currency (EUR for the USD/EUR rate)activePivot
- ActivePivot instanceleafCoordinates
- Coordinates extracted from additional FX Rates Level InfomarketDataSet
- Set of fx rates to use- Returns:
- FX rate between those two currencies, or null if no rate found.
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getSpotFXRateWithErrorHandling
default Double getSpotFXRateWithErrorHandling(com.qfs.store.IDatastoreVersion datastore, LocalDate asOfDate, String baseCcy, String counterCcy, com.quartetfs.biz.pivot.IActivePivot activePivot, List<Object> leafCoordinates, String marketDataSet)
Retrieve the spot FX rate between two currencies with error handling.- Parameters:
datastore
- The datastore version to get the FX Rates fromasOfDate
- AsOf DatebaseCcy
- base currency (USD for the USD/EUR rate)counterCcy
- quote currency (EUR for the USD/EUR rate)activePivot
- ActivePivot instanceleafCoordinates
- Coordinates extracted from additional FX Rates Level InfomarketDataSet
- Set of fx rates to use- Returns:
- FX rate between those two currencies, or exception if no rate found.
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getMarketShift
com.qfs.vector.IVector getMarketShift(com.qfs.store.IDatastoreVersion datastore, LocalDate asOfDate, String baseCcy, String counterCcy, com.quartetfs.biz.pivot.IActivePivot activePivot, List<Object> leafCoordinates, String marketDataSet, String scenarioSet)
Retrieve the FX market shifts between two currencies. The shifted FX rate = (marketShift + 1) * fxRate- Parameters:
datastore
- The datastore version to get the FX Rates fromasOfDate
- AsOf DatebaseCcy
- base currency (USD for the USD/EUR rate)counterCcy
- quote currency (EUR for the USD/EUR rate)activePivot
- ActivePivot instanceleafCoordinates
- Coordinates extracted from additional FX Rates Level InfomarketDataSet
- Set of fx rates to usescenarioSet
- The VaR scenarios that the vector must match- Returns:
- FX market shifts between those two currencies, or null if no rate found.
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getDetailedMarketShift
Map<String,com.qfs.vector.IVector> getDetailedMarketShift(com.qfs.store.IDatastoreVersion datastore, LocalDate asOfDate, String baseCcy, String counterCcy, com.quartetfs.biz.pivot.IActivePivot activePivot, List<Object> leafCoordinates, String marketDataSet, String scenarioSet)
Retrieve the FX market shifts between two currencies. The shifted FX rate = (marketShift + 1) * fxRate- Parameters:
datastore
- The datastore version to get the FX Rates fromasOfDate
- AsOf DatebaseCcy
- base currency (USD for the USD/EUR rate)counterCcy
- quote currency (EUR for the USD/EUR rate)activePivot
- ActivePivot instanceleafCoordinates
- Coordinates extracted from additional FX Rates Level InfomarketDataSet
- Set of fx rates to usescenarioSet
- The VaR scenarios that the vector must match- Returns:
- FX market shifts between those two currencies, or null if no rate found.
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