Package com.activeviam.risk.ref.services.impl

Class FXRates

java.lang.Object

com.activeviam.risk.ref.services.impl.FXRates

All Implemented Interfaces:

IFXRates

public class FXRates
extends Object
implements IFXRates

Implementation of IFXRates

Field Summary

Fields

Modifier and Type	Field	Description
String	commonCcy	Common currency used for indirect FX rate lookups
static Logger	LOGGER
static String	SPOT_RATE

Constructor Summary

Constructors

Constructor	Description
FXRates(String commonCcy, String tenorAndMaturityDefaultValue, String moneynessDefaultValue)

Method Summary

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.
com.quartetfs.fwk.impl.Pair<String,com.qfs.vector.IVector>	getMarketShiftDirect(com.qfs.store.IDatastoreVersion datastore, LocalDate asOfDate, String baseCcy, String counterCcy, String marketDataSet, String scenarioSet)
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.
static Double	getSpotFXRate(com.qfs.store.IDatastoreVersion datastore, LocalDate asOfDate, String baseCcy, String counterCcy, String commonCcy, com.quartetfs.biz.pivot.IActivePivot activePivot, List<Object> leafCoordinates, String marketDataSet)	Lookup the spot FX rate between two currencies.
static Double	getSpotFXRateDirect(com.qfs.store.IDatastoreVersion datastore, LocalDate asOfDate, String baseCcy, String counterCcy, String marketDataSet)	Queries the datastore directly for the spot FX rate.
static Double	getSpotFXRateDirectOrReverse(com.qfs.store.IDatastoreVersion datastore, LocalDate asOfDate, String baseCcy, String counterCcy, String marketDataSet)	Queries the datastore for the direct spot rate, if not found queries the reverse spot rate and returns the reciprocal.
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.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Field Detail

LOGGER

public static final Logger LOGGER

SPOT_RATE

public static final String SPOT_RATE

See Also:

Constant Field Values

commonCcy

public final String commonCcy

Common currency used for indirect FX rate lookups

Constructor Detail

FXRates

public FXRates(String commonCcy,
               String tenorAndMaturityDefaultValue,
               String moneynessDefaultValue)

Method Detail

getSpotFXRate

public 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.

Specified by:

getSpotFXRate in interface IFXRates

Parameters:

datastore - The datastore version to get the FX Rates from

asOfDate - AsOf Date

baseCcy - base currency (USD for the USD/EUR rate)

counterCcy - quote currency (EUR for the USD/EUR rate)

activePivot - ActivePivot instance

leafCoordinates - Coordinates extracted from additional FX Rates Level Info

marketDataSet - Set of fx rates to use

Returns:

FX rate between those two currencies, or null if no rate found.

getSpotFXRateWithErrorHandling

public 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.

Specified by:

getSpotFXRateWithErrorHandling in interface IFXRates

Parameters:

datastore - The datastore version to get the FX Rates from

asOfDate - AsOf Date

baseCcy - base currency (USD for the USD/EUR rate)

counterCcy - quote currency (EUR for the USD/EUR rate)

activePivot - ActivePivot instance

leafCoordinates - Coordinates extracted from additional FX Rates Level Info

marketDataSet - Set of fx rates to use

Returns:

FX rate between those two currencies, or null if no rate found.

getSpotFXRate

public static Double getSpotFXRate(com.qfs.store.IDatastoreVersion datastore,
                                   LocalDate asOfDate,
                                   String baseCcy,
                                   String counterCcy,
                                   String commonCcy,
                                   com.quartetfs.biz.pivot.IActivePivot activePivot,
                                   List<Object> leafCoordinates,
                                   String marketDataSet)

Lookup the spot FX rate between two currencies. Try direct lookup first, if not found try using common currency.

Parameters:

datastore - The datastore version to get the FX Rates from

asOfDate - AsOf Date

baseCcy - base currency (USD for the USD/EUR rate)

counterCcy - quote currency (EUR for the USD/EUR rate)

commonCcy - common currency used for indirect lookup.

activePivot - ActivePivot instance

leafCoordinates - Coordinates extracted from additional FX Rates Level Info

marketDataSet - Set of fx rates to use

Returns:

FX rate between the base and counter currencies, or null if no rate found.

getSpotFXRateDirectOrReverse

public static Double getSpotFXRateDirectOrReverse(com.qfs.store.IDatastoreVersion datastore,
                                                  LocalDate asOfDate,
                                                  String baseCcy,
                                                  String counterCcy,
                                                  String marketDataSet)

Queries the datastore for the direct spot rate, if not found queries the reverse spot rate and returns the reciprocal.

Parameters:

datastore - The datastore version to get the FX Rates from

asOfDate - AsOf Date

baseCcy - base currency (USD for the USD/EUR rate)

counterCcy - quote currency (EUR for the USD/EUR rate)

marketDataSet - Set of fx rates to use

Returns:

The direct or reverse rate between two currencies, depending on which is available.

getSpotFXRateDirect

public static Double getSpotFXRateDirect(com.qfs.store.IDatastoreVersion datastore,
                                         LocalDate asOfDate,
                                         String baseCcy,
                                         String counterCcy,
                                         String marketDataSet)

Queries the datastore directly for the spot FX rate.

Parameters:

datastore - The datastore version to get the FX Rates from

asOfDate - AsOf Date

baseCcy - base currency (USD for the USD/EUR rate)

counterCcy - quote currency (EUR for the USD/EUR rate)

marketDataSet - Set of fx rates to use

Returns:

The direct rate between two currencies, from the datastore.

getMarketShift

public 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)

Description copied from interface: IFXRates

Retrieve the FX market shifts between two currencies. The shifted FX rate = (marketShift + 1) * fxRate

Specified by:

getMarketShift in interface IFXRates

Parameters:

datastore - The datastore version to get the FX Rates from

asOfDate - AsOf Date

baseCcy - base currency (USD for the USD/EUR rate)

counterCcy - quote currency (EUR for the USD/EUR rate)

activePivot - ActivePivot instance

leafCoordinates - Coordinates extracted from additional FX Rates Level Info

marketDataSet - Set of fx rates to use

scenarioSet - The VaR scenarios that the vector must match

Returns:

FX market shifts between those two currencies, or null if no rate found.

getDetailedMarketShift

public 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)

Description copied from interface: IFXRates

Retrieve the FX market shifts between two currencies. The shifted FX rate = (marketShift + 1) * fxRate

Specified by:

getDetailedMarketShift in interface IFXRates

Parameters:

datastore - The datastore version to get the FX Rates from

asOfDate - AsOf Date

baseCcy - base currency (USD for the USD/EUR rate)

counterCcy - quote currency (EUR for the USD/EUR rate)

activePivot - ActivePivot instance

leafCoordinates - Coordinates extracted from additional FX Rates Level Info

marketDataSet - Set of fx rates to use

scenarioSet - The VaR scenarios that the vector must match

Returns:

FX market shifts between those two currencies, or null if no rate found.

getMarketShiftDirect

public com.quartetfs.fwk.impl.Pair<String,com.qfs.vector.IVector> getMarketShiftDirect(com.qfs.store.IDatastoreVersion datastore,
                                                                                             LocalDate asOfDate,
                                                                                             String baseCcy,
                                                                                             String counterCcy,
                                                                                             String marketDataSet,
                                                                                             String scenarioSet)