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/*
 * Copyright (C) 2016 - present by OpenGamma Inc. and the OpenGamma group of companies
 *
 * Please see distribution for license.
 */
package com.opengamma.strata.pricer.fx;

import com.opengamma.strata.basics.currency.CurrencyAmount;
import com.opengamma.strata.basics.currency.FxRate;
import com.opengamma.strata.basics.currency.MultiCurrencyAmount;
import com.opengamma.strata.collect.ArgChecker;
import com.opengamma.strata.market.sensitivity.PointSensitivities;
import com.opengamma.strata.pricer.rate.RatesProvider;
import com.opengamma.strata.product.fx.ResolvedFxNdf;
import com.opengamma.strata.product.fx.ResolvedFxNdfTrade;

/**
 * Pricer for FX non-deliverable forward (NDF) trades.
 * 

* This provides the ability to price an {@link ResolvedFxNdfTrade}. * The product is priced using forward curves for the currency pair. */ public class DiscountingFxNdfTradePricer { /** * Default implementation. */ public static final DiscountingFxNdfTradePricer DEFAULT = new DiscountingFxNdfTradePricer( DiscountingFxNdfProductPricer.DEFAULT); /** * Pricer for {@link ResolvedFxNdf}. */ private final DiscountingFxNdfProductPricer productPricer; /** * Creates an instance. * * @param productPricer the pricer for {@link ResolvedFxNdf} */ public DiscountingFxNdfTradePricer( DiscountingFxNdfProductPricer productPricer) { this.productPricer = ArgChecker.notNull(productPricer, "productPricer"); } //------------------------------------------------------------------------- /** * Calculates the present value of the trade. *

* The present value of the trade is the value on the valuation date. * The present value is returned in the settlement currency. * * @param trade the trade * @param provider the rates provider * @return the present value of the trade in the settlement currency */ public CurrencyAmount presentValue(ResolvedFxNdfTrade trade, RatesProvider provider) { return productPricer.presentValue(trade.getProduct(), provider); } /** * Calculates the present value curve sensitivity of the trade. *

* The present value sensitivity of the trade is the sensitivity of the present value to * the underlying curves. * * @param trade the trade * @param provider the rates provider * @return the point sensitivity of the present value */ public PointSensitivities presentValueSensitivity(ResolvedFxNdfTrade trade, RatesProvider provider) { return productPricer.presentValueSensitivity(trade.getProduct(), provider); } //------------------------------------------------------------------------- /** * Calculates the currency exposure by discounting each payment in its own currency. * * @param trade the trade * @param provider the rates provider * @return the currency exposure */ public MultiCurrencyAmount currencyExposure(ResolvedFxNdfTrade trade, RatesProvider provider) { return productPricer.currencyExposure(trade.getProduct(), provider); } /** * Calculates the current cash of the trade. * * @param trade the trade * @param provider the rates provider * @return the current cash of the trade in the settlement currency */ public CurrencyAmount currentCash(ResolvedFxNdfTrade trade, RatesProvider provider) { return productPricer.currentCash(trade.getProduct(), provider); } //------------------------------------------------------------------------- /** * Calculates the forward exchange rate. * * @param trade the trade * @param provider the rates provider * @return the forward rate */ public FxRate forwardFxRate(ResolvedFxNdfTrade trade, RatesProvider provider) { return productPricer.forwardFxRate(trade.getProduct(), provider); } }





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