Package com.opengamma.analytics.financial.interestrate.payments

Examples of com.opengamma.analytics.financial.interestrate.payments.ForexForward


  //TODO determine domestic and notional from dominance data
  private static ForexForward getFXForward(final Currency ccy1, final Currency ccy2, final double paymentTime, final double spotFX, final double forwardFX,
      final String curveName1, final String curveName2) {
    final PaymentFixed paymentCurrency1 = new PaymentFixed(ccy1, paymentTime, 1, curveName1);
    final PaymentFixed paymentCurrency2 = new PaymentFixed(ccy2, paymentTime, -1. / forwardFX, curveName2);
    return new ForexForward(paymentCurrency1, paymentCurrency2, spotFX);
  }
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  //TODO determine domestic and notional from dominance data
  private static ForexForward getFXForward(final Currency ccy1, final Currency ccy2, final double paymentTime, final double spotFX, final double forwardFX,
      final String curveName1, final String curveName2) {
    final PaymentFixed paymentCurrency1 = new PaymentFixed(ccy1, paymentTime, 1, curveName1);
    final PaymentFixed paymentCurrency2 = new PaymentFixed(ccy2, paymentTime, -1. / forwardFX, curveName2);
    return new ForexForward(paymentCurrency1, paymentCurrency2, spotFX);
  }
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