@Override
public Map<String, List<DoublesPair>> visitForexForward(
final ForexForward fx, final YieldCurveBundle curves) {
final Map<String, List<DoublesPair>> senseP1 = visit(fx.getPaymentCurrency1(), curves);
final Map<String, List<DoublesPair>> senseP2 = visit(fx.getPaymentCurrency2(), curves);
// Note the sensitivities add rather than subtract here because the FX Forward is set up as a
// notional in one currency PLUS a notional in another with the opposite sign
return InterestRateCurveSensitivityUtils.addSensitivity(
senseP1, multiplySensitivity(senseP2, fx.getSpotForexRate()));
}
// TODO: review
@Override
public Double visitForexForward(final ForexForward fx, final YieldCurveBundle curves) {
// TODO this is not a par rate, it is a forward FX rate
final YieldAndDiscountCurve curve1 =
curves.getCurve(fx.getPaymentCurrency1().getFundingCurveName());
final YieldAndDiscountCurve curve2 =
curves.getCurve(fx.getPaymentCurrency2().getFundingCurveName());
final double t = fx.getPaymentTime();
return fx.getSpotForexRate() * curve2.getDiscountFactor(t) / curve1.getDiscountFactor(t);
}