/**
* Obtains an instance from currency pair, reference currency, reference date and sensitivity
* value.
*
* <p>The sensitivity currency is defaulted to be a currency of the currency pair that is not the
* reference currency.
*
* @param currencyPair the currency pair
* @param referenceCurrency the reference currency
* @param referenceDate the reference date
* @param sensitivity the value of the sensitivity
* @return the point sensitivity object
*/
public static FxForwardSensitivity of(
CurrencyPair currencyPair,
Currency referenceCurrency,
LocalDate referenceDate,
double sensitivity) {
boolean inverse = referenceCurrency.equals(currencyPair.getCounter());
CurrencyPair pair = inverse ? currencyPair.inverse() : currencyPair;
Currency sensitivityCurrency = pair.getCounter();
return new FxForwardSensitivity(
currencyPair, referenceCurrency, referenceDate, sensitivityCurrency, sensitivity);
}
/**
* Gets the currency counter to the reference currency.
*
* <p>The currency pair contains two currencies. One is the reference currency. This method
* returns the other.
*
* @return the counter currency
*/
public Currency getReferenceCounterCurrency() {
boolean inverse = referenceCurrency.equals(currencyPair.getBase());
return inverse ? currencyPair.getCounter() : currencyPair.getBase();
}
/**
* Gets the FX rate for the specified currency pair on the valuation date.
*
* <p>The rate returned is the rate from the base currency to the counter currency as defined by
* this formula: {@code (1 * baseCurrency = fxRate * counterCurrency)}.
*
* @param currencyPair the ordered currency pair defining the rate required
* @return the current FX rate for the currency pair
* @throws IllegalArgumentException if the rate is not available
*/
@Override
public default double fxRate(CurrencyPair currencyPair) {
return fxRate(currencyPair.getBase(), currencyPair.getCounter());
}
