FxForward

A single-settlement FX forward: exchange foreignNotional of foreign currency for strike reporting-currency per unit at settlementYears. At a grid date t the forward FX rate is rebuilt from the simulated FX spot and the two discount curves,

F(t, T) = fxSpot(t) * P_foreign(t, T) / P_domestic(t, T)
value(t) = side * foreignNotional * (F(t, T) - strike) * P_domestic(t, T)

so the trade contributes FX delta and FX-vega to the netting-set CVA gradient alongside the swaps' rate risk.

View source ↗Full module reference on javadoc.io ↗

Record components

id: String
side: Side
foreignNotional: double
strike: double
settlementYears: double

Methods

String toString()

double grossNotional()

double effectiveMaturityYears()

ADouble markToMarket(Path path, double t)