Record Class MultiCurrencyExposureSimulator.ForeignSwap

java.lang.Object

java.lang.Record

com.quantfinlib.credit.MultiCurrencyExposureSimulator.ForeignSwap

Record Components:

pair - index into MultiCurrencyExposureSimulator.Market.foreign()

terms - swap terms (notional in that foreign currency)

projection - foreign projection curve, or null for the foreign discount curve

Enclosing class:

MultiCurrencyExposureSimulator

public static record MultiCurrencyExposureSimulator.ForeignSwap(int pair, MultiCurrencyExposureSimulator.SwapTerms terms, MultiCurrencyExposureSimulator.Curve projection)
extends Record

A swap in a foreign currency (added in 2.3). Its legs are valued with that currency's Hull-White curve and state, in foreign units, and converted to domestic at the simulated spot of the pair, so the domestic-measure value S_c(t) * V_c(t) is a martingale after discounting with the domestic bank account (tested). The projection basis, if any, is deterministic against the foreign discount curve.

Constructor Summary

Constructors

Constructor	Description
ForeignSwap(int pair, MultiCurrencyExposureSimulator.SwapTerms terms, MultiCurrencyExposureSimulator.Curve projection)	Validates.

Method Summary

Modifier and Type	Method	Description
final boolean	equals(Object o)	Indicates whether some other object is "equal to" this one.
final int	hashCode()	Returns a hash code value for this object.
int	pair()	Returns the value of the pair record component.
MultiCurrencyExposureSimulator.Curve	projection()	Returns the value of the projection record component.
MultiCurrencyExposureSimulator.SwapTerms	terms()	Returns the value of the terms record component.
final String	toString()	Returns a string representation of this record class.

Methods inherited from class Object

clone, finalize, getClass, notify, notifyAll, wait, wait, wait

Constructor Details

ForeignSwap

public ForeignSwap(int pair,
 MultiCurrencyExposureSimulator.SwapTerms terms,
 MultiCurrencyExposureSimulator.Curve projection)

Validates.

Method Details

toString

public final String toString()

Returns a string representation of this record class. The representation contains the name of the class, followed by the name and value of each of the record components.

Specified by:

toString in class Record

Returns:

a string representation of this object

hashCode

public final int hashCode()

Returns a hash code value for this object. The value is derived from the hash code of each of the record components.

Specified by:

hashCode in class Record

Returns:

a hash code value for this object

equals

public final boolean equals(Object o)

Indicates whether some other object is "equal to" this one. The objects are equal if the other object is of the same class and if all the record components are equal. Reference components are compared with Objects::equals(Object,Object); primitive components are compared with the compare method from their corresponding wrapper classes.

Specified by:

equals in class Record

Parameters:

o - the object with which to compare

Returns:

true if this object is the same as the o argument; false otherwise.

pair

public int pair()

Returns the value of the pair record component.

Returns:

the value of the pair record component

terms

public MultiCurrencyExposureSimulator.SwapTerms terms()

Returns the value of the terms record component.

Returns:

the value of the terms record component

projection

public MultiCurrencyExposureSimulator.Curve projection()

Returns the value of the projection record component.

Returns:

the value of the projection record component