Class SwapPointsCurve.Builder

java.lang.Object

com.quantfinlib.fx.SwapPointsCurve.Builder

Enclosing class:

SwapPointsCurve

public static final class SwapPointsCurve.Builder
extends Object

Accumulates tenor/points quotes, then freezes them into a curve.

Method Summary

Modifier and Type	Method	Description
SwapPointsCurve.Builder	add(String tenor, double pips)	Adds a pillar quoted in pips (market form: "1M EURUSD +12.6"), scaled by the pair's pip size internally.
SwapPointsCurve	build()
SwapPointsCurve.Builder	preSpot(LocalDate valueDate, double pipsToSpot)	Pre-spot value date (today or tomorrow) with the cumulative swap points, in pips, from that date to spot: the outright for that date is spot − points.

Methods inherited from class Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Method Details

add

public SwapPointsCurve.Builder add(String tenor,
 double pips)

Adds a pillar quoted in pips (market form: "1M EURUSD +12.6"), scaled by the pair's pip size internally. Negative points are normal when the base currency yields more than the quote currency.

preSpot

public SwapPointsCurve.Builder preSpot(LocalDate valueDate,
 double pipsToSpot)

Pre-spot value date (today or tomorrow) with the cumulative swap points, in pips, from that date to spot: the outright for that date is spot − points. For a T+2 pair, tomorrow takes the TN points and today takes ON + TN. The caller states the cumulative amount so no quoting-side convention is assumed here.

build

public SwapPointsCurve build()