Class SwapPointsCurve

java.lang.Object
com.quantfinlib.fx.SwapPointsCurve
public final class SwapPointsCurve extends Object
FX forward (swap-points) curve: the market's quoted forward points per tenor, turned into outright forwards for any settlement date.

Forward FX does not trade as outright prices. It trades as points (pips to add to spot) at standard tenors (ON, 1W, 1M, 3M, ...). This class stores the pillar dates resolved through CurrencyPair.tenorDate(LocalDate, String) (so modified-following / end-end are already applied) and interpolates points linearly in actual days between pillars, the interbank convention for broken dates. Beyond the last pillar it extrapolates the slope of the final segment; before the first pillar it interpolates from zero points at spot. Interpolating points linearly in days ignores the discount-factor structure of the forward; that is the interbank convention for broken dates within a year and becomes biased for long dates with large carry, where interpolating the implied carry is better. Pre-spot dates (today, tomorrow) are read from explicit SwapPointsCurve.Builder.preSpot quotes.

Covered interest parity connects the curve to rates: with continuously compounded rates, F = S * exp((r_quote - r_base) * tau). The impliedCarry(LocalDate) accessor inverts that, giving the rate differential the points imply — the bridge to rates.YieldCurve bootstrapping and the input NDF pricing needs for restricted currencies.

The curve is immutable after SwapPointsCurve.Builder.build(); lookups are allocation-free (binary search over primitive arrays), so a pricing loop can call outright(LocalDate) per tick if needed.

  • Method Details

    • builder

      public static SwapPointsCurve.Builder builder(CurrencyPair pair, LocalDate tradeDate, double spotRate)

    • forwardPoints

      public double forwardPoints(LocalDate valueDate)
      Interpolated forward points (price terms) for a settlement date: linear in actual days, anchored at zero on the spot date.

    • outright

      public double outright(LocalDate valueDate)
      Outright forward: spot plus interpolated points.

    • outright

      public double outright(String tenor)
      Outright forward for a market tenor of this curve's pair.

    • impliedCarry

      public double impliedCarry(LocalDate valueDate)
      Continuously compounded rate differential (quote minus base) implied by covered interest parity at a date: ln(F/S) / tau, ACT/365. Positive when the quote currency yields more (points ascending).

    • impliedCarry

      public double impliedCarry(LocalDate valueDate, DayCount dayCount)
      impliedCarry(LocalDate) with tau measured in the given day count.

    • spotDate

      public LocalDate spotDate()
      The spot settlement date all pillar offsets are measured from.

    • spotRate

      public double spotRate()

    • pair

      public CurrencyPair pair()

    • pillarTenors

      public String[] pillarTenors()
      Pillar tenors in date order (diagnostics/reporting).