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(java.time.LocalDate, java.lang.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.

Covered interest parity connects the curve to rates: with continuously compounded rates, F = S * exp((r_quote - r_base) * tau). The impliedCarry(java.time.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(java.time.LocalDate) per tick if needed.

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static final class	SwapPointsCurve.Builder	Accumulates tenor/points quotes, then freezes them into a curve.

Method Summary

Modifier and Type	Method	Description
static SwapPointsCurve.Builder	builder(CurrencyPair pair, LocalDate tradeDate, double spotRate)
double	forwardPoints(LocalDate valueDate)	Interpolated forward points (price terms) for a settlement date: linear in actual days, anchored at zero on the spot date.
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.
double	outright(String tenor)	Outright forward for a market tenor of this curve's pair.
double	outright(LocalDate valueDate)	Outright forward: spot plus interpolated points.
CurrencyPair	pair()
String[]	pillarTenors()	Pillar tenors in date order (diagnostics/reporting).
LocalDate	spotDate()	The spot settlement date all pillar offsets are measured from.
double	spotRate()

Methods inherited from class java.lang.Object

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

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).

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).