Uses of Class
com.quantfinlib.fx.CurrencyPair

Packages that use CurrencyPair

Package

Description

com.quantfinlib.fx

FX-specific market machinery — spot conventions through NDFs: CurrencyPair (pip/precision tables, T+1/T+2 spot lags, dual-calendar tenor dates with modified-following and end-end), SwapPointsCurve (quoted forward points → outrights, broken dates linear in days, covered-interest-parity carry), FxSwap (near/far legs, points MTM, roll cost), Ndf (fixing vs settlement lags per restricted currency, USD-settled difference amounts), FxVolSurface (delta-quoted smiles — ATM DNS, RR/BF wings, premium-adjusted delta↔strike solving), FixingRisk (WM/R-window TWAP/VWAP tracking error and participation), and the hot-path pieces: AggregatedBook (zero-alloc multi-venue BBO with venue attribution), CrossRateEngine (streaming synthetic crosses chained on the bus consumer thread), FxTierBook (per-LP size-tier ladders: sweep cost and full-amount quotes), LpScorecard (streaming last-look analytics: reject rate, hold, post-reject markout), LpRouter (expected-all-in routing that prices rejects into the decision) and SyntheticCross (direct-vs-legs execution arithmetic with spread composition).

Uses of CurrencyPair in com.quantfinlib.fx

Methods in com.quantfinlib.fx that return CurrencyPair

Modifier and Type	Method	Description
static CurrencyPair	CurrencyPair.custom(String base, String quote, double pipSize, int pricePrecision, int spotLagDays, BusinessCalendar baseCalendar, BusinessCalendar quoteCalendar)	Fully custom conventions (exotic pairs, onshore fixings, tests).
static CurrencyPair	CurrencyPair.of(String pair)	Standard conventions for a 6-letter pair code ("EURUSD", "USDJPY", ...), weekends-only calendars.
static CurrencyPair	CurrencyPair.of(String base, String quote)	Standard conventions for an explicit base/quote, weekends-only calendars.
CurrencyPair	FxSwap.pair()
CurrencyPair	Ndf.pair()
CurrencyPair	SwapPointsCurve.pair()
CurrencyPair	CurrencyPair.withCalendars(BusinessCalendar baseCalendar, BusinessCalendar quoteCalendar)	Same conventions with real holiday calendars for each currency's center.

Methods in com.quantfinlib.fx with parameters of type CurrencyPair

Modifier and Type	Method	Description
static SwapPointsCurve.Builder	SwapPointsCurve.builder(CurrencyPair pair, LocalDate tradeDate, double spotRate)
static FxSwap	FxSwap.of(CurrencyPair pair, double baseNotional, LocalDate nearDate, double nearRate, LocalDate farDate, double farRate)	Explicit legs (off-market swaps, historical bookings).
static Ndf	Ndf.of(CurrencyPair pair, double baseNotional, double contractRate, LocalDate fixingDate, LocalDate settlementDate)	Explicit dates (broken dates, historical bookings).
static Ndf	Ndf.of(CurrencyPair pair, LocalDate tradeDate, String tenor, double contractRate, double baseNotional)	Books an NDF at a market tenor: settlement from the pair's tenor arithmetic, fixing walked back by the restricted (quote) currency's lag counted in local (quote-calendar) business days — the market convention: an RBI/KFTC/PTAX fixing publishes on its local business days regardless of USD holidays.
static double	FxSwap.rollCost(CurrencyPair pair, double baseNotional, double tomNextPips)	Cost in quote currency of rolling a base position one day at a quoted tom-next rate: what a position holder pays (or earns, when negative) to push settlement from tomorrow to the next day.
static double	FixingRisk.slippageVsFix(CurrencyPair pair, double achievedPrice, double fixPrice)	Realized slippage of an achieved price vs the fix print, in pips (signed, buy side).