Uses of Class
com.quantfinlib.fx.FxSwap

Packages that use FxSwap

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 FxSwap in com.quantfinlib.fx

Methods in com.quantfinlib.fx that return FxSwap

Modifier and Type	Method	Description
static FxSwap	FxSwap.atMarket(SwapPointsCurve curve, String nearTenor, String farTenor, double baseNotional)	At-market swap struck off a points curve: both legs at the curve's outrights, so inception value is zero by construction.
static FxSwap	FxSwap.of(CurrencyPair pair, double baseNotional, LocalDate nearDate, double nearRate, LocalDate farDate, double farRate)	Explicit legs (off-market swaps, historical bookings).