Uses of Class
com.quantfinlib.fx.Ndf

Packages that use Ndf
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 Ndf in com.quantfinlib.fx

    Methods in com.quantfinlib.fx that return Ndf
    Modifier and Type
    Method
    Description
    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.