Uses of Class
com.quantfinlib.fx.SwapPointsCurve

Packages that use SwapPointsCurve

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 SwapPointsCurve in com.quantfinlib.fx

Methods in com.quantfinlib.fx that return SwapPointsCurve

Modifier and Type	Method	Description
SwapPointsCurve	SwapPointsCurve.Builder.build()

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

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.
double	FxSwap.markToMarket(SwapPointsCurve current)	Undiscounted mark-to-market in quote currency against a current curve: each leg's (current forward − traded rate) × signed base notional.
double	FxSwap.markToMarket(SwapPointsCurve current, YieldCurve quoteDiscount)	Discounted mark-to-market: live-leg P&Ls discounted off a quote-currency zero curve (ACT/365 from the valuation curve's spot date).
double	Ndf.markToMarket(SwapPointsCurve current)	Undiscounted mark-to-market in base currency: the settlement formula evaluated at the curve's forward to the fixing date — the date the payoff actually references.
double	Ndf.markToMarket(SwapPointsCurve current, YieldCurve baseDiscount)	Discounted mark-to-market: the expected settlement discounted from the settlement date on a base-currency (USD) zero curve, ACT/365 from the curve's spot.