FX Calc Introduction

The FX Calc package provides classes for handling Currencies and Rates within the Foreign Exchange business. The package requires JDK8.

The FX Calculator is created via a FxRateCalculatorBuilder so that the FxRateCalculator can be immutable for a given set of parameters and rates (unless you provide a BaseFxRateProvider).

Ways to import Base Rates

The FX Calculator requires Base Rates to return rates, inverse rates or cross rates. There are 3 ways to import rates via the FxRateCalculatorBuilder

  1. addRateSnapshot(FxRate rate): add the rate to an internal map per CurrencyPair, an immutable map will be given to the Calculator so the bases rates will NOT change.
  2. ratesSnapshot(Collection<FxRate> rates): add a collection of rates to an internal map per CurrencyPair, an immutable map will be given to the Calculator so the bases rates will NOT change.
  3. baseFxRateProvider(BaseFxRateProvider) You then control when the Base Rates change, the Calculator will call the required CurrencyPair you either every time or once (if cacheBaseRates is true).

FXRate

Once you have an FXRate , you can call:

  • getBid: bid (amount the quoter would buy Ccy1 for a given amount of Ccy2).
  • getAsk: ask (amount the quoter would sell Ccy1 for a given amount of Ccy2).
  • getMid: (bid+ask)/2
  • convertAmountUsingBidOrAsk: Given a monetary amount in the original currency, calculate the resulting amount in the other currency, using BID or ASK.
  • getPaymentAmountForBuying: to get the amount you would get by buying a currency amount.
  • getReceiptAmountForSelling: to get the amount you would get by selling a currency amount.

Example

package net.objectlab.kit.fxcalc.gist;
import java.util.Optional;
import net.objectlab.kit.fxcalc.CurrencyPair;
import net.objectlab.kit.fxcalc.FxRate;
import net.objectlab.kit.fxcalc.FxRateCalculator;
import net.objectlab.kit.fxcalc.FxRateCalculatorBuilder;
import net.objectlab.kit.fxcalc.FxRateCalculatorImpl;
import net.objectlab.kit.fxcalc.FxRateImpl;
import net.objectlab.kit.fxcalc.MonetaryAmount;
import net.objectlab.kit.fxcalc.Money;
import net.objectlab.kit.util.BigDecimalUtil;
import org.assertj.core.util.Lists;
public final class FxRateExample {
public static void main(final String[] args) {
final FxRateCalculatorBuilder builder = new FxRateCalculatorBuilder() //
.addRateSnapshot(new FxRateImpl(CurrencyPair.of("EUR", "USD"), null, true, BigDecimalUtil.bd("1.3"), BigDecimalUtil.bd("1.31")))//
.addRateSnapshot(new FxRateImpl(CurrencyPair.of("GBP", "CHF"), null, true, BigDecimalUtil.bd("1.51589"), BigDecimalUtil.bd("1.5156")))//
.addRateSnapshot(new FxRateImpl(CurrencyPair.of("EUR", "GBP"), null, true, BigDecimalUtil.bd("0.79"), BigDecimalUtil.bd("0.796")))//
.addRateSnapshot(new FxRateImpl(CurrencyPair.of("USD", "JPY"), null, true, BigDecimalUtil.bd("103.931"), BigDecimalUtil.bd("103.94")))//
.addRateSnapshot(new FxRateImpl(CurrencyPair.of("USD", "CAD"), null, true, BigDecimalUtil.bd("1.089"), BigDecimalUtil.bd("1.090")))//
.orderedCurrenciesForCross(Lists.newArrayList("GBP", "USD")) //
;
// immutable, can be re-used, shared etc PROVIDED that the FxRate does not change (safe with FxRateImpl)
final FxRateCalculator calc = new FxRateCalculatorImpl(builder);
calcEurUsd(calc);
calcEurChf(calc);
calcCadJpy(calc);
}
private static void calcCadJpy(final FxRateCalculator calc) {
System.out.println("Calc CAD / JPY via USD =========================");
final CurrencyPair target = CurrencyPair.of("CAD", "JPY");
final Optional<FxRate> fx = calc.findFx(target);
if (fx.isPresent()) {
// I want to sell 1m CAD in JPY
final MonetaryAmount amountInJPY = fx.get().convertAmountUsingBidOrAsk(Money.of("CAD", 1_000_000L));
System.out.println(target + " CAD 1m => " + amountInJPY); // JPY 95349541.00
// I want to BUY 1m JPY with CAD
final MonetaryAmount amountBuyInCAD = fx.get().convertAmountUsingBidOrAsk(Money.of("JPY", 1_000_000L));
System.out.println(target + " JPY 1m => " + amountBuyInCAD); // CAD 10477.20
}
// order of the Currency Pair does NOT matter for conversions!
final CurrencyPair inverseTarget = target.createInverse();
final Optional<FxRate> fx2 = calc.findFx(inverseTarget);
if (fx2.isPresent()) {
// I want to sell 1m Euros in USD
final MonetaryAmount amountInJPY = fx2.get().convertAmountUsingBidOrAsk(Money.of("CAD", 1_000_000L));
System.out.println(inverseTarget + " CAD 1m => " + amountInJPY); // JPY 95349541.00
// I want to BUY 1m USD with Euros
final MonetaryAmount amountBuyInCAD = fx2.get().convertAmountUsingBidOrAsk(Money.of("JPY", 1_000_000L));
System.out.println(inverseTarget + " JPY 1m => " + amountBuyInCAD); // CAD 10477.20
}
}
private static void calcEurChf(final FxRateCalculator calc) {
System.out.println("Calc EUR / CHF via GBP =========================");
final CurrencyPair target = CurrencyPair.of("EUR", "CHF");
final Optional<FxRate> fx = calc.findFx(target);
if (fx.isPresent()) {
// I want to sell 1m Euros in CHF
final MonetaryAmount amountInCHF = fx.get().convertAmountUsingBidOrAsk(Money.of("EUR", 1_000_000L));
System.out.println(target + " €1m => " + amountInCHF); // CHF 1197553.00
// I want to BUY 1m CHF with Euros
final MonetaryAmount amountBuyInEUR = fx.get().convertAmountUsingBidOrAsk(Money.of("CHF", 1_000_000L));
System.out.println(target + " CHF1m: " + amountBuyInEUR); // EUR 828900.10
}
// order of the Currency Pair does NOT matter for conversions!
final CurrencyPair inverseTarget = target.createInverse();
final Optional<FxRate> fx2 = calc.findFx(inverseTarget);
if (fx2.isPresent()) {
// I want to sell 1m Euros in USD
final MonetaryAmount amountInCHF = fx2.get().convertAmountUsingBidOrAsk(Money.of("EUR", 1_000_000L));
System.out.println(inverseTarget + " €1m => " + amountInCHF); // CHF 1197553.00
// I want to BUY 1m USD with Euros
final MonetaryAmount amountBuyInEUR = fx2.get().convertAmountUsingBidOrAsk(Money.of("CHF", 1_000_000L));
System.out.println(inverseTarget + " CHF1m: " + amountBuyInEUR); // EUR 828900.10
}
}
private static void calcEurUsd(final FxRateCalculator calc) {
System.out.println("Calc EUR / USD (Not a Cross) =========================");
final CurrencyPair target = CurrencyPair.of("EUR", "USD");
final Optional<FxRate> fx = calc.findFx(target);
if (fx.isPresent()) {
// I want to sell 1m Euros in USD
final MonetaryAmount amountInUSD = fx.get().convertAmountUsingBidOrAsk(Money.of("EUR", 1_000_000L));
System.out.println(target + " €1m => " + amountInUSD); // $1300000.00
// I want to BUY 1m USD with Euros
final MonetaryAmount amountBuyInUSD = fx.get().convertAmountUsingBidOrAsk(Money.of("USD", 1_000_000L));
System.out.println(target + " $1m => " + amountBuyInUSD); // EUR763358.78
System.out.println("BUY / SELL AMOUNT -------- " + fx.get());
System.out.println("Buy $1000 for :" + fx.get().getPaymentAmountForBuying(Money.of("USD", BigDecimalUtil.bd("1000"))));
System.out.println("Buy €1000 for :" + fx.get().getPaymentAmountForBuying(Money.of("EUR", BigDecimalUtil.bd("1000"))));
System.out.println("Sell $1000 for:" + fx.get().getReceiptAmountForSelling(Money.of("USD", BigDecimalUtil.bd("1000"))));
System.out.println("Sell €1000 for:" + fx.get().getReceiptAmountForSelling(Money.of("EUR", BigDecimalUtil.bd("1000"))));
/* OUTPUT
BUY / SELL AMOUNT -------- EUR.USD B:1.3 A:1.31
Buy $1000 for :EUR 769.23
Buy €1000 for :USD 1310.00
Sell $1000 for:EUR 763.36
Sell €1000 for:USD 1300.00
*/
}
final CurrencyPair invTgt = target.createInverse();
// order of the Currency Pair does NOT matter for conversions!
final Optional<FxRate> fx2 = calc.findFx(invTgt);
if (fx2.isPresent()) {
// I want to sell 1m Euros in USD
final MonetaryAmount amountInUSD = fx2.get().convertAmountUsingBidOrAsk(Money.of("EUR", 1_000_000L));
System.out.println(invTgt + " €1m => " + amountInUSD); // $1300000.00
// I want to BUY 1m USD with Euros
final MonetaryAmount amountBuyInUSD = fx2.get().convertAmountUsingBidOrAsk(Money.of("USD", 1_000_000L));
System.out.println(invTgt + " $1m +> " + amountBuyInUSD); // EUR763358.78
}
}
/* OUTPUT
Calc EUR / USD (Not a Cross) =========================
EUR.USD €1m => USD 1300000.00
EUR.USD $1m => EUR 763358.78
BUY / SELL AMOUNT -------- EUR.USD B:1.3 A:1.31
Buy $1000 for :EUR 769.23
Buy €1000 for :USD 1310.00
Sell $1000 for:EUR 763.36
Sell €1000 for:USD 1300.00
USD.EUR €1m => USD 1300000.00
USD.EUR $1m +> EUR 763358.78
Calc EUR / CHF via GBP =========================
11:51:58.830 [main] DEBUG n.o.kit.fxcalc.CrossRateCalculator - CALC GBP.CHF B:1.51589 A:1.5156 / GBP.EUR B:1.256281407035 A:1.265822784810
11:51:58.835 [main] DEBUG n.o.kit.fxcalc.CrossRateCalculator - X RATE EUR.CHF B:1.197553 A:1.206418
11:51:58.873 [main] DEBUG n.o.kit.fxcalc.CrossRateCalculator - EUR.CHF Mkt Convention:true Cross Ccy:GBP
Quoter buys EUR and sells CHF at 1.197553
Quoter sells EUR and buys CHF at 1.206418
EUR.CHF €1m => CHF 1197553.00
EUR.CHF CHF1m: EUR 828900.10
CHF.EUR €1m => CHF 1197553.00
CHF.EUR CHF1m: EUR 828900.10
Calc CAD / JPY via USD =========================
11:51:58.874 [main] DEBUG n.o.kit.fxcalc.CrossRateCalculator - CALC USD.JPY B:103.931 A:103.94 / USD.CAD B:1.089 A:1.090
11:51:58.875 [main] DEBUG n.o.kit.fxcalc.CrossRateCalculator - X RATE CAD.JPY B:95.349541 A:95.445363
11:51:58.875 [main] DEBUG n.o.kit.fxcalc.CrossRateCalculator - CAD.JPY Mkt Convention:true Cross Ccy:USD
Quoter buys CAD and sells JPY at 95.349541
Quoter sells CAD and buys JPY at 95.445363
CAD.JPY CAD 1m => JPY 95349541.00
CAD.JPY JPY 1m => CAD 10477.20
JPY.CAD CAD 1m => JPY 95349541.00
JPY.CAD JPY 1m => CAD 10477.20
*/
}
view raw FxRateExample.java hosted with ❤ by GitHub