public double GetFxRate(DateTime settlementDate, Currency domesticCcy, Currency foreignCcy)
{ //domestic-per-foreign
if (foreignCcy == domesticCcy)
{
return(1.0);
}
double spot;
if (domesticCcy == FxMatrix.BaseCurrency)
{
spot = FxMatrix.GetSpotRate(foreignCcy);
}
else if (foreignCcy == FxMatrix.BaseCurrency)
{
spot = 1.0 / FxMatrix.GetSpotRate(domesticCcy);
}
else
{
var forToBase = GetFxRate(settlementDate, FxMatrix.BaseCurrency, foreignCcy);
var domToBase = GetFxRate(settlementDate, FxMatrix.BaseCurrency, domesticCcy);
return(forToBase / domToBase);
}
var fxPair = FxMatrix.GetFxPair(domesticCcy, foreignCcy);
var spotDate = BuildDate.AddPeriod(RollType.F, fxPair.PrimaryCalendar, fxPair.SpotLag);
var dfDom = GetDf(domesticCcy, spotDate, settlementDate);
var dfFor = GetDf(foreignCcy, spotDate, settlementDate);
return(spot * dfDom / dfFor);
}
public double[] GetFxRates(DateTime[] fixingDates, Currency domesticCcy, Currency foreignCcy)
{
if (foreignCcy == domesticCcy)
{
return(Enumerable.Repeat(1.0, fixingDates.Length).ToArray());
}
else
{
var pair = FxMatrix.GetFxPair(domesticCcy, foreignCcy);
var settleDates = fixingDates.Select(x => x.AddPeriod(RollType.F, pair.PrimaryCalendar, pair.SpotLag));
var rates = settleDates.Select(d => GetFxRate(d, domesticCcy, foreignCcy)).ToArray();
return(rates);
}
}