public Rate SetToConvention(RateConvention desiredRateConvention)
{
if (desiredRateConvention != RateConvention)
{
return(Inverted());
}
return(this);
}
public Rate(Currency unitCurrency,
Currency refCurrency,
decimal unmultipliedUnroundedRateValue,
RateMetaData metaData,
RateConvention rateConvention)
{
UnitCurrency = unitCurrency;
RefCurrency = refCurrency;
MetaData = metaData;
this.unmultipliedUnroundedRateValue = unmultipliedUnroundedRateValue;
RateConvention = rateConvention;
}
public Rate(Currency unitCurrency,
Currency refCurrency,
decimal unmultipliedUnroundedRateValue,
int multiplierDirect,
int multiplierIndirect,
int numDecimalsDirectMultiplied,
int numDecimalsIndirectMultiplied,
RateConvention rateConvention)
{
Debug.Assert(rateConvention != RateConvention.Default, "Ambigious rate convention, should be set to direct or indirect");
UnitCurrency = unitCurrency;
RefCurrency = refCurrency;
this.unmultipliedUnroundedRateValue = unmultipliedUnroundedRateValue;
MetaData = new RateMetaData(numDecimalsDirectMultiplied, numDecimalsIndirectMultiplied, multiplierDirect, multiplierIndirect);
RateConvention = rateConvention;
}
public Rate SetToConventionAndRoundInTradersFavor(RateConvention newRateConvention, TradeDirection tradeDirection)
{
if (newRateConvention != RateConvention)
{
this = Inverted();
}
Rate computedRate;
if ((tradeDirection == TradeDirection.Sell && IsDirect()) || (tradeDirection == TradeDirection.Buy && !IsDirect()))
{
computedRate = NewValue(RoundUp(unmultipliedUnroundedRateValue, NumberOfDecimalsUnmultiplied));
}
else
{
computedRate = NewValue(RoundDown(unmultipliedUnroundedRateValue, NumberOfDecimalsUnmultiplied));
}
return(computedRate);
}
public static Rate CreateRate(Currency unitCurrency,
Currency refCurrency,
decimal rateValue,
bool rateValueIsMultiplied,
RateMetaData metaData,
RateConvention rateConvention)
{
var rateValueUnmultiplied = rateValue;
var rateMultiplier = rateConvention == RateConvention.Direct
? metaData.MultiplierDirect
: metaData.MultiplierIndirect;
if (rateValueIsMultiplied)
{
rateValueUnmultiplied = rateValue / rateMultiplier;
}
if (rateConvention == RateConvention.Indirect)
{
return(new Rate(refCurrency, unitCurrency, rateValueUnmultiplied, metaData, rateConvention));
}
return(new Rate(unitCurrency, refCurrency, rateValueUnmultiplied, metaData, rateConvention));
}
private static decimal CalculateForwardPoints(decimal forwardPoints, RateConvention rateConventionSpotRate, RateConvention rateConventionForwardPoints, LineItemQuote lineItem)
{
return(rateConventionForwardPoints != rateConventionSpotRate
? lineItem.SpotRate.NewValue(1 / lineItem.ClientRate - 1 / (lineItem.ClientRate - forwardPoints)).RoundedValue
: forwardPoints);
}
private static Rate CreateRateFromUnmultipliedValue(RateConvention rateConvention, decimal value, Currency baseCurrency, Currency currency, int rateMultiplier, int numDecDirect, int numDecIndirect)
{
return(Rate.CreateRate(currency, baseCurrency, value, false, new RateMetaData(numDecDirect, numDecIndirect, rateMultiplier, rateMultiplier), rateConvention));
}
