private Boolean PerformTriangulation(CurrencyPair currencyPair, out Decimal rate)
{
rate = 0m;
foreach (CurrencyPair key1 in m_Rates.Keys)
{
if (key1.CurrencyBase != currencyPair.CurrencyBase)
{
continue;
}
foreach (CurrencyPair key2 in m_Rates.Keys)
{
if (key2.CurrencyCounter != currencyPair.CurrencyCounter)
{
continue;
}
if (key1.CurrencyCounter != key2.CurrencyBase)
{
continue;
}
rate = m_Rates[key1] * m_Rates[key2];
m_Rates[currencyPair] = rate;
m_Rates[currencyPair.Invert()] = 1m / rate;
return(true);
}
}
return(false);
}
/// <summary>Adds the specified rate for the specified currency pair, using the specified update criterion.</summary>
/// <param name="currencyPair">The <see cref="T:InitialMargin.Core.CurrencyPair"/> object defining the base and counter currencies.</param>
/// <param name="rate">A <see cref="T:System.Decimal"/> representing the rate.</param>
/// <param name="update"><c>true</c> to update the lookup table if the currency pair already exists; otherwise, <c>false</c>.</param>
/// <exception cref="T:System.ArgumentException">Thrown when <paramref name="rate">rate</paramref> is less than or equal to <c>0</c>.</exception>
/// <exception cref="T:System.ArgumentNullException">Thrown when <paramref name="currencyPair">currencyPair</paramref> is <c>null</c>.</exception>
/// <exception cref="T:System.InvalidOperationException">Thrown when <paramref name="currencyPair">currencyPair</paramref> already exists in the lookup table and <paramref name="update">update</paramref> is <c>false</c>.</exception>
public void AddRate(CurrencyPair currencyPair, Decimal rate, Boolean update)
{
if (currencyPair == null)
{
throw new ArgumentNullException(nameof(currencyPair));
}
if (rate <= 0m)
{
throw new ArgumentException("Invalid rate specified.", nameof(rate));
}
if (update || !m_Rates.ContainsKey(currencyPair))
{
CurrencyPair currencyPairInverse = currencyPair.Invert();
m_Rates[currencyPair] = rate;
m_OriginalCurrencyPairs.Add(currencyPair);
m_Rates[currencyPairInverse] = 1m / rate;
m_OriginalCurrencyPairs.Remove(currencyPairInverse);
return;
}
throw new InvalidDataException("The specified rate has already been defined, directly or implicitly.");
}
