private static MarketDataFxRateProvider provider2()
{
IDictionary <FxRateId, FxRate> marketDataMap = ImmutableMap.of(FxRateId.of(EUR, USD), FxRate.of(EUR, USD, EUR_USD), FxRateId.of(EUR, BEF), FxRate.of(EUR, BEF, EUR_BEF), FxRateId.of(GBP, USD), FxRate.of(GBP, USD, GBP_USD));
MarketData marketData = ImmutableMarketData.of(VAL_DATE, marketDataMap);
return(MarketDataFxRateProvider.of(marketData, ObservableSource.NONE, GBP));
}
//-------------------------------------------------------------------------
private static MarketDataFxRateProvider provider()
{
IDictionary <FxRateId, FxRate> marketDataMap = ImmutableMap.of(FxRateId.of(EUR, USD, OBS_SOURCE), FxRate.of(EUR, USD, EUR_USD));
MarketData marketData = ImmutableMarketData.of(VAL_DATE, marketDataMap);
return(MarketDataFxRateProvider.of(marketData, OBS_SOURCE, GBP));
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
FxRateId test = FxRateId.of(GBP, USD);
coverImmutableBean(test);
FxRateId test2 = FxRateId.of(EUR, CHF, OBS_SOURCE);
coverBeanEquals(test, test2);
}
public virtual void cross_counter()
{
IDictionary <FxRateId, FxRate> marketDataMap = ImmutableMap.of(FxRateId.of(EUR, USD), FxRate.of(EUR, USD, EUR_USD), FxRateId.of(EUR, BEF), FxRate.of(EUR, BEF, EUR_BEF));
MarketData marketData = ImmutableMarketData.of(VAL_DATE, marketDataMap);
FxRateProvider fx = MarketDataFxRateProvider.of(marketData);
assertEquals(fx.fxRate(USD, BEF), EUR_BEF / EUR_USD, 1.0E-10);
assertEquals(fx.fxRate(BEF, USD), EUR_USD / EUR_BEF, 1.0E-10);
}
public virtual void cross_base()
{
IDictionary <FxRateId, FxRate> marketDataMap = ImmutableMap.of(FxRateId.of(EUR, USD), FxRate.of(EUR, USD, EUR_USD), FxRateId.of(GBP, USD), FxRate.of(GBP, USD, GBP_USD));
MarketData marketData = ImmutableMarketData.of(VAL_DATE, marketDataMap);
FxRateProvider fx = MarketDataFxRateProvider.of(marketData);
assertEquals(fx.fxRate(GBP, EUR), GBP_USD / EUR_USD, 1.0E-10);
assertEquals(fx.fxRate(EUR, GBP), EUR_USD / GBP_USD, 1.0E-10);
}
//-------------------------------------------------------------------------
public double fxRate(Currency baseCurrency, Currency counterCurrency)
{
if (baseCurrency.Equals(counterCurrency))
{
return(1);
}
// Try direct pair
Optional <FxRate> rate = marketData.findValue(FxRateId.of(baseCurrency, counterCurrency, fxRatesSource));
if (rate.Present)
{
return(rate.get().fxRate(baseCurrency, counterCurrency));
}
// try specified triangulation currency
if (triangulationCurrency != null)
{
Optional <FxRate> rateBase1 = marketData.findValue(FxRateId.of(baseCurrency, triangulationCurrency, fxRatesSource));
Optional <FxRate> rateBase2 = marketData.findValue(FxRateId.of(triangulationCurrency, counterCurrency, fxRatesSource));
if (rateBase1.Present && rateBase2.Present)
{
return(rateBase1.get().crossRate(rateBase2.get()).fxRate(baseCurrency, counterCurrency));
}
}
// Try triangulation on base currency
Currency triangularBaseCcy = baseCurrency.TriangulationCurrency;
Optional <FxRate> rateBase1 = marketData.findValue(FxRateId.of(baseCurrency, triangularBaseCcy, fxRatesSource));
Optional <FxRate> rateBase2 = marketData.findValue(FxRateId.of(triangularBaseCcy, counterCurrency, fxRatesSource));
if (rateBase1.Present && rateBase2.Present)
{
return(rateBase1.get().crossRate(rateBase2.get()).fxRate(baseCurrency, counterCurrency));
}
// Try triangulation on counter currency
Currency triangularCounterCcy = counterCurrency.TriangulationCurrency;
Optional <FxRate> rateCounter1 = marketData.findValue(FxRateId.of(baseCurrency, triangularCounterCcy, fxRatesSource));
Optional <FxRate> rateCounter2 = marketData.findValue(FxRateId.of(triangularCounterCcy, counterCurrency, fxRatesSource));
if (rateCounter1.Present && rateCounter2.Present)
{
return(rateCounter1.get().crossRate(rateCounter2.get()).fxRate(baseCurrency, counterCurrency));
}
// Double triangulation
if (rateBase1.Present && rateCounter2.Present)
{
Optional <FxRate> rateTriangular2 = marketData.findValue(FxRateId.of(triangularBaseCcy, triangularCounterCcy, fxRatesSource));
if (rateTriangular2.Present)
{
return(rateBase1.get().crossRate(rateTriangular2.get()).crossRate(rateCounter2.get()).fxRate(baseCurrency, counterCurrency));
}
}
if (fxRatesSource.Equals(ObservableSource.NONE))
{
throw new MarketDataNotFoundException(Messages.format("No FX rate market data for {}/{}", baseCurrency, counterCurrency));
}
throw new MarketDataNotFoundException(Messages.format("No FX rate market data for {}/{} using source '{}'", baseCurrency, counterCurrency, fxRatesSource));
}
public virtual void test_of_currenciesAndSource()
{
FxRateId test = FxRateId.of(GBP, USD, OBS_SOURCE);
FxRateId inverse = FxRateId.of(USD, GBP);
assertEquals(test.Pair, PAIR);
assertEquals(inverse.Pair, PAIR);
assertEquals(test.ObservableSource, OBS_SOURCE);
assertEquals(test.MarketDataType, typeof(FxRate));
}
//-------------------------------------------------------------------------
public virtual void test_of_pairAndSource()
{
FxRateId test = FxRateId.of(PAIR, OBS_SOURCE);
FxRateId inverse = FxRateId.of(INVERSE);
assertEquals(test.Pair, PAIR);
assertEquals(inverse.Pair, PAIR);
assertEquals(test.ObservableSource, OBS_SOURCE);
assertEquals(test.MarketDataType, typeof(FxRate));
}
public virtual void cross_specified()
{
IDictionary <FxRateId, FxRate> marketDataMap = ImmutableMap.of(FxRateId.of(EUR, CHF), FxRate.of(EUR, CHF, EUR_CHF), FxRateId.of(GBP, CHF), FxRate.of(GBP, CHF, GBP_CHF));
MarketData marketData = ImmutableMarketData.of(VAL_DATE, marketDataMap);
FxRateProvider fx = MarketDataFxRateProvider.of(marketData, ObservableSource.NONE, CHF);
assertEquals(fx.fxRate(GBP, EUR), GBP_CHF / EUR_CHF, 1.0E-10);
assertEquals(fx.fxRate(EUR, GBP), EUR_CHF / GBP_CHF, 1.0E-10);
assertThrows(() => fx.fxRate(EUR, USD), typeof(MarketDataNotFoundException));
}
//-------------------------------------------------------------------------
public virtual void test_of_pair()
{
FxRateId test = FxRateId.of(PAIR);
FxRateId inverse = FxRateId.of(INVERSE);
assertEquals(test.Pair, PAIR);
assertEquals(inverse.Pair, PAIR);
assertEquals(test.ObservableSource, ObservableSource.NONE);
assertEquals(test.MarketDataType, typeof(FxRate));
assertEquals(test.ToString(), "FxRateId:GBP/USD");
}
//-----------------------------------------------------------------------
public override bool Equals(object obj)
{
if (obj == this)
{
return(true);
}
if (obj != null && obj.GetType() == this.GetType())
{
FxRateId other = (FxRateId)obj;
return(JodaBeanUtils.equal(pair, other.pair) && JodaBeanUtils.equal(observableSource, other.observableSource));
}
return(false);
}
public virtual void test_serialization()
{
FxRateId test = FxRateId.of(GBP, USD);
assertSerialization(test);
}
