public TO_FxMatrix GetTransportObject() =>
new TO_FxMatrix
{
BaseCurrency = BaseCurrency.Ccy,
BuildDate = BuildDate,
DiscountCurveMap = DiscountCurveMap.ToDictionary(x => x.Key.Ccy, x => x.Value),
SpotRates = SpotRates.ToDictionary(x => x.Key.Ccy, x => x.Value),
FxPairDefinitions = FxPairDefinitions.Select(x => x.GetTransportObject()).ToList()
};
public FxPair GetFxPair(Currency domesticCcy, Currency foreignCcy)
{
if (domesticCcy == foreignCcy)
{
return new FxPair {
Domestic = domesticCcy, Foreign = foreignCcy, PrimaryCalendar = new Calendar(), SpotLag = 0.Day()
}
}
;
var pair = FxPairDefinitions.SingleOrDefault(x => x.Domestic == domesticCcy && x.Foreign == foreignCcy);
return(pair ??
FxPairDefinitions.SingleOrDefault(x => x.Foreign == domesticCcy && x.Domestic == foreignCcy) ??
new FxPair {
Domestic = domesticCcy, Foreign = foreignCcy, PrimaryCalendar = foreignCcy.SettlementCalendar.Merge(domesticCcy.SettlementCalendar), SpotLag = 2.Bd()
});
}
public FxPair GetFxPair(Currency domesticCcy, Currency foreignCcy) => FxPairDefinitions.SingleOrDefault(x => x.Domestic == domesticCcy && x.Foreign == foreignCcy);