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 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 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));
}