public FXQuoteTest()
{
this.fxAUD_USD = new FXQuote(baseCurrency: "AUD", counterCurrency: "USD", bidRate: 1.00275d, offerPlusPip: 5);
this.fxGBP_USD = new FXQuote(baseCurrency: "GBP", counterCurrency: "USD", bidRate: 1.56788d, offerPlusPip: 5);
this.fxUSD_CHF = new FXQuote(baseCurrency: "USD", counterCurrency: "CHF", bidRate: 0.92866d, offerPlusPip: 5);
this.fxUSD_EUR = new FXQuote(baseCurrency: "USD", counterCurrency: "EUR", bidRate: 0.76257d, offerPlusPip: 5);
}
public void TestCalculateDifferentQuote()
{
var fxGBP_EUR = FXQuote.CalculateCrossCurrencyQuote(this.fxGBP_USD, this.fxUSD_EUR);
Assert.AreEqual(1.1956182516d, fxGBP_EUR.BidRate, Mathematics.Error, "Bid rate wrong for A/B, B/C => A/C");
Assert.AreEqual(1.1967837266d, fxGBP_EUR.OfferRate, Mathematics.Error, "Offer rate wrong for A/B, B/C => A/C");
var fxEUR_AUD = FXQuote.CalculateCrossCurrencyQuote(this.fxUSD_EUR, this.fxAUD_USD);
Assert.AreEqual(1.3062504465947817d, fxEUR_AUD.BidRate, Mathematics.Error, "Bid rate wrong for A/B, C/A => B/C");
Assert.AreEqual(1.3077586867568349d, fxEUR_AUD.OfferRate, Mathematics.Error, "Offer rate wrong for A/B, C/A => B/C");
}
public void TestCalculateSameQuote()
{
var fxCHF_EUR = FXQuote.CalculateCrossCurrencyQuote(this.fxUSD_CHF, this.fxUSD_EUR);
Assert.AreEqual(0.82070902750871755d, fxCHF_EUR.BidRate, Mathematics.Error, "Bid rate wrong for A/B, A/C => B/C");
Assert.AreEqual(0.82168931578834d, fxCHF_EUR.OfferRate, Mathematics.Error, "Offer rate wrong for A/B, A/C => B/C");
var fxAUD_GBP = FXQuote.CalculateCrossCurrencyQuote(this.fxAUD_USD, this.fxGBP_USD);
Assert.AreEqual(0.63935398309083269d, fxAUD_GBP.BidRate, Mathematics.Error, "Bid rate wrong for A/B, C/B => A/C");
Assert.AreEqual(0.63987677628389927d, fxAUD_GBP.OfferRate, Mathematics.Error, "Offer rate wrong for A/B, C/B => A/C");
}
public static FXQuote CalculateCrossCurrencyQuote(FXQuote firstQuote, FXQuote secondQuote)
{
var commonCurrency = FindCommonCurrency(firstQuote, secondQuote);
if (firstQuote.BaseCurrency == commonCurrency)
{
return firstQuote.BaseCurrency == secondQuote.BaseCurrency ?
CalculateSameQuote(commonCurrency, firstQuote, secondQuote) :
CalculateDifferentQuote(commonCurrency, firstQuote, secondQuote);
}
return firstQuote.CounterCurrency == secondQuote.CounterCurrency ?
CalculateSameQuote(commonCurrency, firstQuote, secondQuote) :
CalculateDifferentQuote(commonCurrency, firstQuote, secondQuote);
}
private static string FindCommonCurrency(FXQuote firstQuote, FXQuote secondQuote)
{
if (firstQuote.BaseCurrency == secondQuote.BaseCurrency)
return firstQuote.BaseCurrency;
if (firstQuote.BaseCurrency == secondQuote.CounterCurrency)
return firstQuote.BaseCurrency;
if (firstQuote.CounterCurrency == secondQuote.BaseCurrency)
return firstQuote.CounterCurrency;
if (firstQuote.CounterCurrency == secondQuote.CounterCurrency)
return firstQuote.CounterCurrency;
throw new FinancialException("No common currency between FXQuote objects");
}
private static FXQuote CalculateDifferentQuote(string commonCurrency, FXQuote firstQuote, FXQuote secondQuote)
{
var fxQuote = new FXQuote();
if (firstQuote.BaseCurrency == commonCurrency)
{
fxQuote.BaseCurrency = firstQuote.CounterCurrency;
fxQuote.CounterCurrency = secondQuote.BaseCurrency;
fxQuote.BidRate = 1 / (firstQuote.OfferRate * secondQuote.OfferRate);
fxQuote.OfferRate = 1 / (firstQuote.BidRate * secondQuote.BidRate);
}
else
{
fxQuote.BaseCurrency = firstQuote.BaseCurrency;
fxQuote.CounterCurrency = secondQuote.CounterCurrency;
fxQuote.BidRate = firstQuote.BidRate * secondQuote.BidRate;
fxQuote.OfferRate = firstQuote.OfferRate * secondQuote.OfferRate;
}
return fxQuote;
}
static void Main()
{
var cashflowPricer = new CashflowPricer();
cashflowPricer.Calculate();
Console.WriteLine(cashflowPricer);
var bondPricer = new BondPricer();
bondPricer.Calculate();
Console.WriteLine(bondPricer);
var yieldCurve = new YieldCurve();
yieldCurve.BootstrapSpotYields();
Console.WriteLine(yieldCurve);
var depositCertificate = new CertificateDeposit();
depositCertificate.Calculate();
Console.WriteLine(depositCertificate);
var discountPaper = new DiscountPaper();
discountPaper.Calculate();
Console.WriteLine(discountPaper);
var fixedDeposit = new FixedDeposit();
fixedDeposit.Calculate();
Console.WriteLine(fixedDeposit);
var fxQuote = new FXQuote();
Console.WriteLine(fxQuote);
Console.ReadKey();
}