public object Clone()
{
List <XChangeRate> xcr = new List <XChangeRate>();
foreach (XChangeRate item in FX)
{
xcr.Add((XChangeRate)item.Clone());
}
FXMarket res = new FXMarket(Date, xcr);
return(res);
}
public bool IsEquivalentTo(FXMarket fx, int precision = 8)
{
foreach (CurrencyPair cp in GetCurrencyPairs())
{
double rate = GetQuote(cp, true).Rate;
double rate2 = fx.GetQuote(cp, true).Rate;
if (Math.Abs(rate - rate2) * Math.Pow(10, precision) > 1)
{
return(false);
}
}
return(true);
}
private FXMarket GetArtificialFXMarketSimple(DateTime date)
{
if (date != Freq.Adjust(date))
{
throw new Exception($"Your date is not Freq adjusted {date} != {Freq.Adjust(date)}");
}
try { return(ArtificialFXMarkets[date]); }
catch
{
FXMarket FX = new FXMarket(date);
ArtificialFXMarkets[date] = FX;
return(FX);
}
}
public Tuple <DateTime, XChangeRate> GetQuote(DateTime date, CurrencyPair currencyPair,
bool isArtificial = false, bool isExactDate = false)
{
if (!isArtificial)
{
FXMarket fxMkt = GetRealFXMarket(date, isExactDate: isExactDate);
if (fxMkt != null)
{
return(new Tuple <DateTime, XChangeRate>(fxMkt.Date, fxMkt.GetQuote(currencyPair, true)));
}
else
{
return(new Tuple <DateTime, XChangeRate>(date, null));
}
}
FXMarket artFxMkt = GetArtificialFXMarket(date, currencyPair);
return(new Tuple <DateTime, XChangeRate> (date, artFxMkt.GetQuote(currencyPair)));
}
public void AddQuote(DateTime date, XChangeRate quote)
{
if (quote.IsIdentity)
{
return;
}
AddCcyPair(quote.CcyPair);
DateTime AdjustedDate = Freq.Adjust(date);
FXMarket FX = GetRealFXMarketSimple(AdjustedDate);
UpdateLastReadDate_NoLive(AdjustedDate);
if (FX != null)
{
FX.AddQuote(quote);
}
else
{
RealFXMarkets[AdjustedDate] = new FXMarket(AdjustedDate, quote);
}
}
private FXMarket _CreateArtificialFXMarket(DateTime date, List <CurrencyPair> cpList)
{
if (date != Freq.Adjust(date))
{
throw new Exception($"Your date is not Freq adjusted {date} != {Freq.Adjust(date)}");
}
if (cpList.Count == 0)
{
cpList = CpList;
}
FXMarket res = GetRealFXMarket(date, isExactDate: true);
if (res == null)
{
res = GetArtificialFXMarketSimple(date);
}
if (!res.FXContains(cpList))
{
foreach (CurrencyPair cp in cpList)
{
if (res.FXContains(cp))
{
continue;
}
FXMarket beforeFX = RealFXMarkets
.Where(x => x.Key <= date && x.Value.FXContains(cp))
.LastOrDefault().Value;
FXMarket afterFX = RealFXMarkets
.Where(x => x.Key >= date && x.Value.FXContains(cp))
.FirstOrDefault().Value;
double beforeRate = 0, afterRate = 0, rate = 0, w = 0.5;
bool useBefore = beforeFX != null;
bool useAfter = afterFX != null;
if (useBefore)
{
beforeRate = beforeFX.GetQuote(cp).Rate;
}
if (useAfter)
{
afterRate = afterFX.GetQuote(cp).Rate;
}
if (!(useBefore || useAfter))
{
continue;
}
if (useAfter && useBefore)
{
if (afterFX.Date.AddSeconds(1) > beforeFX.Date)
{
w = (date - beforeFX.Date).TotalSeconds / (double)(afterFX.Date - beforeFX.Date).TotalSeconds;
}
else
{
throw new Exception($"The afterFX Market {afterFX.Date} comes before the beforeFX Market {beforeFX.Date}");
}
}
else
{
if (useBefore)
{
w = 0;
}
else
{
w = 1;
}
}
rate = (1 - w) * beforeRate + w * afterRate;
XChangeRate xRateCp = new XChangeRate(rate, cp);
res.AddQuote(xRateCp);
res.DefineAsArtificial();
}
}
if (res.FXContains(cpList))
{
ArtificialFXMarkets[date] = res;
}
else
{
res = _CreateArtificialFXMarket(date, new List <CurrencyPair> {
});
}
return(res);
}
