// Add an exchange rate.
// The given rate is valid between the given dates.
// If two rates are given between the same currencies
// and with overlapping date ranges, the latest one
// added takes precedence during lookup.
private void add
(ExchangeRate rate, Date startDate, Date endDate)
{
int k = hash(rate.source, rate.target);
if (data_.ContainsKey(k))
{
data_[k].Insert(0, new Entry(rate, startDate, endDate));
}
else
{
data_[k] = new List <Entry>();
data_[k].Add(new Entry(rate, startDate, endDate));
}
}
private ExchangeRate smartLookup(Currency source, Currency target, Date date, List <int> forbidden)
{
// direct exchange rates are preferred.
ExchangeRate direct = fetch(source, target, date);
if (direct.HasValue)
{
return(direct);
}
// if none is found, turn to smart lookup. The source currency
// is forbidden to subsequent lookups in order to avoid cycles.
forbidden.Add(source.numericCode);
foreach (KeyValuePair <int, List <Entry> > i in data_)
{
// we look for exchange-rate data which involve our source
// currency...
if (hashes(i.Key, source) && (i.Value.Count != 0))
{
// ...whose other currency is not forbidden...
Entry e = i.Value[0];
Currency other = source == e.rate.source ? e.rate.target : e.rate.source;
if (!forbidden.Contains(other.numericCode))
{
// ...and which carries information for the requested date.
ExchangeRate head = fetch(source, other, date);
if (((double?)head.rate).HasValue)
{
// if we can get to the target from here...
try
{
ExchangeRate tail = smartLookup(other, target, date, forbidden);
// ..we're done.
return(ExchangeRate.chain(head, tail));
}
catch (Exception)
{
// otherwise, we just discard this rate.
}
}
}
}
}
// if the loop completed, we have no way to return the requested rate.
Utils.QL_FAIL("no conversion available from " + source.code + " to " + target.code + " for " + date);
return(null);
}
// Lookup the exchange rate between two currencies at a given
// date. If the given type is Direct, only direct exchange
// rates will be returned if available; if Derived, direct
// rates are still preferred but derived rates are allowed.
// if two or more exchange-rate chains are possible
// which allow to specify a requested rate, it is
// unspecified which one is returned.
public ExchangeRate lookup(Currency source, Currency target, Date date, ExchangeRate.Type type)
{
if (source == target)
{
return(new ExchangeRate(source, target, 1.0));
}
if (date == new Date())
{
date = Settings.Instance.evaluationDate();
}
if (type == ExchangeRate.Type.Direct)
{
return(directLookup(source, target, date));
}
if (!source.triangulationCurrency.empty())
{
Currency link = source.triangulationCurrency;
if (link == target)
{
return(directLookup(source, link, date));
}
return(ExchangeRate.chain(directLookup(source, link, date), lookup(link, target, date)));
}
if (!target.triangulationCurrency.empty())
{
Currency link = target.triangulationCurrency;
if (source == link)
{
return(directLookup(link, target, date));
}
return(ExchangeRate.chain(lookup(source, link, date), directLookup(link, target, date)));
}
return(smartLookup(source, target, date));
}
/// <summary>
/// chain two exchange rates
/// </summary>
/// <param name="r1"></param>
/// <param name="r2"></param>
/// <returns></returns>
public static ExchangeRate chain(ExchangeRate r1, ExchangeRate r2)
{
ExchangeRate result = new ExchangeRate();
result.type_ = Type.Derived;
result.rateChain_ = new KeyValuePair <ExchangeRate, ExchangeRate>(r1, r2);
if (r1.source_ == r2.source_)
{
result.source_ = r1.target_;
result.target_ = r2.target_;
result.rate_ = r2.rate_ / r1.rate_;
}
else if (r1.source_ == r2.target_)
{
result.source_ = r1.target_;
result.target_ = r2.source_;
result.rate_ = 1.0 / (r1.rate_ * r2.rate_);
}
else if (r1.target_ == r2.source_)
{
result.source_ = r1.source_;
result.target_ = r2.target_;
result.rate_ = r1.rate_ * r2.rate_;
}
else if (r1.target_ == r2.target_)
{
result.source_ = r1.source_;
result.target_ = r2.source_;
result.rate_ = r1.rate_ / r2.rate_;
}
else
{
Utils.QL_FAIL("exchange rates not chainable");
}
return(result);
}
public void add
(ExchangeRate rate)
{
add
(rate, Date.minDate(), Date.maxDate());
}
public Entry(ExchangeRate r, Date s, Date e)
{
rate = r;
startDate = s;
endDate = e;
}
public void add
(ExchangeRate rate, Date startDate)
{
add
(rate, startDate, Date.maxDate());
}
