public double GetFxRate(DateTime settlementDate, Currency domesticCcy, Currency foreignCcy)
{ //domestic-per-foreign
if (foreignCcy == domesticCcy)
{
return(1.0);
}
double spot;
if (domesticCcy == FxMatrix.BaseCurrency)
{
spot = FxMatrix.SpotRates[foreignCcy];
}
else if (foreignCcy == FxMatrix.BaseCurrency)
{
spot = 1.0 / FxMatrix.SpotRates[domesticCcy];
}
else
{
var forToBase = GetFxRate(settlementDate, FxMatrix.BaseCurrency, foreignCcy);
var domToBase = GetFxRate(settlementDate, FxMatrix.BaseCurrency, domesticCcy);
return(forToBase / domToBase);
}
var fxPair = FxMatrix.GetFxPair(domesticCcy, foreignCcy);
var spotDate = BuildDate.AddPeriod(RollType.F, fxPair.SettlementCalendar, fxPair.SpotLag);
var dfDom = Curves[FxMatrix.DiscountCurveMap[domesticCcy]].GetDf(spotDate, settlementDate);
var dfFor = Curves[FxMatrix.DiscountCurveMap[foreignCcy]].GetDf(spotDate, settlementDate);
return(spot * dfDom / dfFor);
}
public void SetupFx(FxMatrix fxMatrix) => FxMatrix = fxMatrix;
