static private Dictionary<string, double> getFxQuotes(SimpleDate refDate, Market market, IList<Position> positions)
{
Dictionary<string, double> retList = new Dictionary<string, double>();
var currencyList = positions.Select(p => p.Product.Currency).Where(c => c != "USD").Distinct();
retList.Add("USD", 1);
foreach (var ccy in currencyList)
{
var cp = Env.Current.Trade.GetCurrencyPair(ccy, "USD");
if (cp != null)
{
var fxs = new FXSwap { Primary = cp.Primary, Quoting = cp.Quoting };
var spot = market.FindFx(ccy, "USD", refDate, true);
retList.Add(ccy, spot.Mid);
}
}
return retList;
}
