public void testDirect()
{
Currency EUR = new EURCurrency(), USD = new USDCurrency();
ExchangeRate eur_usd = new ExchangeRate(EUR, USD, 1.2042);
Money m1 = 50000.0 * EUR;
Money m2 = 100000.0 * USD;
Money.conversionType = Money.ConversionType.NoConversion;
Money calculated = eur_usd.exchange(m1);
Money expected = new Money(m1.value*eur_usd.rate, USD);
if (!Utils.close(calculated, expected))
{
Assert.Fail("Wrong result: expected: " + expected + " calculated: " + calculated);
}
calculated = eur_usd.exchange(m2);
expected = new Money(m2.value/eur_usd.rate, EUR);
if (!Utils.close(calculated, expected))
{
Assert.Fail("Wrong result: expected: " + expected + " calculated: " + calculated);
}
}
public void testBaseCurrency()
{
Currency EUR = new EURCurrency(), GBP = new GBPCurrency(), USD = new USDCurrency();
Money m1 = 50000.0 * GBP;
Money m2 = 100000.0 * EUR;
Money m3 = 500000.0 * USD;
ExchangeRateManager.Instance.clear();
ExchangeRate eur_usd = new ExchangeRate(EUR, USD, 1.2042);
ExchangeRate eur_gbp = new ExchangeRate(EUR, GBP, 0.6612);
ExchangeRateManager.Instance.add(eur_usd);
ExchangeRateManager.Instance.add(eur_gbp);
Money.conversionType = Money.ConversionType.BaseCurrencyConversion;
Money.baseCurrency = EUR;
Money calculated = m1 * 3.0 + 2.5 * m2 - m3 / 5.0;
Rounding round = Money.baseCurrency.rounding;
double x = round.Round(m1.value * 3.0 / eur_gbp.rate) + 2.5 * m2.value
- round.Round(m3.value / (5.0 * eur_usd.rate));
Money expected = new Money(x, EUR);
Money.conversionType = Money.ConversionType.NoConversion;
if (calculated != expected)
{
Assert.Fail("Wrong result: expected: " + expected + "calculated: " + calculated);
}
}
public void testDerived()
{
Currency EUR = new EURCurrency(), USD = new USDCurrency(), GBP = new GBPCurrency();
ExchangeRate eur_usd = new ExchangeRate(EUR, USD, 1.2042);
ExchangeRate eur_gbp = new ExchangeRate(EUR, GBP, 0.6612);
ExchangeRate derived = ExchangeRate.chain(eur_usd, eur_gbp);
Money m1 = 50000.0 * GBP;
Money m2 = 100000.0 * USD;
Money.conversionType = Money.ConversionType.NoConversion;
Money calculated = derived.exchange(m1);
Money expected = new Money(m1.value*eur_usd.rate/eur_gbp.rate, USD);
if (!Utils.close(calculated, expected))
{
Assert.Fail("Wrong result: expected: " + expected + " calculated: " + calculated);
}
calculated = derived.exchange(m2);
expected = new Money(m2.value*eur_gbp.rate/eur_usd.rate, GBP);
if (!Utils.close(calculated, expected))
{
Assert.Fail("Wrong result: expected: " + expected + " calculated: " + calculated);
}
}
/// <summary>
/// Add an exchange rate.
/// </summary>
/// <param name="rate"></param>
/// <param name="startDate"></param>
/// <param name="endDate"></param>
/// <remarks>
/// 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.
/// </remarks>
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];// front();
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 (((Nullable <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.
throw new Exception("no conversion available from " + source.code + " to " + target.code + " for " + date);
}
/// <summary>
/// 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.
/// </summary>
/// <remarks>
/// if two or more exchange-rate chains are possible
/// which allow to specify a requested rate, it is
/// unspecified which one is returned.
/// </remarks>
/// <param name="source"></param>
/// <param name="target"></param>
/// <param name="date"></param>
/// <param name="type"></param>
/// <returns></returns>
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.evaluationDate();
}
if (type == ExchangeRate.Type.Direct)
{
return(directLookup(source, target, date));
}
else if (!source.triangulationCurrency.empty())
{
Currency link = source.triangulationCurrency;
if (link == target)
{
return(directLookup(source, link, date));
}
else
{
return(ExchangeRate.chain(directLookup(source, link, date), lookup(link, target, date)));
}
}
else if (!target.triangulationCurrency.empty())
{
Currency link = target.triangulationCurrency;
if (source == link)
{
return(directLookup(link, target, date));
}
else
{
return(ExchangeRate.chain(lookup(source, link, date), directLookup(link, target, date)));
}
}
else
{
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 testTriangulatedLookup()
{
ExchangeRateManager rateManager = ExchangeRateManager.Instance;
rateManager.clear();
Currency EUR = new EURCurrency(), USD = new USDCurrency(), ITL = new ITLCurrency();
ExchangeRate eur_usd1 = new ExchangeRate(EUR, USD, 1.1983);
ExchangeRate eur_usd2 = new ExchangeRate(EUR, USD, 1.2042);
rateManager.add(eur_usd1, new Date(4,Month.August,2004));
rateManager.add(eur_usd2, new Date(5,Month.August,2004));
Money m1 = 50000000.0 * ITL;
Money m2 = 100000.0 * USD;
Money.conversionType = Money.ConversionType.NoConversion;
ExchangeRate itl_usd = rateManager.lookup(ITL, USD,new Date(4,Month.August,2004));
Money calculated = itl_usd.exchange(m1);
Money expected = new Money(m1.value*eur_usd1.rate/1936.27, USD);
if (!Utils.close(calculated, expected))
{
Assert.Fail("Wrong result: expected: " + expected + " calculated: " + calculated);
}
itl_usd = rateManager.lookup(ITL, USD,new Date(5,Month.August,2004));
calculated = itl_usd.exchange(m1);
expected = new Money(m1.value*eur_usd2.rate/1936.27, USD);
if (!Utils.close(calculated, expected))
{
Assert.Fail("Wrong result: expected: " + expected + " calculated: " + calculated);
}
ExchangeRate usd_itl = rateManager.lookup(USD, ITL, new Date(4, Month.August, 2004));
calculated = usd_itl.exchange(m2);
expected = new Money(m2.value*1936.27/eur_usd1.rate, ITL);
if (!Utils.close(calculated, expected))
{
Assert.Fail("Wrong result: expected: " + expected + " calculated: " + calculated);
}
usd_itl = rateManager.lookup(USD, ITL, new Date(5, Month.August, 2004));
calculated = usd_itl.exchange(m2);
expected = new Money(m2.value*1936.27/eur_usd2.rate, ITL);
if (!Utils.close(calculated, expected))
{
Assert.Fail("Wrong result: expected: " + expected + " calculated: " + calculated);
}
}
public void testSmartLookup()
{
Currency EUR = new EURCurrency(), USD = new USDCurrency(), GBP = new GBPCurrency(),
CHF = new CHFCurrency(), SEK = new SEKCurrency(), JPY = new JPYCurrency();
ExchangeRateManager rateManager = ExchangeRateManager.Instance;
rateManager.clear();
ExchangeRate eur_usd1 = new ExchangeRate(EUR, USD, 1.1983);
ExchangeRate eur_usd2 = new ExchangeRate(USD, EUR, 1.0/1.2042);
rateManager.add(eur_usd1, new Date(4,Month.August,2004));
rateManager.add(eur_usd2, new Date(5,Month.August,2004));
ExchangeRate eur_gbp1 = new ExchangeRate(GBP, EUR, 1.0 / 0.6596);
ExchangeRate eur_gbp2 = new ExchangeRate(EUR, GBP, 0.6612);
rateManager.add(eur_gbp1, new Date(4,Month.August,2004));
rateManager.add(eur_gbp2, new Date(5,Month.August,2004));
ExchangeRate usd_chf1 = new ExchangeRate(USD, CHF, 1.2847);
ExchangeRate usd_chf2 = new ExchangeRate(CHF, USD, 1.0 / 1.2774);
rateManager.add(usd_chf1, new Date(4,Month.August,2004));
rateManager.add(usd_chf2, new Date(5,Month.August,2004));
ExchangeRate chf_sek1 = new ExchangeRate(SEK, CHF, 0.1674);
ExchangeRate chf_sek2 = new ExchangeRate(CHF, SEK, 1.0 / 0.1677);
rateManager.add(chf_sek1, new Date(4,Month.August,2004));
rateManager.add(chf_sek2, new Date(5,Month.August,2004));
ExchangeRate jpy_sek1 = new ExchangeRate(SEK, JPY, 14.5450);
ExchangeRate jpy_sek2 = new ExchangeRate(JPY, SEK, 1.0 / 14.6110);
rateManager.add(jpy_sek1, new Date(4,Month.August,2004));
rateManager.add(jpy_sek2, new Date(5,Month.August,2004));
Money m1 = 100000.0 * USD;
Money m2 = 100000.0 * EUR;
Money m3 = 100000.0 * GBP;
Money m4 = 100000.0 * CHF;
Money m5 = 100000.0 * SEK;
Money m6 = 100000.0 * JPY;
Money.conversionType = Money.ConversionType.NoConversion;
// two-rate chain
ExchangeRate usd_sek = rateManager.lookup(USD, SEK, new Date(4,Month.August,2004));
Money calculated = usd_sek.exchange(m1);
Money expected = new Money(m1.value*usd_chf1.rate/chf_sek1.rate, SEK);
if (!Utils.close(calculated, expected))
{
Assert.Fail("Wrong result: expected: " + expected + " calculated: " + calculated);
}
usd_sek = rateManager.lookup(SEK, USD, new Date(5,Month.August,2004));
calculated = usd_sek.exchange(m5);
expected = new Money(m5.value*usd_chf2.rate/chf_sek2.rate, USD);
if (!Utils.close(calculated, expected))
{
Assert.Fail("Wrong result: expected: " + expected + " calculated: " + calculated);
}
// three-rate chain
ExchangeRate eur_sek = rateManager.lookup(EUR, SEK,new Date(4,Month.August,2004));
calculated = eur_sek.exchange(m2);
expected = new Money(m2.value*eur_usd1.rate*usd_chf1.rate/chf_sek1.rate, SEK);
if (!Utils.close(calculated, expected))
{
Assert.Fail("Wrong result: expected: " + expected + " calculated: " + calculated);
}
eur_sek = rateManager.lookup(SEK, EUR, new Date(5,Month.August,2004));
calculated = eur_sek.exchange(m5);
expected = new Money(m5.value*eur_usd2.rate*usd_chf2.rate/chf_sek2.rate, EUR);
if (!Utils.close(calculated, expected))
{
Assert.Fail("Wrong result: expected: " + expected + " calculated: " + calculated);
}
// four-rate chain
ExchangeRate eur_jpy = rateManager.lookup(EUR, JPY,new Date(4,Month.August,2004));
calculated = eur_jpy.exchange(m2);
expected = new Money(m2.value*eur_usd1.rate*usd_chf1.rate*jpy_sek1.rate/chf_sek1.rate, JPY);
if (!Utils.close(calculated, expected))
{
Assert.Fail("Wrong result: expected: " + expected + " calculated: " + calculated);
}
eur_jpy = rateManager.lookup(JPY, EUR, new Date(5,Month.August,2004));
calculated = eur_jpy.exchange(m6);
expected = new Money(m6.value*jpy_sek2.rate*eur_usd2.rate*usd_chf2.rate/chf_sek2.rate, EUR);
if (!Utils.close(calculated, expected))
{
Assert.Fail("Wrong result: expected: " + expected + " calculated: " + calculated);
}
// five-rate chain
ExchangeRate gbp_jpy = rateManager.lookup(GBP, JPY,new Date(4,Month.August,2004));
calculated = gbp_jpy.exchange(m3);
expected = new Money(m3.value*eur_gbp1.rate*eur_usd1.rate*usd_chf1.rate*jpy_sek1.rate/chf_sek1.rate, JPY);
if (!Utils.close(calculated, expected))
{
Assert.Fail("Wrong result: expected: " + expected + " calculated: " + calculated);
}
gbp_jpy = rateManager.lookup(JPY, GBP, new Date(5,Month.August,2004));
calculated = gbp_jpy.exchange(m6);
expected = new Money(m6.value*jpy_sek2.rate*eur_usd2.rate*usd_chf2.rate*eur_gbp2.rate/chf_sek2.rate, GBP);
if (!Utils.close(calculated, expected))
{
Assert.Fail("Wrong result: expected: " + expected + " calculated: " + calculated);
}
}
/// <summary>
/// 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.
/// </summary>
/// <remarks>
/// if two or more exchange-rate chains are possible
/// which allow to specify a requested rate, it is
/// unspecified which one is returned.
/// </remarks>
/// <param name="source"></param>
/// <param name="target"></param>
/// <param name="date"></param>
/// <param name="type"></param>
/// <returns></returns>
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.evaluationDate();
if (type == ExchangeRate.Type.Direct)
{
return directLookup(source, target, date);
}
else if (!source.triangulationCurrency.empty())
{
Currency link = source.triangulationCurrency;
if (link == target)
return directLookup(source, link, date);
else
return ExchangeRate.chain(directLookup(source, link, date), lookup(link, target, date));
}
else if (!target.triangulationCurrency.empty())
{
Currency link = target.triangulationCurrency;
if (source == link)
return directLookup(link, target, date);
else
return ExchangeRate.chain(lookup(source, link, date), directLookup(link, target, date));
}
else
{
return smartLookup(source, target, date);
}
}
public void add(ExchangeRate rate)
{
add(rate, Date.minDate(), Date.maxDate());
}
public void add(ExchangeRate rate, Date startDate)
{
add(rate, startDate, Date.maxDate());
}
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;
}
/// <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
{
throw new Exception ("exchange rates not chainable");
}
return result;
}
public Entry(ExchangeRate r, Date s, Date e)
{
rate = r;
startDate = s;
endDate = e;
}
public void testDirectLookup()
{
ExchangeRateManager rateManager = ExchangeRateManager.Instance;
rateManager.clear();
Currency EUR = new EURCurrency(), USD = new USDCurrency();
ExchangeRate eur_usd1 = new ExchangeRate(EUR, USD, 1.1983);
ExchangeRate eur_usd2 = new ExchangeRate(USD, EUR, 1.0/1.2042);
rateManager.add(eur_usd1, new Date(4,Month.August,2004));
rateManager.add(eur_usd2, new Date(5,Month.August,2004));
Money m1 = 50000.0 * EUR;
Money m2 = 100000.0 * USD;
Money.conversionType = Money.ConversionType.NoConversion;
ExchangeRate eur_usd = rateManager.lookup(EUR, USD,new Date(4,Month.August,2004),ExchangeRate.Type.Direct);
Money calculated = eur_usd.exchange(m1);
Money expected = new Money(m1.value*eur_usd1.rate, USD);
if (!Utils.close(calculated, expected))
{
Assert.Fail("Wrong result: expected: " + expected + " calculated: " + calculated);
}
eur_usd = rateManager.lookup(EUR, USD,new Date(5,Month.August,2004),ExchangeRate.Type.Direct);
calculated = eur_usd.exchange(m1);
expected = new Money(m1.value/eur_usd2.rate, USD);
if (!Utils.close(calculated, expected))
{
Assert.Fail("Wrong result: expected: " + expected + " calculated: " + calculated);
}
ExchangeRate usd_eur = rateManager.lookup(USD, EUR,new Date(4,Month.August,2004),ExchangeRate.Type.Direct);
calculated = usd_eur.exchange(m2);
expected = new Money(m2.value/eur_usd1.rate, EUR);
if (!Utils.close(calculated, expected))
{
Assert.Fail("Wrong result: expected: " + expected + " calculated: " + calculated);
}
usd_eur = rateManager.lookup(USD, EUR,new Date(5,Month.August,2004),ExchangeRate.Type.Direct);
calculated = usd_eur.exchange(m2);
expected = new Money(m2.value*eur_usd2.rate, EUR);
if (!Utils.close(calculated, expected))
{
Assert.Fail("Wrong result: expected: " + expected + " calculated: " + calculated);
}
}
public void add(ExchangeRate rate, Date startDate)
{
add(rate, startDate, Date.maxDate());
}
/// <summary>
/// Add an exchange rate.
/// </summary>
/// <param name="rate"></param>
/// <param name="startDate"></param>
/// <param name="endDate"></param>
/// <remarks>
/// 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.
/// </remarks>
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));
}
}
