//-------------------------------------------------------------------------
public double fxRate(Currency baseCurrency, Currency counterCurrency)
{
if (baseCurrency.Equals(counterCurrency))
{
return(1);
}
// Try direct pair
Optional <FxRate> rate = marketData.findValue(FxRateId.of(baseCurrency, counterCurrency, fxRatesSource));
if (rate.Present)
{
return(rate.get().fxRate(baseCurrency, counterCurrency));
}
// try specified triangulation currency
if (triangulationCurrency != null)
{
Optional <FxRate> rateBase1 = marketData.findValue(FxRateId.of(baseCurrency, triangulationCurrency, fxRatesSource));
Optional <FxRate> rateBase2 = marketData.findValue(FxRateId.of(triangulationCurrency, counterCurrency, fxRatesSource));
if (rateBase1.Present && rateBase2.Present)
{
return(rateBase1.get().crossRate(rateBase2.get()).fxRate(baseCurrency, counterCurrency));
}
}
// Try triangulation on base currency
Currency triangularBaseCcy = baseCurrency.TriangulationCurrency;
Optional <FxRate> rateBase1 = marketData.findValue(FxRateId.of(baseCurrency, triangularBaseCcy, fxRatesSource));
Optional <FxRate> rateBase2 = marketData.findValue(FxRateId.of(triangularBaseCcy, counterCurrency, fxRatesSource));
if (rateBase1.Present && rateBase2.Present)
{
return(rateBase1.get().crossRate(rateBase2.get()).fxRate(baseCurrency, counterCurrency));
}
// Try triangulation on counter currency
Currency triangularCounterCcy = counterCurrency.TriangulationCurrency;
Optional <FxRate> rateCounter1 = marketData.findValue(FxRateId.of(baseCurrency, triangularCounterCcy, fxRatesSource));
Optional <FxRate> rateCounter2 = marketData.findValue(FxRateId.of(triangularCounterCcy, counterCurrency, fxRatesSource));
if (rateCounter1.Present && rateCounter2.Present)
{
return(rateCounter1.get().crossRate(rateCounter2.get()).fxRate(baseCurrency, counterCurrency));
}
// Double triangulation
if (rateBase1.Present && rateCounter2.Present)
{
Optional <FxRate> rateTriangular2 = marketData.findValue(FxRateId.of(triangularBaseCcy, triangularCounterCcy, fxRatesSource));
if (rateTriangular2.Present)
{
return(rateBase1.get().crossRate(rateTriangular2.get()).crossRate(rateCounter2.get()).fxRate(baseCurrency, counterCurrency));
}
}
if (fxRatesSource.Equals(ObservableSource.NONE))
{
throw new MarketDataNotFoundException(Messages.format("No FX rate market data for {}/{}", baseCurrency, counterCurrency));
}
throw new MarketDataNotFoundException(Messages.format("No FX rate market data for {}/{} using source '{}'", baseCurrency, counterCurrency, fxRatesSource));
}
public override string ToString()
{
return((new StringBuilder(32)).Append("FxRateId:").Append(pair).Append(observableSource.Equals(ObservableSource.NONE) ? "" : "/" + observableSource).ToString());
}
public override string ToString()
{
return("FxMatrixId" + (observableSource.Equals(ObservableSource.NONE) ? "" : ":" + observableSource));
}
