/src/quantlib/ql/exchangerate.hpp
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1 | | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
2 | | |
3 | | /* |
4 | | Copyright (C) 2004 StatPro Italia srl |
5 | | Copyright (C) 2004 Decillion Pty(Ltd) |
6 | | |
7 | | This file is part of QuantLib, a free-software/open-source library |
8 | | for financial quantitative analysts and developers - http://quantlib.org/ |
9 | | |
10 | | QuantLib is free software: you can redistribute it and/or modify it |
11 | | under the terms of the QuantLib license. You should have received a |
12 | | copy of the license along with this program; if not, please email |
13 | | <quantlib-dev@lists.sf.net>. The license is also available online at |
14 | | <https://www.quantlib.org/license.shtml>. |
15 | | |
16 | | This program is distributed in the hope that it will be useful, but WITHOUT |
17 | | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
18 | | FOR A PARTICULAR PURPOSE. See the license for more details. |
19 | | */ |
20 | | |
21 | | /*! \file exchangerate.hpp |
22 | | \brief exchange rate between two currencies |
23 | | */ |
24 | | |
25 | | #ifndef quantlib_exchange_rate_hpp |
26 | | #define quantlib_exchange_rate_hpp |
27 | | |
28 | | #include <ql/money.hpp> |
29 | | #include <ql/utilities/null.hpp> |
30 | | #include <utility> |
31 | | |
32 | | namespace QuantLib { |
33 | | |
34 | | //! exchange rate between two currencies |
35 | | /*! \test application of direct and derived exchange rate is |
36 | | tested against calculations. |
37 | | */ |
38 | | class ExchangeRate { |
39 | | public: |
40 | | enum Type { Direct, /*!< given directly by the user */ |
41 | | Derived /*!< derived from exchange rates between |
42 | | other currencies */ |
43 | | }; |
44 | | //! \name Constructors |
45 | | //@{ |
46 | | ExchangeRate(); |
47 | | /*! the rate \f$ r \f$ is given with the convention that a |
48 | | unit of the source is worth \f$ r \f$ units of the target. |
49 | | */ |
50 | | ExchangeRate(Currency source, Currency target, Decimal rate); |
51 | | //@} |
52 | | |
53 | | //! \name Inspectors |
54 | | //@{ |
55 | | //! the source currency. |
56 | | const Currency& source() const; |
57 | | //! the target currency. |
58 | | const Currency& target() const; |
59 | | //! the type |
60 | | Type type() const; |
61 | | //! the exchange rate (when available) |
62 | | Decimal rate() const; |
63 | | //@} |
64 | | |
65 | | //! \name Utility methods |
66 | | //@{ |
67 | | //! apply the exchange rate to a cash amount |
68 | | Money exchange(const Money& amount) const; |
69 | | //! chain two exchange rates |
70 | | static ExchangeRate chain(const ExchangeRate& r1, |
71 | | const ExchangeRate& r2); |
72 | | //@} |
73 | | private: |
74 | | Currency source_, target_; |
75 | | Decimal rate_; |
76 | | Type type_; |
77 | | std::pair<ext::shared_ptr<ExchangeRate>, |
78 | | ext::shared_ptr<ExchangeRate> > rateChain_; |
79 | | }; |
80 | | |
81 | | |
82 | | // inline definitions |
83 | | |
84 | 0 | inline ExchangeRate::ExchangeRate() : rate_(Null<Decimal>()), type_(Direct) {} |
85 | | |
86 | | inline ExchangeRate::ExchangeRate(Currency source, Currency target, Decimal rate) |
87 | 0 | : source_(std::move(source)), target_(std::move(target)), rate_(rate), type_(Direct) {} |
88 | | |
89 | 0 | inline const Currency& ExchangeRate::source() const { |
90 | 0 | return source_; |
91 | 0 | } |
92 | | |
93 | 0 | inline const Currency& ExchangeRate::target() const { |
94 | 0 | return target_; |
95 | 0 | } |
96 | | |
97 | 0 | inline ExchangeRate::Type ExchangeRate::type() const { |
98 | 0 | return type_; |
99 | 0 | } |
100 | | |
101 | 0 | inline Decimal ExchangeRate::rate() const { |
102 | 0 | return rate_; |
103 | 0 | } |
104 | | |
105 | | } |
106 | | |
107 | | |
108 | | #endif |