/src/quantlib/ql/exchangerate.cpp
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1 | | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
2 | | |
3 | | /* |
4 | | Copyright (C) 2004, 2008 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 | | #include <ql/exchangerate.hpp> |
22 | | |
23 | | namespace QuantLib { |
24 | | |
25 | 0 | Money ExchangeRate::exchange(const Money& amount) const { |
26 | 0 | switch (type_) { |
27 | 0 | case Direct: |
28 | 0 | if (amount.currency() == source_) |
29 | 0 | return Money(amount.value()*rate_, target_); |
30 | 0 | else if (amount.currency() == target_) |
31 | 0 | return Money(amount.value()/rate_, source_); |
32 | 0 | else |
33 | 0 | QL_FAIL("exchange rate not applicable"); |
34 | 0 | case Derived: |
35 | 0 | if (amount.currency() == rateChain_.first->source() || |
36 | 0 | amount.currency() == rateChain_.first->target()) |
37 | 0 | return rateChain_.second->exchange( |
38 | 0 | rateChain_.first->exchange(amount)); |
39 | 0 | else if (amount.currency() == rateChain_.second->source() || |
40 | 0 | amount.currency() == rateChain_.second->target()) |
41 | 0 | return rateChain_.first->exchange( |
42 | 0 | rateChain_.second->exchange(amount)); |
43 | 0 | else |
44 | 0 | QL_FAIL("exchange rate not applicable"); |
45 | 0 | default: |
46 | 0 | QL_FAIL("unknown exchange-rate type"); |
47 | 0 | } |
48 | 0 | } |
49 | | |
50 | | ExchangeRate ExchangeRate::chain(const ExchangeRate& r1, |
51 | 0 | const ExchangeRate& r2) { |
52 | 0 | ExchangeRate result; |
53 | 0 | result.type_ = Derived; |
54 | 0 | result.rateChain_ = std::make_pair( |
55 | 0 | ext::make_shared<ExchangeRate>(r1), |
56 | 0 | ext::make_shared<ExchangeRate>(r2)); |
57 | 0 | if (r1.source_ == r2.source_) { |
58 | 0 | result.source_ = r1.target_; |
59 | 0 | result.target_ = r2.target_; |
60 | 0 | result.rate_ = r2.rate_/r1.rate_; |
61 | 0 | } else if (r1.source_ == r2.target_) { |
62 | 0 | result.source_ = r1.target_; |
63 | 0 | result.target_ = r2.source_; |
64 | 0 | result.rate_ = 1.0/(r1.rate_*r2.rate_); |
65 | 0 | } else if (r1.target_ == r2.source_) { |
66 | 0 | result.source_ = r1.source_; |
67 | 0 | result.target_ = r2.target_; |
68 | 0 | result.rate_ = r1.rate_*r2.rate_; |
69 | 0 | } else if (r1.target_ == r2.target_) { |
70 | 0 | result.source_ = r1.source_; |
71 | 0 | result.target_ = r2.source_; |
72 | 0 | result.rate_ = r1.rate_/r2.rate_; |
73 | 0 | } else { |
74 | 0 | QL_FAIL("exchange rates not chainable"); |
75 | 0 | } |
76 | 0 | return result; |
77 | 0 | } |
78 | | |
79 | | } |