| 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 | <http://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 | Money ExchangeRate::exchange(const Money& amount) const { |
| 26 | switch (type_) { |
| 27 | case Direct: |
| 28 | if (amount.currency() == source_) |
| 29 | return Money(amount.value()*rate_, target_); |
| 30 | else if (amount.currency() == target_) |
| 31 | return Money(amount.value()/rate_, source_); |
| 32 | else |
| 33 | QL_FAIL("exchange rate not applicable"); |
| 34 | case Derived: |
| 35 | if (amount.currency() == rateChain_.first->source() || |
| 36 | amount.currency() == rateChain_.first->target()) |
| 37 | return rateChain_.second->exchange( |
| 38 | amount: rateChain_.first->exchange(amount)); |
| 39 | else if (amount.currency() == rateChain_.second->source() || |
| 40 | amount.currency() == rateChain_.second->target()) |
| 41 | return rateChain_.first->exchange( |
| 42 | amount: rateChain_.second->exchange(amount)); |
| 43 | else |
| 44 | QL_FAIL("exchange rate not applicable"); |
| 45 | default: |
| 46 | QL_FAIL("unknown exchange-rate type"); |
| 47 | } |
| 48 | } |
| 49 | |
| 50 | ExchangeRate ExchangeRate::chain(const ExchangeRate& r1, |
| 51 | const ExchangeRate& r2) { |
| 52 | ExchangeRate result; |
| 53 | result.type_ = Derived; |
| 54 | result.rateChain_ = std::make_pair( |
| 55 | x: ext::make_shared<ExchangeRate>(args: r1), |
| 56 | y: ext::make_shared<ExchangeRate>(args: r2)); |
| 57 | if (r1.source_ == r2.source_) { |
| 58 | result.source_ = r1.target_; |
| 59 | result.target_ = r2.target_; |
| 60 | result.rate_ = r2.rate_/r1.rate_; |
| 61 | } else if (r1.source_ == r2.target_) { |
| 62 | result.source_ = r1.target_; |
| 63 | result.target_ = r2.source_; |
| 64 | result.rate_ = 1.0/(r1.rate_*r2.rate_); |
| 65 | } else if (r1.target_ == r2.source_) { |
| 66 | result.source_ = r1.source_; |
| 67 | result.target_ = r2.target_; |
| 68 | result.rate_ = r1.rate_*r2.rate_; |
| 69 | } else if (r1.target_ == r2.target_) { |
| 70 | result.source_ = r1.source_; |
| 71 | result.target_ = r2.source_; |
| 72 | result.rate_ = r1.rate_/r2.rate_; |
| 73 | } else { |
| 74 | QL_FAIL("exchange rates not chainable"); |
| 75 | } |
| 76 | return result; |
| 77 | } |
| 78 | |
| 79 | } |
| 80 |