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exchangeratemanager.cpp
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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2004, 2005, 2006, 2007, 2008 StatPro Italia srl
Copyright (C) 2004 Decillion Pty(Ltd)
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
#include <ql/currencies/exchangeratemanager.hpp>
#include <ql/currencies/europe.hpp>
#include <ql/currencies/america.hpp>
#include <ql/settings.hpp>
namespace QuantLib {
namespace {
struct valid_at
: public std::unary_function<ExchangeRateManager::Entry,bool> {
Date d;
explicit valid_at(const Date& d) : d(d) {}
bool operator()(const ExchangeRateManager::Entry& e) {
return d >= e.startDate && d <= e.endDate;
}
};
}
ExchangeRateManager::ExchangeRateManager() {
addKnownRates();
}
void ExchangeRateManager::add(const ExchangeRate& rate,
const Date& startDate,
const Date& endDate) {
Key k = hash(rate.source(), rate.target());
data_[k].push_front(Entry(rate,startDate,endDate));
}
ExchangeRate ExchangeRateManager::lookup(const Currency& source,
const Currency& target,
Date date,
ExchangeRate::Type type) const {
if (source == target)
return ExchangeRate(source,target,1.0);
if (date == Date())
date = Settings::instance().evaluationDate();
if (type == ExchangeRate::Direct) {
return directLookup(source,target,date);
} else if (!source.triangulationCurrency().empty()) {
const 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()) {
const 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);
}
}
void ExchangeRateManager::clear() {
data_.clear();
addKnownRates();
}
ExchangeRateManager::Key ExchangeRateManager::hash(
const Currency& c1, const Currency& c2) const {
return Key(std::min(c1.numericCode(),c2.numericCode()))*1000
+ Key(std::max(c1.numericCode(),c2.numericCode()));
}
bool ExchangeRateManager::hashes(ExchangeRateManager::Key k,
const Currency& c) const {
return c.numericCode() == k % 1000 || c.numericCode() == k/1000;
}
void ExchangeRateManager::addKnownRates() {
// currencies obsoleted by Euro
add(ExchangeRate(EURCurrency(), ATSCurrency(), 13.7603),
Date(1,January,1999), Date::maxDate());
add(ExchangeRate(EURCurrency(), BEFCurrency(), 40.3399),
Date(1,January,1999), Date::maxDate());
add(ExchangeRate(EURCurrency(), DEMCurrency(), 1.95583),
Date(1,January,1999), Date::maxDate());
add(ExchangeRate(EURCurrency(), ESPCurrency(), 166.386),
Date(1,January,1999), Date::maxDate());
add(ExchangeRate(EURCurrency(), FIMCurrency(), 5.94573),
Date(1,January,1999), Date::maxDate());
add(ExchangeRate(EURCurrency(), FRFCurrency(), 6.55957),
Date(1,January,1999), Date::maxDate());
add(ExchangeRate(EURCurrency(), GRDCurrency(), 340.750),
Date(1,January,2001), Date::maxDate());
add(ExchangeRate(EURCurrency(), IEPCurrency(), 0.787564),
Date(1,January,1999), Date::maxDate());
add(ExchangeRate(EURCurrency(), ITLCurrency(), 1936.27),
Date(1,January,1999), Date::maxDate());
add(ExchangeRate(EURCurrency(), LUFCurrency(), 40.3399),
Date(1,January,1999), Date::maxDate());
add(ExchangeRate(EURCurrency(), NLGCurrency(), 2.20371),
Date(1,January,1999), Date::maxDate());
add(ExchangeRate(EURCurrency(), PTECurrency(), 200.482),
Date(1,January,1999), Date::maxDate());
// other obsoleted currencies
add(ExchangeRate(TRYCurrency(), TRLCurrency(), 1000000.0),
Date(1,January,2005), Date::maxDate());
add(ExchangeRate(RONCurrency(), ROLCurrency(), 10000.0),
Date(1,July,2005), Date::maxDate());
add(ExchangeRate(PENCurrency(), PEICurrency(), 1000000.0),
Date(1,July,1991), Date::maxDate());
add(ExchangeRate(PEICurrency(), PEHCurrency(), 1000.0),
Date(1,February,1985), Date::maxDate());
}
ExchangeRate ExchangeRateManager::directLookup(const Currency& source,
const Currency& target,
const Date& date) const {
if (const ExchangeRate* rate = fetch(source,target,date))
return *rate;
else
QL_FAIL("no direct conversion available from "
<< source.code() << " to " << target.code()
<< " for " << date);
}
ExchangeRate ExchangeRateManager::smartLookup(
const Currency& source,
const Currency& target,
const Date& date,
std::list<Integer> forbidden) const {
// direct exchange rates are preferred.
if (const ExchangeRate* direct = fetch(source,target,date))
return *direct;
// if none is found, turn to smart lookup. The source currency
// is forbidden to subsequent lookups in order to avoid cycles.
forbidden.push_back(source.numericCode());
std::map<Key, std::list<Entry> >::const_iterator i;
for (i = data_.begin(); i != data_.end(); ++i) {
// we look for exchange-rate data which involve our source
// currency...
if (hashes(i->first, source) && !(i->second.empty())) {
// ...whose other currency is not forbidden...
const Entry& e = i->second.front();
const Currency& other =
source == e.rate.source() ?
e.rate.target() : e.rate.source();
if (std::find(forbidden.begin(),forbidden.end(),
other.numericCode()) == forbidden.end()) {
// ...and which carries information for the requested date.
if (const ExchangeRate* head = fetch(source,other,date)) {
// 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 (Error&) {
// otherwise, we just discard this rate.
;
}
}
}
}
}
// if the loop completed, we have no way to return the requested rate.
QL_FAIL("no conversion available from "
<< source.code() << " to " << target.code()
<< " for " << date);
}
const ExchangeRate* ExchangeRateManager::fetch(const Currency& source,
const Currency& target,
const Date& date) const {
const std::list<Entry>& rates = data_[hash(source,target)];
std::list<Entry>::const_iterator i =
std::find_if(rates.begin(), rates.end(), valid_at(date));
return i == rates.end() ?
(const ExchangeRate*) 0 :
&(i->rate);
}
}