exchangerate.cpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2004, 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/exchangerate.hpp>
 
namespace QuantLib {
 
    Money ExchangeRate::exchange(const Money& amount) const {
        switch (type_) {
          case Direct:
            if (amount.currency() == source_)
                return Money(amount.value()*rate_, target_);
            else if (amount.currency() == target_)
                return Money(amount.value()/rate_, source_);
            else
                QL_FAIL("exchange rate not applicable");
          case Derived:
            if (amount.currency() == rateChain_.first->source() ||
                amount.currency() == rateChain_.first->target())
                return rateChain_.second->exchange(
                                         rateChain_.first->exchange(amount));
            else if (amount.currency() == rateChain_.second->source() ||
                       amount.currency() == rateChain_.second->target())
                return rateChain_.first->exchange(
                                         rateChain_.second->exchange(amount));
            else
                QL_FAIL("exchange rate not applicable");
          default:
            QL_FAIL("unknown exchange-rate type");
        }
    }
 
    ExchangeRate ExchangeRate::chain(const ExchangeRate& r1,
                                     const ExchangeRate& r2) {
        ExchangeRate result;
        result.type_ = Derived;
        result.rateChain_ = std::make_pair(
                       ext::make_shared<ExchangeRate>(r1),
                       ext::make_shared<ExchangeRate>(r2));
        if (r1.source_ == r2.source_) {
            result.source_ = r1.target_;
            result.target_ = r2.target_;
            result.rate_ = r2.rate_/r1.rate_;
        } else if (r1.source_ == r2.target_) {
            result.source_ = r1.target_;
            result.target_ = r2.source_;
            result.rate_ = 1.0/(r1.rate_*r2.rate_);
        } else if (r1.target_ == r2.source_) {
            result.source_ = r1.source_;
            result.target_ = r2.target_;
            result.rate_ = r1.rate_*r2.rate_;
        } else if (r1.target_ == r2.target_) {
            result.source_ = r1.source_;
            result.target_ = r2.source_;
            result.rate_ = r1.rate_/r2.rate_;
        } else {
            QL_FAIL("exchange rates not chainable");
        }
        return result;
    }
 
}