exchangeratemanager.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2004, 2005 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.
*/
 
#ifndef quantlib_exchange_rate_manager_hpp
#define quantlib_exchange_rate_manager_hpp
 
#include <ql/exchangerate.hpp>
#include <ql/patterns/singleton.hpp>
#include <ql/time/date.hpp>
#include <list>
#include <map>
#include <utility>
 
namespace QuantLib {
 
 
    class ExchangeRateManager : public Singleton<ExchangeRateManager> {
        friend class Singleton<ExchangeRateManager>;
      private:
        ExchangeRateManager();
      public:
 
        void add(const ExchangeRate&,
                 const Date& startDate = Date::minDate(),
                 const Date& endDate = Date::maxDate());
        ExchangeRate lookup(const Currency& source,
                            const Currency& target,
                            Date date = Date(),
                            ExchangeRate::Type type =
                                                 ExchangeRate::Derived) const;
        void clear();
 
        struct Entry {
            Entry() = default;
            Entry(ExchangeRate rate, const Date& start, const Date& end)
            : rate(std::move(rate)), startDate(start), endDate(end) {}
            ExchangeRate rate;
            Date startDate, endDate;
        };
      private:
        typedef BigInteger Key;
        mutable std::map<Key, std::list<Entry> > data_;
        Key hash(const Currency&, const Currency&) const;
        bool hashes(Key, const Currency&) const;
        void addKnownRates();
        ExchangeRate directLookup(const Currency& source,
                                  const Currency& target,
                                  const Date& date) const;
        ExchangeRate smartLookup(const Currency& source,
                                 const Currency& target,
                                 const Date& date,
                                 std::list<Integer> forbiddenCodes
                                        = std::list<Integer>()) const;
        const ExchangeRate* fetch(const Currency& source,
                                  const Currency& target,
                                  const Date& date) const;
    };
 
}
 
 
#endif