1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
|
/* -*- 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;
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);
}
}
|
