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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;
}
}
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