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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2004 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.
*/
/*! \file exchangerate.hpp
\brief exchange rate between two currencies
*/
#ifndef quantlib_exchange_rate_hpp
#define quantlib_exchange_rate_hpp
#include <ql/money.hpp>
#include <ql/utilities/null.hpp>
#include <utility>
namespace QuantLib {
//! exchange rate between two currencies
/*! \test application of direct and derived exchange rate is
tested against calculations.
*/
class ExchangeRate {
public:
enum Type { Direct, /*!< given directly by the user */
Derived /*!< derived from exchange rates between
other currencies */
};
//! \name Constructors
//@{
ExchangeRate();
/*! the rate \f$ r \f$ is given with the convention that a
unit of the source is worth \f$ r \f$ units of the target.
*/
ExchangeRate(Currency source, Currency target, Decimal rate);
//@}
//! \name Inspectors
//@{
//! the source currency.
const Currency& source() const;
//! the target currency.
const Currency& target() const;
//! the type
Type type() const;
//! the exchange rate (when available)
Decimal rate() const;
//@}
//! \name Utility methods
//@{
//! apply the exchange rate to a cash amount
Money exchange(const Money& amount) const;
//! chain two exchange rates
static ExchangeRate chain(const ExchangeRate& r1,
const ExchangeRate& r2);
//@}
private:
Currency source_, target_;
Decimal rate_;
Type type_;
std::pair<ext::shared_ptr<ExchangeRate>,
ext::shared_ptr<ExchangeRate> > rateChain_;
};
// inline definitions
inline ExchangeRate::ExchangeRate() : rate_(Null<Decimal>()), type_(Direct) {}
inline ExchangeRate::ExchangeRate(Currency source, Currency target, Decimal rate)
: source_(std::move(source)), target_(std::move(target)), rate_(rate), type_(Direct) {}
inline const Currency& ExchangeRate::source() const {
return source_;
}
inline const Currency& ExchangeRate::target() const {
return target_;
}
inline ExchangeRate::Type ExchangeRate::type() const {
return type_;
}
inline Decimal ExchangeRate::rate() const {
return rate_;
}
}
#endif
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