net.objectlab.kit.fxcalc

Class CrossRateCalculator

java.lang.Object

net.objectlab.kit.fxcalc.CrossRateCalculator

public final class CrossRateCalculator
extends Object

Calculator responsible for generating a new cross FX Rate based on two relevant (sharing a cross currency) FX Rates; e.g. CHF/JPY based on USD/CHF and USD/JPY. This calculator is able to handle all 'standard' cases where the market convention is different, e.g. GBP/CAD via USD/CAD and EUR/USD or inverted rates if it is what you might have e.g. GBP/CAD via CAD/USD and EUR/USD.

Author:

Benoit Xhenseval

Method Summary

Modifier and Type	Method and Description
static FxRate	calculateCross(CurrencyPair targetPair, FxRate fx1, FxRate fx2, int precision, int precisionForInverseFxRate, MajorCurrencyRanking ranking, int bidRounding, int askRounding, CurrencyProvider currencyProvider) Calculate the cross rate, use this only if required.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Method Detail

calculateCross

public static FxRate calculateCross(CurrencyPair targetPair,
                                    FxRate fx1,
                                    FxRate fx2,
                                    int precision,
                                    int precisionForInverseFxRate,
                                    MajorCurrencyRanking ranking,
                                    int bidRounding,
                                    int askRounding,
                                    CurrencyProvider currencyProvider)

Calculate the cross rate, use this only if required.

Parameters:

targetPair - the currency pair we want Bid/Ask for

fx1 - one rate involving either targetPair.ccy1 or targetPair.ccy2

fx2 - one rate involving either targetPair.ccy1 or targetPair.ccy2

precision - required in case we need to divide rates

ranking - link to algorithm to determine if the targetPair will be market convention or not

Returns:

a new instance of FxRate

Throws:

IllegalArgumentException - if the 2 fx1 and fx2 do not share a common cross currency or either currencies in the targetPair