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#include "CurveFXSpot.h"
#include "Market.h"
#include "Streamer.h"
 
#include <cmath>
 
 
namespace minirisk {
 
/*
  FX.SPOT.EUR.USD
  EUR: base ccy
  USD: quote ccy
*/
 
 
CurveFXSpot::CurveFXSpot(Market* mkt, const Date& today, const string& name)
:
m_fx_spot_name(name),
m_base_ccy(get_base_ccy(name)),
m_quote_ccy(get_quote_ccy(name)),
m_base_ccy_rate(get_ccy_rate(mkt, m_base_ccy)),
m_quote_ccy_rate(get_ccy_rate(mkt, m_quote_ccy)),
m_today(today)
{
 
}
 
double CurveFXSpot::spot() const
{
return  m_base_ccy_rate / m_quote_ccy_rate;
}
 
// transform FX.SPOT.EUR.USD to EUR
const string CurveFXSpot::get_base_ccy(const string& name)



{
return name.substr(8,3);
}
 
// transform FX.SPOT.EUR.USD to USD
const string CurveFXSpot::get_quote_ccy(const string& name)
{
return name.substr(12, 3);
}
 
const double CurveFXSpot::get_ccy_rate(Market* mkt, const string& name)
{
if ( name == "USD" )
return 1.0;
 
return mkt->get_fx_spot_rate(fx_spot_name(name, "USD"));
}
 
string CurveFXSpot::name() const
{
return m_fx_spot_name;
}
 
Date CurveFXSpot::today() const
{
return m_today;
}
 
}