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We have two incompatible methods of triangulating FX rates - FxMatrix and MarketDataFxRateProvider. MarketDataFxRateProvider builds FX rates by triangulating rates from a set of market data. FxMatrix is a completely stand-alone container of FX rates and performs its own triangulation.
The calculation runner indirectly uses MarketDataFxRateProvider and is therefore implicitly assuming all FX rates can be built from the rates in the market data.
If a user creates an FxMatrix and then tries to use the calculation runner the rates from the FX matrix will not be available for the calculation runner to convert the results to the reporting currency. There is no nice workaround for this - the user must unpack the individual rates from the FxMatrix and insert them into the market data.
Ultimately this problem is caused by having two ways to do the same thing. We should pick one and use it everywhere. The simplest thing would be to replace uses of FxMatrix with MarketDataFxRateProvider built from MarketData containing FX rates.
The text was updated successfully, but these errors were encountered:
We have two incompatible methods of triangulating FX rates -
FxMatrix
andMarketDataFxRateProvider
.MarketDataFxRateProvider
builds FX rates by triangulating rates from a set of market data.FxMatrix
is a completely stand-alone container of FX rates and performs its own triangulation.The calculation runner indirectly uses
MarketDataFxRateProvider
and is therefore implicitly assuming all FX rates can be built from the rates in the market data.If a user creates an
FxMatrix
and then tries to use the calculation runner the rates from the FX matrix will not be available for the calculation runner to convert the results to the reporting currency. There is no nice workaround for this - the user must unpack the individual rates from theFxMatrix
and insert them into the market data.Ultimately this problem is caused by having two ways to do the same thing. We should pick one and use it everywhere. The simplest thing would be to replace uses of
FxMatrix
withMarketDataFxRateProvider
built fromMarketData
containing FX rates.The text was updated successfully, but these errors were encountered: