New currency converter service
When you create a realized profit and loss default position tracker you must specify a currency converter. The tracker uses the currency converter to obtain values that are normalized to a base currency that you specify.
Currency converter configuration parameters let you specify the symbols whose values you need to normalize. If you specify for example, "USD/EUR" the currency converter will automatically obtain values for EUR to USD as well as for USD to EUR. Also, if there is not a direct exchange rate between two symbols, you can specify those symbols as a cross currency and the currency converter will automatically obtain information for a third symbol that it can use to convert between the two specified symbols.
The new APIs for creating and configuring a currency converter are in the com.apama.ccyconverter package and follow the same conventions used for the CMF APIs for session handlers, market data subscribers, and risk firewalls:
Event | Description |
CalculationExtension | Defines the interface used by the currency converter to communicate and control calculation objects that supply values. |
CalculationExtensionFactory | Creates a new instance of a CalculationExtension object. The created object is a default implementation. As needed, you should override the provided CalculationExtension actions with your own implementations. |
Consts | Defines the constant values used to specify CalculationExtension configuration values. |
CurrencyConverter | Defines the interface for using the currency converter. |
CurrencyConverterFactory | Creates a new instance of a CurrencyConverter object. |
ErrorConsts | Defines the constant values used for error handling in the currency converter. |
The steps for using a currency converter are as follows:
1. Create a currency calculation extension.
2. Create a currency converter that uses the currency calculation extension you created.
3. Provide an interface to the currency converter you created. For example, when you want to use a realized profit and loss position tracker, you must specify a currency converter.
Sample code for using a currency converter is in the samples\Currency Converter Sample directory in your CMF installation directory. In addition, there are two sample currency calculation extensions in the Currency Converter Sample\eventdefinitions directory. Information and instructions for using a currency converter and a currency calculation extension are in the "Analytics" section of the Capital Markets Foundation.
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