FX Rate example

imperial-fx.scala

import java.util.Currency

object Fx {
  type CcyPair = (Currency, Currency)
  case class FxRate(from: Currency, to: Currency, rate: BigDecimal) {
    def pair: CcyPair = from → to
    def unary_~ = FxRate(to, from, 1 / rate)
    def *(that: FxRate): FxRate = {
      require(this.to == that.from)
      FxRate(this.from, that.to, this.rate * that.rate)
    }
  }


  trait MarketEnv {
    def rate: Currency ⇒ Currency ⇒ Option[FxRate]
  }

  case class SimpleEnv(rates: Map[CcyPair, FxRate]) extends MarketEnv {
    def rate = from => to => {
      def attemptDirectly(c1: Currency, c2: Currency) = {
        rates get (c1 → c2) orElse (rates get (c2 → c1) map (~_))
      }

      def viaUsd = {
        val Usd = Currency.getInstance("USD")
        for {
          f2u <- attemptDirectly(from, Usd)
          u2t <- attemptDirectly(Usd, to)
        } yield f2u * u2t
      }

      attemptDirectly(from, to) orElse viaUsd
    }
  }

  def main(args: Array[String]) {
    val Gbp = Currency.getInstance("GBP")
    val Usd = Currency.getInstance("USD")
    val Eur = Currency.getInstance("EUR")
    val Jpy = Currency.getInstance("JPY")
    val rates = FxRate(Gbp, Usd, 1.57) :: FxRate(Eur, Usd, 1.31) :: Nil
    val env = SimpleEnv((rates map (r => r.pair → r)).toMap)

    println( env.rate(Eur)(Gbp) )

    val vGbp = env.rate(Gbp)

    println(vGbp(Eur))
    println(vGbp(Usd))
    println(vGbp(Jpy))
  }

}