def get_fx_prices(self, fx_code:str) ->fxPrices:
"""
Get a historical series of FX prices
:param fx_code: currency code, in the form EURUSD
:return: fxData object
"""
currency1, currency2 = get_fx_tuple_from_code(fx_code)
if currency1 == currency2:
# Trivial, just a bunch of 1's
fx_data = DEFAULT_RATE_SERIES
elif currency2 == DEFAULT_CURRENCY:
# We ought to have data
fx_data = self._get_standard_fx_prices(fx_code)
elif currency1 == DEFAULT_CURRENCY:
# inversion
fx_data = self._get_fx_prices_for_inversion(fx_code)
else:
# Try a cross rate
fx_data = self._get_fx_cross(fx_code)
return fx_data
def _get_fx_cross(self, fx_code: str) ->fxPrices:
"""
Get a currency cross rate XXXYYY, eg not XXXUSD or USDXXX or XXXXXX
:return: fxPrices
"""
currency1, currency2 = get_fx_tuple_from_code(fx_code)
currency1_vs_default = self._get_fx_prices_vs_default(currency1)
currency2_vs_default = self._get_fx_prices_vs_default(currency2)
if currency1_vs_default.empty or currency2_vs_default.empty:
return fxPrices.create_empty()
(aligned_c1, aligned_c2) = currency1_vs_default.align(
currency2_vs_default, join="outer"
)
fx_rate_series = aligned_c1.ffill() / aligned_c2.ffill()
return fx_rate_series
def _get_fx_prices_for_inversion(self, fx_code: str) -> fxPrices:
"""
Get a historical series of FX prices, must be USDXXX
:param currency2
:return: fxData
"""
currency1, currency2 = get_fx_tuple_from_code(fx_code)
assert currency1 == DEFAULT_CURRENCY
raw_fx_data = self._get_fx_prices_vs_default(currency2)
if raw_fx_data.empty:
self.log.warn(
"Data for %s is missing, needed to calculate %s" %
(currency2 + DEFAULT_CURRENCY, DEFAULT_CURRENCY + currency2))
return raw_fx_data
inverted_fx_data = 1.0 / raw_fx_data
return inverted_fx_data
def _get_standard_fx_prices(self, fx_code: str) -> fxPrices:
currency1, currency2 = get_fx_tuple_from_code(fx_code)
assert currency2==DEFAULT_CURRENCY
fx_data = self._get_fx_prices_vs_default(currency1)
return fx_data
