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Add ScenarioMarketDataId for FxRatesArray

Open cjkent opened this issue 8 years ago • 1 comments

This will allow FxRatesArray to be accessed directly. This allows the caller to use the efficient, boxing-free bulk conversion method FxRatesArray.convert

cjkent avatar May 23 '16 10:05 cjkent

In order to integrate with the recent changes to the market data API this should probably include a new method ScenarioFxRateProvider.fxRatesArray(baseCurrency, counterCurrency). This would allow the array of rates to be created by triangulation if necessary and possibly cached.

cjkent avatar Jun 19 '16 13:06 cjkent