92 lines
2.7 KiB
Ruby
92 lines
2.7 KiB
Ruby
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# frozen_string_literal: true
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require "set"
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require "peg"
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# Peg-aware post-processing of blended rates. Substitutes peg rates for pegged quotes and synthesises rows for
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# pegged currencies that providers do not cover. Operates on a single-base set; rebasing to the user's base is the
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# caller's responsibility (in V2 this happens in RateQuery — `derive` on the pivot path or `scale_for_pegged_base`
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# on the fast path).
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#
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# Pegs are treated as a source of rate data alongside providers. They contribute when the caller has not restricted
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# the source set (no ?providers= filter). When a caller scopes to specific providers, peg behavior is bypassed at the
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# call site by skipping this class entirely.
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#
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# Input contract: rows are already blended (one row per quote) and share a single :base.
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#
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# Two peg interactions are handled here:
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#
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# 1. A blended quote may be pegged. Its rate is replaced by the peg value, either directly (matched-base) or via
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# the peg's base as a bridge (cross-base).
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# 2. A peg's quote may not be covered by any provider. A row is synthesized from the peg's anchor.
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#
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# Synthesized rows (a peg's quote that no provider covers) carry no :providers key. Anchored rows (a quote that
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# providers do cover, but where the peg overrides the blended rate) keep their providers list with every entry
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# marked excluded — the peg, not the providers, defined the final rate.
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class PegAnchor
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class << self
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def apply(rows, base:)
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new(rows, base:).apply
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end
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end
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def initialize(rows, base:)
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@rows = rows
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@base = base
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end
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def apply
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return [] if @rows.empty?
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rows = @rows.map { |r| anchor_quote(r) }
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rows.concat(synthesized_pegs(rows))
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rows
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end
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private
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def reference_date
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@reference_date ||= @rows.map { |r| r[:date] }.max
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end
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def anchor_quote(row)
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peg = Peg.find(row[:quote])
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return row unless peg
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rate = if peg.base == @base
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peg.rate
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else
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bridge = @rows.find { |r| r[:quote] == peg.base }
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return row unless bridge
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bridge[:rate] * peg.rate
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end
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overridden = row.merge(rate: rate)
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overridden[:providers] = row[:providers].map { |p| p.merge(excluded: true) } if row[:providers]
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overridden
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end
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def synthesized_pegs(rows)
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emitted = rows.map { |r| r[:quote] }.to_set
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Peg.all.filter_map do |peg|
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next if peg.quote == @base
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next if emitted.include?(peg.quote)
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next if reference_date < peg.since
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rate = if peg.base == @base
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peg.rate
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else
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anchor = rows.find { |r| r[:quote] == peg.base }
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next unless anchor
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anchor[:rate] * peg.rate
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end
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{ date: reference_date, base: @base, quote: peg.quote, rate: rate }
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end
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end
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end
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