MAINT: Forward-fill fx rates past file end. #2644
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If an FX rate query requests a date that's greater than the last date in the fx rate file, forward-fill from the last value in the file rather than raising an error. We do this for a few reasons: 1. We'd like to gracefully handle the possibility of an FX rates file that's older than another input file. 2. Relative to other non-erroring behaviors, forward-filling is the simplest thing to implement. Specifically, it's what the implementation prior to this change would do naturally if there weren't an explicit check to prevent it. 3. For an FX rates file containing prices on a 24/5 calendar, some amount of forward-filling is required to handle any market with a non-weekday date.
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If an FX rate query requests a date that's greater than the last date in the fx
rate file, forward-fill from the last value in the file rather than raising an
error.
We do this for a few reasons:
We'd like to gracefully handle the possibility of an FX rates file that's
older than another input file.
Relative to other non-erroring behaviors, forward-filling is the simplest
thing to implement. Specifically, it's what the implementation prior to this
change would do naturally if there weren't an explicit check to prevent it.
For an FX rates file containing prices on a 24/5 calendar, some amount of
forward-filling is required to handle any market with a non-weekday date.