public void Should_apply_PositiveNegativeOrNone_Volitility_each_day_randomly()
{
var volatilities = new List <double>();
Func <double, double> getVolatilityTestWapper = currentVolatility =>
{
var nextVolatility = Pricer.GetNextRandomVolatility(currentVolatility);
volatilities.Add(nextVolatility);
return(nextVolatility);
};
var pricer = new Pricer(Pricer.IsWeekEndDayOffChecker, getVolatilityTestWapper);
pricer.GetPriceFor(TODAY, TODAY.AddDays(10000), CURRENT_PRICE, CURRENT_VOLATILITY);
Assert.IsTrue(volatilities.Any(v => v < 0), "Some volatilities are positive");
Assert.IsTrue(volatilities.Any(v => Math.Abs(v) < 0.00000000001), "Some volatilities are null");
Assert.IsTrue(volatilities.Any(v => v > 0), "Some volatilities are negative");
}
[Test] public void Should_Return_many_time_volatility_calculation_When_use_MonteCarlo_as_Volatility_average()
{
var volatilities = new List <double>();
var callCount = 0;
Func <double, double> getVolatilityTestWapper = d =>
{
Interlocked.Increment(ref callCount);
return(Pricer.GetNextRandomVolatility(d));
};
Func <double, double> monteCarloFor1000Shot = Pricer.GetMonteCarloVolatilityFor(1000, getVolatilityTestWapper);
var pricer = new Pricer(Pricer.IsWeekEndDayOffChecker, monteCarloFor1000Shot);
var result = pricer.GetPriceFor(TODAY, TOMOROW, CURRENT_PRICE, CURRENT_VOLATILITY);
Assert.AreEqual(1000, callCount);
Assert.GreaterOrEqual(120.00, result);
Assert.LessOrEqual(80.00, result);
}