public void TestNotionalWeightedBasket()
{
var basketAggregator = new BasketDataAggregator(new RolloverLogic());
var basket = basketAggregator.AggregateBasketCollections(new[] {basketTur, basketZar});
}
public void BasketShouldAggregate()
{
// Test sum of the basket
Mock<IRolloverLogic> rollOverMock = new Mock<IRolloverLogic>();
rollOverMock.SetupGet(t => t.Carry1d).Returns(0.08);
rollOverMock.Setup(t => t.RollOverDataSeriesWithCarry(basketA.Item2, It.IsAny<double>())).Returns(new DatedDataCollectionGen<double>(dates, new []
{
0.21,
0.33,
0.11,
0.14,
0.23,
0,
-0.29,
-0.12,
0.2,
0.38,
}));
rollOverMock.Setup(t => t.RollOverDataSeriesWithCarry(basketB.Item2, It.IsAny<double>())).Returns(new DatedDataCollectionGen<double>(dates, new[]
{
-0.13,
-0.2,
-0.78,
0.22,
0.17,
-0.2,
-0.48,
-0.09,
-0.21,
0.02,
}));
rollOverMock.Setup(t => t.RollOverDataSeriesWithCarry(basketC.Item2, It.IsAny<double>())).Returns(new DatedDataCollectionGen<double>(dates, new[]
{
0.13,
0.2,
0.11,
0.16,
0.04,
-0.04,
0.05,
-0.1,
0.074,
0.073,
}));
rollOverMock.Setup(t => t.ComputeCarry(It.IsAny<string>()));
var basketAggregator = new BasketDataAggregator(rollOverMock.Object);
var aggregatedValues = basketAggregator.AggregateBasketCollections(new Tuple<CustomBasket, DatedDataCollectionGen<double>>[]
{
basketA,
basketB,
basketC,
});
CompareTwoSeries(aggregatedValues, new DatedDataCollectionGen<double>(dates, new[]
{
0.188,
0.292,
0.467,
-0.006,
0.019,
0.088,
0.139,
-0.033,
0.2072,
0.1639,
}));
}