public void ComputeEADFacts()
{
var curve = new PriceCurve(DateTime.MinValue, new[] { DateTime.MinValue }, new[] { 0.0 }, PriceCurveType.Flat, ContainerStores.CurrencyProvider)
{
Currency = ContainerStores.CurrencyProvider.GetCurrency("ZAR")
};
var moqModel = new Mock <IAssetFxModel>();
moqModel.Setup(m => m.GetPriceCurve("fakeAsset", null)).Returns(curve);
moqModel.Setup(m => m.VanillaModel).Returns(moqModel.Object);
moqModel.Setup(m => m.Rebuild(It.IsAny <IAssetFxModel>(), It.IsAny <Portfolio>())).Returns(moqModel.Object);
var cube = new ResultCube();
cube.Initialize(new Dictionary <string, Type>()
{
{ "xxx", typeof(string) }
});
moqModel.Setup(m => m.PV(It.IsAny <Currency>())).Returns(cube);
var swap = new AsianSwap()
{
AssetId = "fakeAsset",
PaymentCurrency = ContainerStores.CurrencyProvider.GetCurrency("ZAR"),
FixingDates = new[] { DateTime.MinValue }
};
var pf = new Portfolio {
Instruments = new List <IInstrument>()
{
swap
}
};
ContainerStores.GetObjectCache <Portfolio>().PutObject("moqPf", new SessionItem <Portfolio>()
{
Name = "moqPf", Value = pf
});
ContainerStores.GetObjectCache <IAssetFxModel>().PutObject("moqModel", new SessionItem <IAssetFxModel>()
{
Name = "moqModel", Value = moqModel.Object
});
Assert.Equal("Could not find portfolio or trade with name blash", CapitalFunctions.ComputeEAD("blash", "frah", "ZAR", null));
Assert.Equal("Model frah not found", CapitalFunctions.ComputeEAD("moqPf", "frah", "ZAR", null));
Assert.Equal(0.0, CapitalFunctions.ComputeEAD("moqPf", "moqModel", "ZAR", new object[, ] {
{ "fakeAsset", "woooh" }
}));
}
EqualityComparer <TO_AsianSwap> .Default.Equals(AsianSwap, instrument.AsianSwap) &&
public void AsianSwapFact()
{
var orgin = new DateTime(2019, 06, 12);
var usd = TestProviderHelper.CurrencyProvider.GetCurrency("USD");
var zar = TestProviderHelper.CurrencyProvider.GetCurrency("ZAR");
var fixDates = new[] { orgin };
var x = new AsianSwap()
{
AssetId = "QS",
DiscountCurve = "X",
FixingDates = fixDates,
FxConversionType = FxConversionType.None,
Notional = 1,
PaymentCurrency = usd,
AverageStartDate = orgin,
AverageEndDate = orgin,
SpotLag = 0.Bd(),
SpotLagRollType = RollType.F,
Strike = 1000
};
var x2 = new AsianSwap()
{
AssetId = "QS",
DiscountCurve = "X",
FixingDates = fixDates,
FxConversionType = FxConversionType.AverageThenConvert,
Notional = 1,
PaymentCurrency = zar,
AverageStartDate = orgin,
AverageEndDate = orgin,
SpotLag = 0.Bd(),
SpotLagRollType = RollType.F,
Strike = 1000
};
var fakeModel = new Mock <IAssetFxModel>();
var c = new ConstantPriceCurve(100, DateTime.Today, TestProviderHelper.CurrencyProvider)
{
Currency = usd
};
fakeModel.Setup(xx => xx.GetPriceCurve(It.IsAny <string>(), null)).Returns(c);
fakeModel.Setup(xx => xx.BuildDate).Returns(DateTime.Today);
var fxMatrix = new FxMatrix(TestProviderHelper.CurrencyProvider);
fxMatrix.Init(usd, orgin, new Dictionary <Currency, double>(), new List <FxPair>(), new Dictionary <Currency, string> {
{ usd, "X" }, { zar, "Y" }
});
var fModel = new Mock <IFundingModel>();
fModel.Setup(xx => xx.FxMatrix).Returns(fxMatrix);
fakeModel.Setup(xx => xx.FundingModel).Returns(fModel.Object);
Assert.Equal(usd, x.Currency);
Assert.Equal(usd, x.PaymentCurrency);
var a = x.AssetIds;
Assert.Contains("QS", a);
Assert.Single(x.IrCurves(fakeModel.Object));
var ir2 = x2.IrCurves(fakeModel.Object);
Assert.Contains("X", ir2);
Assert.Contains("Y", ir2);
Assert.Equal(FxConversionType.None, x.FxType(fakeModel.Object));
Assert.Equal(orgin, x.LastSensitivityDate);
Assert.Equal(string.Empty, x.FxPair(fakeModel.Object));
var pf = x.PastFixingDates(orgin.AddDays(1));
Assert.Contains("QS", pf.Keys);
var y = (AsianSwap)x.Clone();
Assert.True(x.Equals(y));
y.TradeId = "xxx";
Assert.False(x.Equals(y));
var z = (AsianSwap)x.SetStrike(0);
Assert.Equal(0, z.Strike);
var sd = z.SupervisoryDelta(fakeModel.Object);
Assert.Equal(1.0, sd);
}