public async Task GetCompoundReturns_NoProfitAndLoss_ReturnsError()
{
IList <Capital> repositoryCapitalResults = new List <Capital> {
new Capital()
};
IList <ProfitAndLoss> repositoryPnlResults = new List <ProfitAndLoss>();
var mockRepository = new Mock <IQueryRepository>();
mockRepository.Setup(x => x.GetCapitalsForStrategy(It.IsAny <string>())).Returns(Task.FromResult(repositoryCapitalResults));
mockRepository.Setup(x => x.GetProfitAndLossForStrategy(It.IsAny <string>())).Returns(Task.FromResult(repositoryPnlResults));
var calculator = new CompoundDailyReturnsCalculator(mockRepository.Object);
var result = await calculator.GetCompoundReturns("StrategyWithNoPnl");
Assert.IsNull(result.Results);
Assert.IsTrue(result.ErrorMessage == "No profit & loss data available for strategy StrategyWithNoPnl");
}
public async Task GetCompoundReturns_OneStrategy_ReturnsCorrectResults()
{
var strategy1 = new Strategy {
Name = "TestStrategy1"
};
IList <Capital> repositoryCapitalResults = new List <Capital>
{
new Capital {
Date = new DateTime(2016, 1, 1), Value = 10000, Strategy = strategy1
},
new Capital {
Date = new DateTime(2016, 2, 1), Value = 20000, Strategy = strategy1
},
new Capital {
Date = new DateTime(2016, 3, 1), Value = 19000, Strategy = strategy1
},
new Capital {
Date = new DateTime(2016, 4, 1), Value = 28000, Strategy = strategy1
},
};
IList <ProfitAndLoss> repositoryPnlResults = new List <ProfitAndLoss>
{
new ProfitAndLoss {
Date = new DateTime(2016, 1, 5), Value = 100, Strategy = strategy1
},
new ProfitAndLoss {
Date = new DateTime(2016, 2, 21), Value = 200, Strategy = strategy1
},
new ProfitAndLoss {
Date = new DateTime(2016, 2, 22), Value = -50, Strategy = strategy1
},
new ProfitAndLoss {
Date = new DateTime(2016, 4, 7), Value = 300, Strategy = strategy1
}
};
var mockRepository = new Mock <IQueryRepository>();
mockRepository.Setup(x => x.GetCapitalsForStrategy(It.IsAny <string>())).Returns(Task.FromResult(repositoryCapitalResults));
mockRepository.Setup(x => x.GetProfitAndLossForStrategy(It.IsAny <string>())).Returns(Task.FromResult(repositoryPnlResults));
var calculator = new CompoundDailyReturnsCalculator(mockRepository.Object);
var result = await calculator.GetCompoundReturns("TestStrategy1");
Assert.IsNull(result.ErrorMessage);
Assert.IsNotNull(result.Results);
var results = result.Results.ToList();
Assert.IsTrue(results.Select(x => x.Date).ToList().IsDailyTimeSeries());
Assert.IsTrue(results.First().Date == repositoryCapitalResults.First().Date);
Assert.IsTrue(results.Last().Date == repositoryPnlResults.Last().Date);
var expectedResults = ExpectedResults();
for (var i = 0; i < results.Count; i++)
{
var expected = expectedResults[i];
var actual = results[i].CompoundReturn;
Assert.IsTrue(expected == actual);
}
}
