private void Init(Portfolio portfolio)
{
portfolio.IsLoaded = true;
portfolio.Init(this.framework);
this.framework.PortfolioManager.Add(portfolio, true);
foreach (Portfolio p in portfolio.Children)
{
Init(p);
p.Parent = portfolio;
}
}
public void InitOnSuccessReturnsCorrectProbabilities()
{
//arrange
int expectedPortfolioSimulation = 10; // int avoids floating point errors
var simulation = 110D;
var simulations = new[] { simulation };
var nodeInitialInvestment = 1000D;
var nodeInitialPrice = 100D;
var node = new Mock <INode>();
node.Setup(n => n.InitialInvestment).Returns(nodeInitialInvestment);
node.Setup(n => n.InitialPrice).Returns(nodeInitialPrice);
node.Setup(n => n.Simulations).Returns(simulations);
node.Setup(n => n.PortfolioWeight).Returns(1);
var nodes = new[] { node.Object };
var cashFlowId = 1;
var cashFlow = new CashFlow {
Id = cashFlowId
};
var cashFlows = new[] { cashFlow };
var successProbability = .5D;
var successProbabilities = new[] { successProbability };
var portfolioSimulator = new Mock <IPortfolioSimulator>();
portfolioSimulator.Setup(ps => ps.CalculateSuccessProbabilities(
It.Is <IList <INode> >(n => n[0].InitialInvestment == nodeInitialInvestment),
It.Is <IList <CashFlow> >(cf => cf[0].Id == cashFlowId)))
.Returns(successProbabilities);
var statistics = new Mock <IStatistic>();
var interval = 3D;
var histogramDatum = new HistogramDatum {
Interval = interval
};
var histogramData = new[] { histogramDatum };
var histogram = new Mock <IHistogram>();
histogram.Setup(h => h.GetHistogramData(
It.Is <HistogramContext>(
ctx => (int)ctx.Simulations[0] == expectedPortfolioSimulation &&
(int)ctx.GlobalXMin == expectedPortfolioSimulation &&
(int)ctx.GlobalXMax == expectedPortfolioSimulation),
It.IsAny <int>()))
.Returns(histogramData);
var portfolio = new Portfolio(statistics.Object, histogram.Object, portfolioSimulator.Object);
//act
portfolio.Init(nodes, cashFlows);
var initialValueResult = portfolio.InitialValue;
var statisticsResult = portfolio.Statistics;
var histogramResult = portfolio.Histogram;
var successProbabilitiesResult = portfolio.SuccessProbabilities;
//assert
Assert.AreEqual(nodeInitialInvestment, initialValueResult);
Assert.AreSame(statistics.Object, statisticsResult);
statistics.Verify(s => s.Init(
It.Is <IList <double> >(sim => (int)sim[0] == expectedPortfolioSimulation)
));
Assert.AreEqual(interval, histogramResult[0].Interval);
Assert.AreEqual(successProbability, successProbabilitiesResult[0]);
}
