public void CanProcess()
{
var t = new DateTime(2019, 10, 03);
var fc = GetFeatureCollection();
var dates = Enumerable.Range(10, 10).Select(i => t.AddDays(i)).ToList();
var usd = TestProviderHelper.CurrencyProvider.GetCurrency("USD");
var sut = new BackPricingOption("Asset", dates, dates[5], t.AddDays(100), t.AddDays(100), Core.Basic.OptionType.C, "boo", usd, 1.0);
var b = GetBlock(20);
sut.SetupFeatures(fc.Object);
sut.AverageRegressor.SetupFeatures(fc.Object);
sut.SettlementRegressor.SetupFeatures(fc.Object);
sut.Finish(fc.Object);
sut.AverageRegressor.Finish(fc.Object);
sut.SettlementRegressor.Finish(fc.Object);
sut.Process(b);
Assert.Equal(0.0, sut.AverageResult);
Assert.Equal(0.0, sut.ResultStdError);
Assert.True(sut.ResultsByPath.All(x => x == 0.0));
}
public void BackPricingOptionFact()
{
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 BackPricingOption()
{
AssetId = "QS",
CallPut = OptionType.C,
DiscountCurve = "X",
FixingDates = fixDates,
FxConversionType = FxConversionType.None,
Notional = 1,
PaymentCurrency = usd,
StartDate = orgin,
EndDate = orgin,
SpotLag = 0.Bd(),
SpotLagRollType = RollType.F,
};
var x2 = new BackPricingOption()
{
AssetId = "QS",
CallPut = OptionType.C,
DiscountCurve = "X",
FixingDates = fixDates,
FxConversionType = FxConversionType.AverageThenConvert,
Notional = 1,
PaymentCurrency = zar,
StartDate = orgin,
EndDate = orgin,
SpotLag = 0.Bd(),
SpotLagRollType = RollType.F,
};
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);
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);
var pf = x.PastFixingDates(orgin.AddDays(1));
Assert.Contains("QS", pf.Keys);
var y = (BackPricingOption)x.Clone();
y.TradeId = "xxx";
Assert.False(x == y);
Assert.Equal(string.Empty, x.FxPair(fakeModel.Object));
Assert.Throws <InvalidOperationException>(() => x.SetStrike(0));
}
