public CapletBootstrapEngineHelperTests()
{
const string CalculationDateString = @"2007-11-29";
const string StartDateString = @"2007-11-30";
const bool ValidateArguments = true;
_calculationDate = DateTime.Parse(CalculationDateString);
_capFrequency = CapFrequency.Quarterly;
_capStartLag = 1;
_currency = "AUD";
_handle = "Caplet Bootstrap Engine Helper tests";
_numYears = 10.0d;
_parVolatilityInterpolation =
ParVolatilityInterpolationType.CubicHermiteSpline;
_rollConvention = BusinessDayConventionEnum.MODFOLLOWING;
_startDate = DateTime.Parse(StartDateString);
_tolerance = 1.0E-5d;
_settingsObj = new CapletBootstrapSettings
(_calculationDate,
_capFrequency,
_capStartLag,
_currency,
_handle,
_parVolatilityInterpolation,
_rollConvention,
ValidateArguments);
// Initialise the offsets.
_offsets = new List <double>();
foreach (DateTime date in _dates)
{
TimeSpan dateDiff = date - _calculationDate;
_offsets.Add(dateDiff.Days);
}
}
public void TestGenerateUSDCapRollSchedule()
{
// Construct the settings object: only change the parameters that
// are particular to this test case.
const string CalculationDateString = @"2008-05-14";
const bool ValidateArguments = true;
_calculationDate = DateTime.Parse(CalculationDateString);
_capStartLag = 2;
_currency = "USD";
_numYears = 20.0d;
_settingsObj = new CapletBootstrapSettings
(_calculationDate,
_capFrequency,
_capStartLag,
_currency,
_handle,
_parVolatilityInterpolation,
_rollConvention,
ValidateArguments);
Assert.IsNotNull(_settingsObj);
// Generate the roll schedule.
CapletBootstrapEngineHelper.GenerateRollSchedule
(_settingsObj, _numYears, out _rollSchedule);
// Check the first and last dates in the roll schedule.
const string FirstDateInSchedule = "2008-08-18";
const string LastDateInSchedule = "2028-05-16";
Assert.AreEqual
(DateTime.Parse(FirstDateInSchedule), _rollSchedule[0]);
Assert.AreEqual(DateTime.Parse(LastDateInSchedule),
_rollSchedule[_rollSchedule.Count - 1]);
}
