public void GetFraGuessesTest() { List <object> fraGuesses = new List <object>(); fraGuesses.Add(""); fraGuesses.Add(3.2); fraGuesses.Add(4.5); fraGuesses.Add(""); List <decimal> res = new List <decimal>(); List <int> indecies = new List <int>(); FraSolverWrapper.GetFraGuesses(fraGuesses, ref res, ref indecies); }
public void GetObjectsTest() { object[,] data = new object[3, 3]; data[0, 0] = "Instrument"; data[0, 1] = "Rate"; data[0, 2] = "Guess"; data[1, 0] = "USD-Deposit-1D"; data[1, 1] = 0.0529; data[1, 2] = null; data[2, 0] = "USD-Deposit-TD"; data[2, 1] = 0.0529; data[2, 2] = 3; List <double> res = FraSolverWrapper.GetObjects <double>(data, 1); List <object> guess = FraSolverWrapper.GetObjects <object>(data, 2); }
public void GetFraEquivalentRatesTest() { object[,] properties = { { "MarketName", "Barra" }, { "PricingStructureType", "RateCurve" }, { "Currency", "USD" }, { "IndexName", "LIBOR-ISDA" }, { "IndexTenor", "3M" }, { "Algorithm", "FastLinearZero" }, { "Identifier", "RateCurve.USD-LIBOR-ISDA-3M" }, { "CurveName", "USD-LIBOR-ISDA-3M" }, { "IndexName", "LIBOR-ISDA-3M" }, { "BaseDate", new DateTime(2009, 10, 7) } }; object[] instruments = { "Instrument", "USD-Deposit-1D", "USD-Deposit-TN", "USD-Deposit-1M", "USD-Deposit-2M", "USD-Deposit-3M", "USD-IRFuture-ED-U9", "USD-IRFuture-ED-Z9", "USD-IRFuture-ED-H0", "USD-IRFuture-ED-M0", "USD-IRFuture-ED-U0" }; object[] rates = { "rate", 0.0023500, 0.0023500, 0.002725000, 0.003068800, 0.0042500, 0.0044745, 0.0061450, 0.0088236, 0.0127793, 0.0170081 }; object[] guesses = { "Guess", "", "", 0.00458, 0.00536, "", "", "", "", "", "", "" }; object[,] dataTable = new object[11, 3]; for (int i = 0; i < 11; ++i) { for (int j = 0; j < 3; ++j) { if (j % 3 == 0) { dataTable[i, j] = instruments[i]; } if (j % 3 == 1) { dataTable[i, j] = rates[i]; } if (j % 3 == 2) { dataTable[i, j] = guesses[i]; } } } double[] fraRates = FraSolverWrapper.CalculateFraEquivalents(properties, dataTable); }