public void CanRemoveAllOverrides()
{
var manageableUnstructuredMarketDataSnapshot = new ManageableUnstructuredMarketDataSnapshot(new Dictionary<MarketDataValueSpecification, IDictionary<string, ValueSnapshot>>());
var manageableVolatilitySurfaceSnapshots = GetManageableVolatilitySurfaceSnapshots();
var manageableYieldCurveSnapshots = GetManageableYieldCurveSnapshots();
var manageableVolatilityCubeSnapshots = GetManageableVolatilityCubeSnapshots();
var manageableMarketDataSnapshot = new ManageableMarketDataSnapshot("SomeView", manageableUnstructuredMarketDataSnapshot, manageableYieldCurveSnapshots, manageableVolatilityCubeSnapshots, manageableVolatilitySurfaceSnapshots);
var valueSpec = new MarketDataValueSpecification(MarketDataValueType.Primitive, UniqueId.Create("ID", "1"));
const string valueName = "Value";
manageableMarketDataSnapshot.Values.Add(valueSpec, new Dictionary<string, ValueSnapshot> {{valueName, new ValueSnapshot(12){OverrideValue = 13}}});
Assert.True(manageableMarketDataSnapshot.HaveOverrides());
Assert.True(manageableMarketDataSnapshot.YieldCurves.Single().Value.HaveOverrides());
Assert.True(manageableMarketDataSnapshot.VolatilityCubes.Single().Value.HaveOverrides());
Assert.True(manageableMarketDataSnapshot.VolatilitySurfaces.Single().Value.HaveOverrides());
manageableMarketDataSnapshot.RemoveAllOverrides();
var valueSnapshot = manageableMarketDataSnapshot.Values[valueSpec][valueName];
CheckOverrideCleared(valueSnapshot);
CheckOverrideCleared(manageableMarketDataSnapshot.YieldCurves.Values.Single().Values.Values.Single().Value.Single().Value);
CheckOverrideCleared(manageableMarketDataSnapshot.VolatilityCubes.Values.Single().OtherValues.Values.Single().Value.Values.Single());
CheckOverrideCleared(manageableMarketDataSnapshot.VolatilitySurfaces.Values.Single().Values.Values.Single());
Assert.Equal(1, manageableMarketDataSnapshot.Values.Count);
Assert.False(manageableMarketDataSnapshot.HaveOverrides());
Assert.False(manageableMarketDataSnapshot.YieldCurves.Single().Value.HaveOverrides());
Assert.False(manageableMarketDataSnapshot.VolatilityCubes.Single().Value.HaveOverrides());
Assert.False(manageableMarketDataSnapshot.VolatilitySurfaces.Single().Value.HaveOverrides());
}
public void VersionedSecuritiesUpdateCorrectlyBasic() //LAP-30
{
var before =
new ManageableUnstructuredMarketDataSnapshot(
new Dictionary <MarketDataValueSpecification, IDictionary <string, ValueSnapshot> >());
var update =
new ManageableUnstructuredMarketDataSnapshot(
new Dictionary <MarketDataValueSpecification, IDictionary <string, ValueSnapshot> >());
before.Values.Add(new MarketDataValueSpecification(MarketDataValueType.Primitive, UniqueId.Create("A", "A", "1")), new Dictionary <string, ValueSnapshot> {
{ "A", new ValueSnapshot(null) }
});
update.Values.Add(new MarketDataValueSpecification(MarketDataValueType.Primitive, UniqueId.Create("A", "A", "2")), new Dictionary <string, ValueSnapshot> {
{ "A", new ValueSnapshot(null) }
});
UpdateAction <ManageableUnstructuredMarketDataSnapshot> prepareUpdateFrom = before.PrepareUpdateFrom(update);
Assert.Equal(0, prepareUpdateFrom.Warnings.Count());
prepareUpdateFrom.Execute(before);
List <UniqueId> updatedIds = before.Values.Keys.Select(m => m.UniqueId).OrderBy(u => u).ToList();
List <UniqueId> expected = new[]
{
UniqueId.Create("A", "A", "2"),
}.OrderBy(u => u).ToList();
Assert.Equal(expected.Count, updatedIds.Count);
for (int i = 0; i < expected.Count; i++)
{
Assert.Equal(expected[i], updatedIds[i]);
}
}
public void CanSubtract()
{
var manageableUnstructuredMarketDataSnapshot = new ManageableUnstructuredMarketDataSnapshot(new Dictionary<MarketDataValueSpecification, IDictionary<string, ValueSnapshot>>());
var manageableVolatilitySurfaceSnapshots = GetManageableVolatilitySurfaceSnapshots();
var manageableYieldCurveSnapshots = GetManageableYieldCurveSnapshots();
var manageableVolatilityCubeSnapshots = GetManageableVolatilityCubeSnapshots();
var manageableMarketDataSnapshot = new ManageableMarketDataSnapshot("SomeView", manageableUnstructuredMarketDataSnapshot, manageableYieldCurveSnapshots, manageableVolatilityCubeSnapshots, manageableVolatilitySurfaceSnapshots);
var marketDataSnapshot = manageableMarketDataSnapshot.Substract(manageableMarketDataSnapshot);
var valueSnapshot = marketDataSnapshot.YieldCurves.Values.Single().Values.Values.Single().Value.Single().Value;
Assert.Equal(0.0, valueSnapshot.MarketValue);
Assert.Equal(0.0, valueSnapshot.OverrideValue);
//TODO the rest
}
public void CanSubtract()
{
var manageableUnstructuredMarketDataSnapshot = new ManageableUnstructuredMarketDataSnapshot(new Dictionary <MarketDataValueSpecification, IDictionary <string, ValueSnapshot> >());
var manageableVolatilitySurfaceSnapshots = GetManageableVolatilitySurfaceSnapshots();
var manageableYieldCurveSnapshots = GetManageableYieldCurveSnapshots();
var manageableVolatilityCubeSnapshots = GetManageableVolatilityCubeSnapshots();
var manageableMarketDataSnapshot = new ManageableMarketDataSnapshot("SomeView", manageableUnstructuredMarketDataSnapshot, manageableYieldCurveSnapshots, manageableVolatilityCubeSnapshots, manageableVolatilitySurfaceSnapshots);
var marketDataSnapshot = manageableMarketDataSnapshot.Substract(manageableMarketDataSnapshot);
var valueSnapshot = marketDataSnapshot.YieldCurves.Values.Single().Values.Values.Single().Value.Single().Value;
Assert.Equal(0.0, valueSnapshot.MarketValue);
Assert.Equal(0.0, valueSnapshot.OverrideValue);
//TODO the rest
}
public void VersionedSecuritiesUpdateCorrectly()
{
var before =
new ManageableUnstructuredMarketDataSnapshot(
new Dictionary<MarketDataValueSpecification, IDictionary<string, ValueSnapshot>>());
var update =
new ManageableUnstructuredMarketDataSnapshot(
new Dictionary<MarketDataValueSpecification, IDictionary<string, ValueSnapshot>>());
before.Values.Add(new MarketDataValueSpecification(MarketDataValueType.Primitive, UniqueId.Create("A", "A", "1")), new Dictionary<string, ValueSnapshot>{{"A", new ValueSnapshot(null)}});
update.Values.Add(new MarketDataValueSpecification(MarketDataValueType.Primitive, UniqueId.Create("A", "A", "2")), new Dictionary<string, ValueSnapshot> { { "A", new ValueSnapshot(null) } });
before.Values.Add(new MarketDataValueSpecification(MarketDataValueType.Primitive, UniqueId.Create("B", "B", "1")), new Dictionary<string, ValueSnapshot> { { "B", new ValueSnapshot(null) } });
update.Values.Add(new MarketDataValueSpecification(MarketDataValueType.Primitive, UniqueId.Create("B", "B", "1")), new Dictionary<string, ValueSnapshot> { { "B", new ValueSnapshot(null) } });
before.Values.Add(new MarketDataValueSpecification(MarketDataValueType.Primitive, UniqueId.Create("B", "B", "2")), new Dictionary<string, ValueSnapshot> { { "B", new ValueSnapshot(null) } });
update.Values.Add(new MarketDataValueSpecification(MarketDataValueType.Primitive, UniqueId.Create("B", "B", "2")), new Dictionary<string, ValueSnapshot> { { "B", new ValueSnapshot(null) } });
before.Values.Add(new MarketDataValueSpecification(MarketDataValueType.Primitive, UniqueId.Create("C", "C", "1")), new Dictionary<string, ValueSnapshot> { { "C", new ValueSnapshot(null) { OverrideValue = 12 } } });
UpdateAction<ManageableUnstructuredMarketDataSnapshot> prepareUpdateFrom = before.PrepareUpdateFrom(update);
Assert.Equal(1, prepareUpdateFrom.Warnings.Count());
prepareUpdateFrom.Execute(before);
List<UniqueId> updatedIds = before.Values.Keys.Select(m => m.UniqueId).OrderBy(u => u).ToList();
List<UniqueId> expected = new[]
{
UniqueId.Create("A", "A", "2"),
UniqueId.Create("B", "B", "1"),
UniqueId.Create("B", "B", "2"),
}.OrderBy(u => u).ToList();
Assert.Equal(expected.Count, updatedIds.Count);
for (int i = 0; i < expected.Count; i++)
{
Assert.Equal(expected[i], updatedIds[i]);
}
}
public void CanRemoveAllOverrides()
{
var manageableUnstructuredMarketDataSnapshot = new ManageableUnstructuredMarketDataSnapshot(new Dictionary <MarketDataValueSpecification, IDictionary <string, ValueSnapshot> >());
var manageableVolatilitySurfaceSnapshots = GetManageableVolatilitySurfaceSnapshots();
var manageableYieldCurveSnapshots = GetManageableYieldCurveSnapshots();
var manageableVolatilityCubeSnapshots = GetManageableVolatilityCubeSnapshots();
var manageableMarketDataSnapshot = new ManageableMarketDataSnapshot("SomeView", manageableUnstructuredMarketDataSnapshot, manageableYieldCurveSnapshots, manageableVolatilityCubeSnapshots, manageableVolatilitySurfaceSnapshots);
var valueSpec = new MarketDataValueSpecification(MarketDataValueType.Primitive, UniqueId.Create("ID", "1"));
const string valueName = "Value";
manageableMarketDataSnapshot.Values.Add(valueSpec, new Dictionary <string, ValueSnapshot> {
{ valueName, new ValueSnapshot(12)
{
OverrideValue = 13
} }
});
Assert.True(manageableMarketDataSnapshot.HaveOverrides());
Assert.True(manageableMarketDataSnapshot.YieldCurves.Single().Value.HaveOverrides());
Assert.True(manageableMarketDataSnapshot.VolatilityCubes.Single().Value.HaveOverrides());
Assert.True(manageableMarketDataSnapshot.VolatilitySurfaces.Single().Value.HaveOverrides());
manageableMarketDataSnapshot.RemoveAllOverrides();
var valueSnapshot = manageableMarketDataSnapshot.Values[valueSpec][valueName];
CheckOverrideCleared(valueSnapshot);
CheckOverrideCleared(manageableMarketDataSnapshot.YieldCurves.Values.Single().Values.Values.Single().Value.Single().Value);
CheckOverrideCleared(manageableMarketDataSnapshot.VolatilityCubes.Values.Single().OtherValues.Values.Single().Value.Values.Single());
CheckOverrideCleared(manageableMarketDataSnapshot.VolatilitySurfaces.Values.Single().Values.Values.Single());
Assert.Equal(1, manageableMarketDataSnapshot.Values.Count);
Assert.False(manageableMarketDataSnapshot.HaveOverrides());
Assert.False(manageableMarketDataSnapshot.YieldCurves.Single().Value.HaveOverrides());
Assert.False(manageableMarketDataSnapshot.VolatilityCubes.Single().Value.HaveOverrides());
Assert.False(manageableMarketDataSnapshot.VolatilitySurfaces.Single().Value.HaveOverrides());
}
private static void AssertEqual(ManageableUnstructuredMarketDataSnapshot a, ManageableUnstructuredMarketDataSnapshot b)
{
AssertEqual(a.Values, b.Values, AssertEqual);
}
private static Dictionary <YieldCurveKey, ManageableYieldCurveSnapshot> GetYieldCurves(ManageableUnstructuredMarketDataSnapshot manageableUnstructuredMarketDataSnapshot)
{
return(new Dictionary <YieldCurveKey, ManageableYieldCurveSnapshot>
{
{ new YieldCurveKey(Currency.USD, "Default"), new ManageableYieldCurveSnapshot(manageableUnstructuredMarketDataSnapshot, DateTimeOffset.Now) }
});
}
