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);
}
