private static void AssertEqual(ManageableVolatilityCubeSnapshot a, ManageableVolatilityCubeSnapshot b) { Assert.NotNull(a.OtherValues); Assert.NotNull(b.OtherValues); AssertEqual(a.Values, b.Values, AssertEqual); AssertEqual(a.OtherValues, b.OtherValues); AssertEqual(a.Strikes, b.Strikes, AssertEqual); }
private static Dictionary <VolatilityCubeKey, ManageableVolatilityCubeSnapshot> GetCubes() { var manageableVolCubeSnapshot = new ManageableVolatilityCubeSnapshot(new ManageableUnstructuredMarketDataSnapshot(new Dictionary <MarketDataValueSpecification, IDictionary <string, ValueSnapshot> >())); manageableVolCubeSnapshot.SetPoint(new VolatilityPoint(Tenor.Day, Tenor.Day, -100), new ValueSnapshot(2)); manageableVolCubeSnapshot.SetPoint(new VolatilityPoint(Tenor.Day, Tenor.Day, 100), null); manageableVolCubeSnapshot.SetStrike(new Pair <Tenor, Tenor>(Tenor.Day, Tenor.Day), new ValueSnapshot(2)); manageableVolCubeSnapshot.SetStrike(new Pair <Tenor, Tenor>(Tenor.Day, Tenor.TwoYears), null); return(new Dictionary <VolatilityCubeKey, ManageableVolatilityCubeSnapshot> { { new VolatilityCubeKey(Currency.USD, "Test"), manageableVolCubeSnapshot } }); }
public static IEnumerable <Warning> Of(VolatilityCubeKey key, ManageableVolatilityCubeSnapshot value) { return(value.HaveOverrides() ? new Warning[] { new OverriddenVolatilityCubeDisappearingWarning(key) } : new Warning[] { }); }
public static IEnumerable<Warning> Of(VolatilityCubeKey key, ManageableVolatilityCubeSnapshot value) { return value.HaveOverrides() ? new Warning[] { new OverriddenVolatilityCubeDisappearingWarning(key) } : new Warning[] { }; }