public void GetInfoTwoSwaps()
{
string valReportId1 = Guid.NewGuid().ToString();
ValuationReport valuationReport1 = CreateSwapValuationReport(valReportId1);
string valReportId2 = Guid.NewGuid().ToString();
ValuationReport valuationReport2 = CreateSwapValuationReport(valReportId2);
Engine.Cache.SaveObject(valuationReport1, Engine.NameSpace + "." + valReportId1, null);
Engine.Cache.SaveObject(valuationReport2, Engine.NameSpace + "." + valReportId2, null);
var excelValuation = new Valuation();
string mergedReportId = excelValuation.Merge(Engine.Cache, Engine.NameSpace, valReportId1, valReportId2, null, null, null, null, null, null, null, null);
//var valuation = Engine.Cache.LoadObject<ValuationReport>(mergedReportId);
List <ValuationInfoRangeItem> valuationInfoRangeItems = excelValuation.GetInfo(Engine.Cache, Engine.NameSpace, mergedReportId);
object[,] range = ObjectToArrayOfPropertiesConverter.ConvertListToHorizontalArrayRange(valuationInfoRangeItems);
Debug.Print("GetInfo (two swaps)");
Debug.Print(ParameterFormatter.FormatObject(range));
Assert.AreEqual(3, valuationInfoRangeItems.Count);
Assert.AreEqual(mergedReportId, valuationInfoRangeItems[0].Id);
Assert.AreEqual("envelope", valuationInfoRangeItems[0].Description);
Assert.AreEqual(valReportId1, valuationInfoRangeItems[1].Id);
Assert.AreEqual("swap(fixed/float)", valuationInfoRangeItems[1].Description);
Assert.AreEqual(valReportId2, valuationInfoRangeItems[2].Id);
Assert.AreEqual("swap(fixed/float)", valuationInfoRangeItems[2].Description);
}
public void GetDetailedCapFloorCashflowsVanilla()
{
DateTime valuationDate = DateTime.Today;
var irCapFloorPricer = new CapFloorPricer();
var curveId = BuildAndCacheRateCurve(valuationDate);
foreach (CapFloorType legType in new[] { CapFloorType.Cap, CapFloorType.Floor })
{
Debug.Print("LegType: {0}", legType);
CapFloorLegParametersRange_Old capLeg = GetCapFloorInputParameters(valuationDate, valuationDate.AddMonths(6), valuationDate.AddYears(5),
legType, "Standard", curveId, curveId);
ValuationRange valuationRange = CreateValuationRange(valuationDate);
List <DateTimeDoubleRangeItem> notional = GetAmortNotional(capLeg, 3);
List <DetailedCashflowRangeItem> cashflowList =
irCapFloorPricer.GetDetailedCashflowsWithNotionalSchedule(Engine.Logger, Engine.Cache, Engine.NameSpace, null, null, capLeg, notional, valuationRange);
object[,] arrayOfCashflows = ObjectToArrayOfPropertiesConverter.ConvertListToHorizontalArrayRange(cashflowList);
Debug.WriteLine("Cashflows:");
Debug.WriteLine(ParameterFormatter.FormatObject(arrayOfCashflows));
}
}
