public void CalculateReturnShouldNotAnnualizeWhenGivenDoNotAnnualizeOption()
{
var month = new MonthYear(2013, 12);
_returnSeries.AddReturn(month, 0.1m);
_returnSeries.AddReturn(month.AddMonths(-1), 0.2m);
_returnSeries.AddReturn(month.AddMonths(-2), 0.3m);
_returnSeries.AddReturn(month.AddMonths(-3), 0.4m);
_returnSeries.AddReturn(month.AddMonths(-4), 0.5m);
_returnSeries.AddReturn(month.AddMonths(-5), 0.6m);
_returnSeries.AddReturn(month.AddMonths(-6), 0.7m);
_returnSeries.AddReturn(month.AddMonths(-7), 0.8m);
_returnSeries.AddReturn(month.AddMonths(-8), 0.9m);
_returnSeries.AddReturn(month.AddMonths(-9), 0.10m);
_returnSeries.AddReturn(month.AddMonths(-10), 0.11m);
_returnSeries.AddReturn(month.AddMonths(-11), 0.12m);
_returnSeries.AddReturn(month.AddMonths(-12), 0.13m);
_returnSeries.AddReturn(month.AddMonths(-13), 0.14m);
var req = new CalculateReturnRequest(month, 13);
req.AnnualizeAction = AnnualizeActionEnum.DoNotAnnualize;
var result = _returnSeries.CalculateReturn(req);
string expectedCalculation = @"((1 + ((1 + ((1 + ((1 + ((1 + ((1 + ((1 + ((1 + ((1 + ((1 + ((1 + ((1 + 0.1) * (1 + 0.2) - 1)) * (1 + 0.3) - 1)) * (1 + 0.4) - 1)) * (1 + 0.5) - 1)) * (1 + 0.6) - 1)) * (1 + 0.7) - 1)) * (1 + 0.8) - 1)) * (1 + 0.9) - 1)) * (1 + 0.10) - 1)) * (1 + 0.11) - 1)) * (1 + 0.12) - 1)) * (1 + 0.13) - 1) = 50.80166493428326400";
var expectedResult = ReturnResult.CreateWithValue(50.80166493428326400m, expectedCalculation);
Assert.NotNull(result);
result.ShouldBeSameAs(expectedResult);
}
public void CalculateReturnShouldAnnualizeGivenMonthsGreaterThan12()
{
var month = new MonthYear(2013, 12);
_returnSeries.AddReturn(month, 0.1m);
_returnSeries.AddReturn(month.AddMonths(-1), 0.2m);
_returnSeries.AddReturn(month.AddMonths(-2), 0.3m);
_returnSeries.AddReturn(month.AddMonths(-3), 0.4m);
_returnSeries.AddReturn(month.AddMonths(-4), 0.5m);
_returnSeries.AddReturn(month.AddMonths(-5), 0.6m);
_returnSeries.AddReturn(month.AddMonths(-6), 0.7m);
_returnSeries.AddReturn(month.AddMonths(-7), 0.8m);
_returnSeries.AddReturn(month.AddMonths(-8), 0.9m);
_returnSeries.AddReturn(month.AddMonths(-9), 0.10m);
_returnSeries.AddReturn(month.AddMonths(-10), 0.11m);
_returnSeries.AddReturn(month.AddMonths(-11), 0.12m);
_returnSeries.AddReturn(month.AddMonths(-12), 0.13m);
_returnSeries.AddReturn(month.AddMonths(-13), 0.14m);
var result = _returnSeries.CalculateReturn(new CalculateReturnRequest(month, 13));
string expectedCalculation = @"((1 + ((1 + ((1 + ((1 + ((1 + ((1 + ((1 + ((1 + ((1 + ((1 + ((1 + ((1 + 0.1) * (1 + 0.2) - 1)) * (1 + 0.3) - 1)) * (1 + 0.4) - 1)) * (1 + 0.5) - 1)) * (1 + 0.6) - 1)) * (1 + 0.7) - 1)) * (1 + 0.8) - 1)) * (1 + 0.9) - 1)) * (1 + 0.10) - 1)) * (1 + 0.11) - 1)) * (1 + 0.12) - 1)) * (1 + 0.13) - 1) = 50.80166493428326400"
+ System.Environment.NewLine + @"((1 + 50.80166493428326400) ^ (12 * 1 / 13)) - 1 = 37.2358830610463";
var expectedResult = ReturnResult.CreateWithValue(37.2358830610463m, expectedCalculation);
Assert.NotNull(result);
result.ShouldBeSameAs(expectedResult);
}
public void CalculateReturnShouldReturnValueWhenMonthFound()
{
var month = new MonthYear(2013, 1);
_returnSeries.AddReturn(month, 0.03m);
var result = _returnSeries.CalculateReturn(new CalculateReturnRequest(month, 1));
var expectedResult = ReturnResult.CreateWithValue(0.03m, "0.03 = 0.03");
Assert.NotNull(result);
result.ShouldBeSameAs(expectedResult);
}
public void CalculateReturnShouldApplyGeoMetricLinkingWhenGivenMultipleMonths()
{
var month = new MonthYear(2013, 1);
var previousMonth = month.AddMonths(-1);
_returnSeries.AddReturn(previousMonth, 0.2m);
_returnSeries.AddReturn(month, 0.1m);
var result = _returnSeries.CalculateReturn(new CalculateReturnRequest(month, 2));
var expectedResult = ReturnResult.CreateWithValue(0.32m, "((1 + 0.2) * (1 + 0.1) - 1) = 0.32");
Assert.NotNull(result);
result.ShouldBeSameAs(expectedResult);
}