private (IAssetFxModel startModel, IAssetFxModel endModel, Portfolio portfolio) GenerateTestData() { Utils.Parallel.ParallelUtils.Instance.MultiThreaded = false; var usd = TestProviderHelper.CurrencyProvider.GetCurrency("USD"); var zar = TestProviderHelper.CurrencyProvider.GetCurrency("ZAR"); var nyc = TestProviderHelper.CalendarProvider.Collection["NYC"]; var originDate = DateTime.Parse("2019-04-25"); var ins = new FxForward { TradeId = "TestA", DeliveryDate = originDate.AddDays(30), DomesticCCY = zar, ForeignCCY = usd, DomesticQuantity = 1e6, Strike = 14, ForeignDiscountCurve = "DISCO-USD" }; var pf = new Portfolio { Instruments = new List <IInstrument> { ins } }; var discoUsd = new FlatIrCurve(0.02, usd, "DISCO-USD"); var discoZar = new FlatIrCurve(0.05, zar, "DISCO-ZAR"); var fxpairs = new List <FxPair> { new FxPair { Domestic = usd, Foreign = zar, PrimaryCalendar = nyc, SpotLag = 2.Bd() }, new FxPair { Domestic = zar, Foreign = usd, PrimaryCalendar = nyc, SpotLag = 2.Bd() }, }; var fxMatrix = new FxMatrix(TestProviderHelper.CurrencyProvider); fxMatrix.Init(zar, originDate, new Dictionary <Currency, double> { { usd, 14.0 } }, fxpairs, new Dictionary <Currency, string> { { usd, "DISCO-USD" }, { zar, "DISCO-ZAR" } }); var fModel = new FundingModel(originDate, new[] { discoUsd, discoZar }, TestProviderHelper.CurrencyProvider, TestProviderHelper.CalendarProvider); fModel.SetupFx(fxMatrix); var startModel = new AssetFxModel(originDate, fModel); startModel.AddFixingDictionary("FakeAsset", new FixingDictionary()); startModel.AddPriceCurve("FakeAsset", new ConstantPriceCurve(100, originDate, TestProviderHelper.CurrencyProvider)); startModel.AddVolSurface("FakeAsset", new ConstantVolSurface(originDate, 1.00) { AssetId = "FakeAsset", Currency = usd }); var endFModel = fModel.DeepClone(); endFModel.FxMatrix.SpotRates[usd] = 15; var endModel = startModel.Clone(endFModel); endModel.AddFixingDictionary("FakeAsset", new FixingDictionary()); endModel.AddPriceCurve("FakeAsset", new ConstantPriceCurve(100, originDate, TestProviderHelper.CurrencyProvider)); endModel.AddVolSurface("FakeAsset", new ConstantVolSurface(originDate, 1.00) { AssetId = "FakeAsset", Currency = usd }); return(startModel, endModel, pf); }