public void MonoPayoffTest(string payoffScript, IDictionary <string, object> parameters, Func <double, double> refPayoff)
{
DslPayoffExpression payoffExpr = DslPayoffParser.Parse(payoffScript, parameters);
IFixingFunction payoff = DslPayoffCompiler.Compile(payoffExpr).First();
var rand = new Random(4321);
for (int i = 0; i < 100; i++)
{
var fixingValue = 2.0 * rand.NextDouble();
var cpnValue = payoff.Value(new[] { fixingValue });
var refCpnValue = refPayoff(fixingValue);
Assert.AreEqual(cpnValue, refCpnValue);
}
}
public static IFixingFunction[] Build(string labelOfRows, Parameters parameters, string[] dslPayoffScripts)
{
string[] paramLabels = parameters.ColLabels.Map(s => s.ToLowerInvariant().Trim());
var couponDatas = new DslPayoffExpression[parameters.RowLabels.Length];
for (int row = 0; row < couponDatas.Length; row++)
{
object[] paramVals = parameters.Values.Row(row);
IDictionary <string, object> couponParameters = paramLabels.ZipToDictionary(paramVals);
couponParameters.Add(labelOfRows.ToLowerInvariant().Trim(), parameters.RowLabels[row]);
var payoff = DslPayoffParser.Parse(dslPayoffScripts[row], couponParameters);
couponDatas[row] = payoff;
}
return(DslPayoffCompiler.Compile(couponDatas));
}
