public void PortfolioPVFact()
{
InstrumentFunctions.CreateAsianSwap("swpFake", "Jan-19", "xx", "USD", 0.0, 0.0, "NYC", "NYC", "2b", "2b", Value, "disco", Value);
var model = new Mock <IAssetFxModel>();
model.Setup(m => m.GetPriceCurve("xx", null)).Returns(new ConstantPriceCurve(100, DateTime.Today, TestProviderHelper.CurrencyProvider));
var fModel = new Mock <IFundingModel>();
fModel.Setup(fm => fm.GetDf(It.IsAny <Currency>(), It.IsAny <DateTime>(), It.IsAny <DateTime>())).Returns(1.0);
model.Setup(m => m.FundingModel).Returns(fModel.Object);
ContainerStores.GetObjectCache <IAssetFxModel>().PutObject("model", new SessionItem <IAssetFxModel>()
{
Name = "model", Value = model.Object
});
Assert.Equal("Could not find portfolio or trade with name trd",
InstrumentFunctions.AssetPortfolioPV("out", "trd", "xxx", Value));
Assert.Equal("Could not find model with name xxx",
InstrumentFunctions.AssetPortfolioPV("out", "swpFake", "xxx", Value));
Assert.Equal("out¬0",
InstrumentFunctions.AssetPortfolioPV("out", "swpFake", "model", Value));
Assert.Equal("out¬1",
InstrumentFunctions.AssetPortfolioPV("out", "swpFake", "model", "USD"));
}
public void AssetPnLAttributionExplainWithActivityFacts()
{
InstrumentFunctions.CreateAsianSwap("swpFake", "Jan-19", "xx", "USD", 0.0, 0.0, "NYC", "NYC", "2b", "2b", Value, "disco", Value);
var model = new Mock <IAssetFxModel>();
ContainerStores.GetObjectCache <IAssetFxModel>().PutObject("model", new SessionItem <IAssetFxModel>()
{
Name = "model", Value = model.Object
});
var pnlAttribMock = new Mock <IPnLAttributor>();
pnlAttribMock
.Setup(p => p.ExplainAttribution(It.IsAny <Portfolio>(), It.IsAny <Portfolio>(), It.IsAny <IAssetFxModel>(), It.IsAny <IAssetFxModel>(), It.IsAny <Currency>(), It.IsAny <ICurrencyProvider>(), It.IsAny <bool>()))
.Returns(new ResultCube());
ContainerStores.PnLAttributor = pnlAttribMock.Object;
Assert.Equal("Could not find portfolio or trade with name trdS",
InstrumentFunctions.AssetPnLAttributionExplainWithActivity("outzzy", "trdS", "trdE", "ms1", "ms2", "USD", false));
Assert.Equal("Could not find portfolio or trade with name trdE",
InstrumentFunctions.AssetPnLAttributionExplainWithActivity("outzzy", "swpFake", "trdE", "ms1", "ms2", "USD", false));
Assert.Equal("Could not find model with name ms1",
InstrumentFunctions.AssetPnLAttributionExplainWithActivity("outzzy", "swpFake", "swpFake", "ms1", "ms2", "USD", false));
Assert.Equal("Could not find model with name ms2",
InstrumentFunctions.AssetPnLAttributionExplainWithActivity("outzzy", "swpFake", "swpFake", "model", "ms2", "USD", false));
Assert.Equal("outzzy¬0",
InstrumentFunctions.AssetPnLAttributionExplainWithActivity("outzzy", "swpFake", "swpFake", "model", "model", "USD", false));
pnlAttribMock.Verify(p => p.ExplainAttribution(It.IsAny <Portfolio>(), It.IsAny <Portfolio>(), It.IsAny <IAssetFxModel>(), It.IsAny <IAssetFxModel>(), It.IsAny <Currency>(), It.IsAny <ICurrencyProvider>(), It.IsAny <bool>()), Times.Once);
}
public void FilterPortfolioByNameFacts()
{
InstrumentFunctions.CreateAsianSwap("swpFake", "Jan-19", "xx", "USD", 0.0, 0.0, "NYC", "NYC", "2b", "2b", Value, "disco", Value);
InstrumentFunctions.CreatePortfolio("pfOutK", new object[, ] {
{ "swpFake" }
}, Value, Value, Value, Value);
Assert.Equal("Portfolio hhhh not found",
InstrumentFunctions.FilterPortfolioByName("filterPfOutKk", "hhhh", new object[] { "swpFake" }));
Assert.Equal("filterPfOutKk¬0",
InstrumentFunctions.FilterPortfolioByName("filterPfOutKk", "pfOutK", new object[] { "swpFake" }));
}
public void CreateAsianSwapFact()
{
Assert.Equal("Calendar xxx not found in cache",
InstrumentFunctions.CreateAsianSwap("swp", "Jan-19", "xx", "ZAR", 0.0, 0.0, "xxx", "xxx", "2z", "2f", Value, "disco", Value));
Assert.Equal("Calendar xxx not found in cache",
InstrumentFunctions.CreateAsianSwap("swp", "Jan-19", "xx", "ZAR", 0.0, 0.0, "NYC", "xxx", "2z", "2f", Value, "disco", Value));
Assert.Equal("Could not parse date generation type - sqw",
InstrumentFunctions.CreateAsianSwap("swp", "Jan-19", "xx", "ZAR", 0.0, 0.0, "NYC", "NYC", "2b", "2b", "sqw", "disco", Value));
Assert.Equal("swppp¬0",
InstrumentFunctions.CreateAsianSwap("swppp", "Jan-19", "xx", "ZAR", 0.0, 0.0, "NYC", "NYC", "2b", "2b", Value, "disco", Value));
Assert.Equal("swppq¬0",
InstrumentFunctions.CreateAsianSwap("swppq", DateTime.Today.ToOADate(), "xx", "ZAR", 0.0, 0.0, "NYC", "NYC", "2b", "2b", Value, "disco", Value));
Assert.Equal("swppz¬0",
InstrumentFunctions.CreateAsianSwap("swppz", new object[, ] {
{ DateTime.Today.ToOADate(), DateTime.Today.AddDays(100).ToOADate() }
}, "xx", "ZAR", 0.0, 0.0, "NYC", "NYC", "2b", "2b", "BusinessDays", "disco", Value));
}
