private static void AssertEqual(ManageableVolatilityCubeSnapshot a, ManageableVolatilityCubeSnapshot b)
{
Assert.NotNull(a.OtherValues);
Assert.NotNull(b.OtherValues);
AssertEqual(a.Values, b.Values, AssertEqual);
AssertEqual(a.OtherValues, b.OtherValues);
AssertEqual(a.Strikes, b.Strikes, AssertEqual);
}
private static Dictionary <VolatilityCubeKey, ManageableVolatilityCubeSnapshot> GetCubes()
{
var manageableVolCubeSnapshot = new ManageableVolatilityCubeSnapshot(new ManageableUnstructuredMarketDataSnapshot(new Dictionary <MarketDataValueSpecification, IDictionary <string, ValueSnapshot> >()));
manageableVolCubeSnapshot.SetPoint(new VolatilityPoint(Tenor.Day, Tenor.Day, -100), new ValueSnapshot(2));
manageableVolCubeSnapshot.SetPoint(new VolatilityPoint(Tenor.Day, Tenor.Day, 100), null);
manageableVolCubeSnapshot.SetStrike(new Pair <Tenor, Tenor>(Tenor.Day, Tenor.Day), new ValueSnapshot(2));
manageableVolCubeSnapshot.SetStrike(new Pair <Tenor, Tenor>(Tenor.Day, Tenor.TwoYears), null);
return(new Dictionary <VolatilityCubeKey, ManageableVolatilityCubeSnapshot>
{
{ new VolatilityCubeKey(Currency.USD, "Test"), manageableVolCubeSnapshot }
});
}
public static IEnumerable <Warning> Of(VolatilityCubeKey key, ManageableVolatilityCubeSnapshot value)
{
return(value.HaveOverrides() ? new Warning[] { new OverriddenVolatilityCubeDisappearingWarning(key) } : new Warning[] { });
}
public static IEnumerable<Warning> Of(VolatilityCubeKey key, ManageableVolatilityCubeSnapshot value)
{
return value.HaveOverrides() ? new Warning[] { new OverriddenVolatilityCubeDisappearingWarning(key) } : new Warning[] { };
}
