/// <summary>
/// Generates a strike schedule.
/// </summary>
/// <param name="initialValue">The initial value of the schedule to be generated.</param>
/// <param name="step">The step value.</param>
/// <param name="applyStepToEachNthCashflow">The frequency to apply the step.</param>
/// <param name="totalNumberOfCashflows">The number of cashflows in the array.</param>
/// <returns>A vertical array of strikes.</returns>
public object[,] GetStrikeSchedule(double initialValue, double step, int applyStepToEachNthCashflow, int totalNumberOfCashflows)
{
var strikeSchedule = StrikeScheduleGenerator.GetStrikeSchedule(initialValue, step, applyStepToEachNthCashflow, totalNumberOfCashflows);
var result = RangeHelper.ConvertArrayToRange(strikeSchedule);
return(result);
}
public void TestGetSpreadScheduleImpl()
{
var inputAndOutput = new Dictionary <double[], List <double> >();
inputAndOutput.Add(
new[] { 0.05, 0.0025, 1.0, 12.0 },//initialValue, step, applyStepToEachNthCashflow, totalNumberOfCashflows
new List <double>(new[]
{ 0.05,
0.05 + (0.0025) * 1,
0.05 + (0.0025) * 2,
0.05 + (0.0025) * 3,
0.05 + (0.0025) * 4,
0.05 + (0.0025) * 5,
0.05 + (0.0025) * 6,
0.05 + (0.0025) * 7,
0.05 + (0.0025) * 8,
0.05 + (0.0025) * 9,
0.05 + (0.0025) * 10,
0.05 + (0.0025) * 11 }));
inputAndOutput.Add(
new[] { 0.05, +0.0025, 2.0, 8.0 },//initialValue, step, applyStepToEachNthCashflow, totalNumberOfCashflows
new List <double>(new[]
{ 0.05,
0.05,
0.05 + (0.0025) * 1,
0.05 + (0.0025) * 1,
0.05 + (0.0025) * 2,
0.05 + (0.0025) * 2,
0.05 + (0.0025) * 3,
0.05 + (0.0025) * 3 }));
inputAndOutput.Add(
new[] { 0.05, +0.0025, 3.0, 8.0 },//initialValue, step, applyStepToEachNthCashflow, totalNumberOfCashflows
new List <double>(new[]
{ 0.05,
0.05,
0.05,
0.05 + (0.0025) * 1,
0.05 + (0.0025) * 1,
0.05 + (0.0025) * 1,
0.05 + (0.0025) * 2,
0.05 + (0.0025) * 2 }));
foreach (double[] input in inputAndOutput.Keys)
{
double initialValue = input[0];
double step = input[1];
double applyStepToEachNthCashflow = input[2];
double totalNumberOfCashflows = input[3];
List <double> notionalSchedule = StrikeScheduleGenerator.GetStrikeScheduleImpl(initialValue, step, (int)applyStepToEachNthCashflow, (int)totalNumberOfCashflows);
Assert.AreEqual(totalNumberOfCashflows, notionalSchedule.Count);
List <double> expectedOutput = inputAndOutput[input];
Assert.AreEqual(expectedOutput.Count, notionalSchedule.Count);
for (int i = 0; i < expectedOutput.Count; ++i)
{
Assert.AreEqual(expectedOutput[i], notionalSchedule[i], 0.0000001);
}
}
}
