public void AutocallableCallDatesRipperWorks()
{
foreach (var testPair in _testFilePathAndExpectedCallDates)
{
string testFilePath = testPair.Key;
string textToParse = GeneralUtils.GetStringFromTextFile(testFilePath);
_autocallableRipper = DealRipperFactory.GetAutocallableRipper(textToParse);
DateTime [] expectedCallObservationDates = testPair.Value;
DateTime [] rippedCallObservationDates = _autocallableRipper.GetCallObservationDates();
int expectedDateCount = expectedCallObservationDates.Length;
int rippedDateCount = rippedCallObservationDates.Length;
string msgOnFailure = string.Format("The expected number of call observations ({0}) " +
"doesn't match the ripped number of call " +
"observations ({1}) in following file path: " +
"{2}.",
expectedDateCount, rippedDateCount, testFilePath);
Assert.AreEqual(expectedDateCount, rippedDateCount, msgOnFailure);
for (int i = 0; i < expectedCallObservationDates.Length; i++)
{
DateTime expectedDate = expectedCallObservationDates [i];
DateTime rippedDate = rippedCallObservationDates [i];
msgOnFailure = string.Format("The call observation date we expected ({0}) " +
"is different than the call observation date we " +
"ripped ({1}) in the following file path: {2}.",
expectedDate, rippedDate, testFilePath);
Assert.AreEqual(expectedDate, rippedDate, msgOnFailure);
}
}
}
protected virtual void parse(AutocallableContainer container, AutocallableRipper ripper)
{
base.parse(container, ripper);
DateTime [] couponObservationDates;
try
{
DateTime [] callObservationDates = ripper.GetCallObservationDates();
container.CallObservationDates = callObservationDates;
try
{
couponObservationDates = ripper.GetCouponObservationDates();
container.CouponObservationDates = couponObservationDates;
}
catch
{
string warning = "Unable to extract coupon observation dates on their own so " +
"assuming they are the same as the call observation dates.";
Debug.WriteLine(warning);
container.CouponObservationDates = callObservationDates;
}
}
catch (DetailParsingException)
{
string warning = "Unable to extract call observation dates on their own so assuming " +
"they are the same as the coupon observation dates.";
Debug.WriteLine(warning);
couponObservationDates = ripper.GetCouponObservationDates();
container.CouponObservationDates = couponObservationDates;
container.CallObservationDates = couponObservationDates;
}
container.CouponAmountPerPeriod = ripper.GetCouponPerPeriod();
container.CouponBarrier = ripper.GetCouponBarrier();
double knockInBarrier = ripper.GetKnockInBarrier();
// If the KI Barrier is less than one, it is likely that it represents a % amount.
if (knockInBarrier < 1)
{
knockInBarrier = knockInBarrier * container.InitialUnderlyingLevel;
}
container.KnockInBarrier = knockInBarrier;
// If we fail to rip the coupon frequency, we "swallow" the error because we can
// ultimately determine it by the distance between coupon observation dates.
try
{
if (ripper.CouponFrequency == null)
{
container.CouponFrequency = ripper.GetCouponFrequency();
}
else
{
container.CouponFrequency = ripper.CouponFrequency;
}
}
catch (Exception) { }
// If we failed to parse the Final Valuation Date on its own, then we set it equal to the last coupon
// observation date
if (container.FinalValuationDate.IsEmpty())
{
string warning = String.Format("Final Valuation Date empty in AutocallableFactory for " +
"Cusip {0}. Therefore, assuming it is the final coupon " +
"observation date.", container.Cusip);
Debug.WriteLine(warning);
container.FinalValuationDate = container.CouponObservationDates.Last();
}
}
