public void AutocallableKnockInBarrierRipperWorks()
{
foreach (var testPair in _testFilePathAndKnockInBarrierDictionary)
{
string testFilePath = testPair.Key;
string textToParse = GeneralUtils.GetStringFromTextFile(testFilePath);
AutocallableRipper ripper = DealRipperFactory.GetAutocallableRipper(textToParse);
double expectedKnockInBarrier = testPair.Value;
double rippedKnockInBarrier = ripper.GetKnockInBarrier();
Assert.AreEqual(expectedKnockInBarrier, rippedKnockInBarrier);
}
}
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();
}
}
