private (IAssetFxModel startModel, IAssetFxModel endModel, Portfolio portfolio) GenerateTestData()
{
Utils.Parallel.ParallelUtils.Instance.MultiThreaded = false;
var usd = TestProviderHelper.CurrencyProvider.GetCurrency("USD");
var zar = TestProviderHelper.CurrencyProvider.GetCurrency("ZAR");
var nyc = TestProviderHelper.CalendarProvider.Collection["NYC"];
var originDate = DateTime.Parse("2019-04-25");
var ins = new FxForward
{
TradeId = "TestA",
DeliveryDate = originDate.AddDays(30),
DomesticCCY = zar,
ForeignCCY = usd,
DomesticQuantity = 1e6,
Strike = 14,
ForeignDiscountCurve = "DISCO-USD"
};
var pf = new Portfolio {
Instruments = new List <IInstrument> {
ins
}
};
var discoUsd = new FlatIrCurve(0.02, usd, "DISCO-USD");
var discoZar = new FlatIrCurve(0.05, zar, "DISCO-ZAR");
var fxpairs = new List <FxPair>
{
new FxPair {
Domestic = usd, Foreign = zar, PrimaryCalendar = nyc, SpotLag = 2.Bd()
},
new FxPair {
Domestic = zar, Foreign = usd, PrimaryCalendar = nyc, SpotLag = 2.Bd()
},
};
var fxMatrix = new FxMatrix(TestProviderHelper.CurrencyProvider);
fxMatrix.Init(zar, originDate, new Dictionary <Currency, double> {
{ usd, 14.0 }
}, fxpairs, new Dictionary <Currency, string> {
{ usd, "DISCO-USD" }, { zar, "DISCO-ZAR" }
});
var fModel = new FundingModel(originDate, new[] { discoUsd, discoZar }, TestProviderHelper.CurrencyProvider, TestProviderHelper.CalendarProvider);
fModel.SetupFx(fxMatrix);
var startModel = new AssetFxModel(originDate, fModel);
startModel.AddFixingDictionary("FakeAsset", new FixingDictionary());
startModel.AddPriceCurve("FakeAsset", new ConstantPriceCurve(100, originDate, TestProviderHelper.CurrencyProvider));
startModel.AddVolSurface("FakeAsset", new ConstantVolSurface(originDate, 1.00)
{
AssetId = "FakeAsset", Currency = usd
});
var endFModel = fModel.DeepClone();
endFModel.FxMatrix.SpotRates[usd] = 15;
var endModel = startModel.Clone(endFModel);
endModel.AddFixingDictionary("FakeAsset", new FixingDictionary());
endModel.AddPriceCurve("FakeAsset", new ConstantPriceCurve(100, originDate, TestProviderHelper.CurrencyProvider));
endModel.AddVolSurface("FakeAsset", new ConstantVolSurface(originDate, 1.00)
{
AssetId = "FakeAsset", Currency = usd
});
return(startModel, endModel, pf);
}