public void ComputeEADFacts()
{
var curve = new PriceCurve(DateTime.MinValue, new[] { DateTime.MinValue }, new[] { 0.0 }, PriceCurveType.Flat, ContainerStores.CurrencyProvider)
{
Currency = ContainerStores.CurrencyProvider.GetCurrency("ZAR")
};
var moqModel = new Mock <IAssetFxModel>();
moqModel.Setup(m => m.GetPriceCurve("fakeAsset", null)).Returns(curve);
moqModel.Setup(m => m.VanillaModel).Returns(moqModel.Object);
moqModel.Setup(m => m.Rebuild(It.IsAny <IAssetFxModel>(), It.IsAny <Portfolio>())).Returns(moqModel.Object);
var cube = new ResultCube();
cube.Initialize(new Dictionary <string, Type>()
{
{ "xxx", typeof(string) }
});
moqModel.Setup(m => m.PV(It.IsAny <Currency>())).Returns(cube);
var swap = new AsianSwap()
{
AssetId = "fakeAsset",
PaymentCurrency = ContainerStores.CurrencyProvider.GetCurrency("ZAR"),
FixingDates = new[] { DateTime.MinValue }
};
var pf = new Portfolio {
Instruments = new List <IInstrument>()
{
swap
}
};
ContainerStores.GetObjectCache <Portfolio>().PutObject("moqPf", new SessionItem <Portfolio>()
{
Name = "moqPf", Value = pf
});
ContainerStores.GetObjectCache <IAssetFxModel>().PutObject("moqModel", new SessionItem <IAssetFxModel>()
{
Name = "moqModel", Value = moqModel.Object
});
Assert.Equal("Could not find portfolio or trade with name blash", CapitalFunctions.ComputeEAD("blash", "frah", "ZAR", null));
Assert.Equal("Model frah not found", CapitalFunctions.ComputeEAD("moqPf", "frah", "ZAR", null));
Assert.Equal(0.0, CapitalFunctions.ComputeEAD("moqPf", "moqModel", "ZAR", new object[, ] {
{ "fakeAsset", "woooh" }
}));
}
public void ComputeCVAFacts()
{
var hz = new HazzardCurve(DateTime.Today, DayCountBasis.Act365F, new DummyPointInterpolator(0.0));
var disco = new FlatIrCurve(0.0, ContainerStores.CurrencyProvider.GetCurrency("ZAR"), "disco");
ContainerStores.GetObjectCache <HazzardCurve>().PutObject("hz", new SessionItem <HazzardCurve>()
{
Name = "hz", Value = hz
});
ContainerStores.GetObjectCache <IIrCurve>().PutObject("disco", new SessionItem <IIrCurve>()
{
Name = "disco", Value = disco
});
Assert.Equal("Hazzard curve blash not found", CapitalFunctions.ComputeCVA("blash", DateTime.Today, "woo", null, 0.0));
Assert.Equal("Discount curve woo not found", CapitalFunctions.ComputeCVA("hz", DateTime.Today, "woo", null, 0.0));
Assert.Equal("Expected Nx2 array for EPE", CapitalFunctions.ComputeCVA("hz", DateTime.Today, "disco", new object[1, 1], 0.0));
Assert.Equal("EPE profile must be cube reference or Nx2 array", CapitalFunctions.ComputeCVA("hz", DateTime.Today, "disco", 7, 0.0));
Assert.Equal(0.0, CapitalFunctions.ComputeCVA("hz", DateTime.Today, "disco", new object[1, 2] {
{ DateTime.Today, 0.0 }
}, 0.0));
}