internal static void AssertCurveConsistentWithInputs <T>(IEnumerable <Contract <T> > inputContracts,
Func <T, double> weighting, DoubleCurve <T> curve, double tolerance)
where T : ITimePeriod <T>
{
foreach (var inputContract in inputContracts)
{
var weightedAverageCurvePrice = curve.Price(inputContract.Start, inputContract.End);
Assert.AreEqual(inputContract.Price, weightedAverageCurvePrice, tolerance);
}
}
public void Price_EmptyCurve_ThrowsInvalidOperationException()
{
DoubleCurve <Month> emptyCurve = DoubleCurve <Month> .Empty;
Assert.Throws <InvalidOperationException>(() =>
{
// ReSharper disable once UnusedVariable
var price = emptyCurve.Price(Month.CreateJanuary(2020));
});
}
public void Price_MonthlyCurveBusinessDayWeight_EqualsWeightedAverage()
{
var curve = new DoubleCurve <Month>(Month.CreateJanuary(2020), new[] { 56.54, 54.15, 51.14 },
Weighting.BusinessDayCount <Month>(new Day[0]));
double q1Price = curve.Price(Quarter.CreateQuarter1(2020));
const double expectedQ1Price = (56.54 * 23.0 + 54.15 * 20.0 + 51.14 * 22.0) / 65.0;
Assert.AreEqual(expectedQ1Price, q1Price);
}
public void PriceStartAndEndParameters_MonthlyCurveBusinessDayWeight_EqualsWeightedAverage()
{
var curve = new DoubleCurve <Month>(Month.CreateJanuary(2020), new [] { 56.54, 54.15, 51.14 },
Weighting.BusinessDayCount <Month>(new Day[0]));
double febMarPrice = curve.Price(Month.CreateFebruary(2020), Month.CreateMarch(2020));
const double expectedFebMarPrice = (54.15 * 20.0 + 51.14 * 22.0) / 42.0;
Assert.AreEqual(expectedFebMarPrice, febMarPrice);
}
public void BuilderWithData_ConstructedWithCapacityParameter_AddsPointsToBuiltSeries()
{
var curve = new DoubleCurve <Month> .Builder(1, month => 1.0)
.WithData(Month.CreateJanuary(2019), 1.0)
.WithData(Month.CreateFebruary(2019), 2.0)
.WithData(Month.CreateMarch(2019), 3.0)
.Build();
Assert.AreEqual(3, curve.Count);
Assert.AreEqual(1.0, curve[Month.CreateJanuary(2019)]);
Assert.AreEqual(2.0, curve[Month.CreateFebruary(2019)]);
Assert.AreEqual(3.0, curve[Month.CreateMarch(2019)]);
Assert.AreEqual(2.0, curve.Price(Quarter.CreateQuarter1(2019)));
}
public void BuilderBuild_ConstructedWithCapacityParameter_AsExpected()
{
var curve = new DoubleCurve <Month> .Builder(2, month => 1.0)
{
{ Month.CreateJanuary(2019), 1.0 },
{ Month.CreateFebruary(2019), 2.0 },
{ Month.CreateMarch(2019), 3.0 }
}
.Build();
Assert.AreEqual(3, curve.Count);
Assert.AreEqual(1.0, curve[Month.CreateJanuary(2019)]);
Assert.AreEqual(2.0, curve[Month.CreateFebruary(2019)]);
Assert.AreEqual(3.0, curve[Month.CreateMarch(2019)]);
Assert.AreEqual(2.0, curve.Price(Quarter.CreateQuarter1(2019)));
}