public void TestConversions(Double valueBase, String currencyBase, String currencyCounter, Double valueExpected, String currencyExpected)
{
FxRatesProvider ratesProvider = m_TestsFixture.RatesProvider;
Amount amountBase = Amount.Of(Currency.Parse(currencyBase), Utilities.Round(valueBase, 2));
Currency oCurrencyCounter = Currency.Parse(currencyCounter);
Amount expected = Amount.Of(Currency.Parse(currencyExpected), Utilities.Round(valueExpected, 2));
Amount actual = Amount.Round(ratesProvider.Convert(amountBase, oCurrencyCounter), 2, MidpointRounding.AwayFromZero);
Assert.Equal(expected, actual);
}
private static Decimal CalculateThresholdFactor(Currency calculationCurrency, FxRatesProvider ratesProvider, SensitivityRisk risk, SensitivityCategory category, List <Sensitivity> sensitivities)
{
if ((risk == SensitivityRisk.Rates) && (category == SensitivityCategory.Delta))
{
sensitivities = sensitivities.Where(x => x.Subrisk != SensitivitySubrisk.CrossCurrencyBasis).ToList();
if (sensitivities.Count == 0)
{
return(1m);
}
}
Amount sum = Amount.Abs(Amount.Sum(sensitivities.Select(x => x.Amount), calculationCurrency));
IThresholdIdentifier thresholdIdentifier = sensitivities.Select(y => y.ThresholdIdentifier).Distinct().Single();
Amount threshold = ratesProvider.Convert(ModelParameters.GetThreshold(risk, category, thresholdIdentifier), calculationCurrency);
return(Math.Max(1m, MathUtilities.SquareRoot((sum / threshold).Value)));
}
