public void TestAvailableTenors()
{
string testPath = Utility.TestFilesDirectoryName();
Report79 r79 = new Report79(testPath + "R79.txt");
var availableTenors = r79.AvailableTenors("AUD_BBSW");
Assert.AreEqual(1.498630137, availableTenors[8], 1e-6);
Assert.AreEqual(30, availableTenors[availableTenors.Count - 1], 1e-6);
}
public void CanGenerateDAT()
{
string testPath = Utility.TestFilesDirectoryName();
Report18 r18 = new Report18(testPath + "R18.txt");
Report79 r79 = new Report79(testPath + "R79.txt");
Report90 r90 = new Report90(testPath + "R90.txt");
Converter c = new Converter(r18, r79, r90);
c.ToDat(testPath + "outDat.dat");
}
public void CanGenerateADA()
{
string testPath = Utility.TestFilesDirectoryName();
Report18 r18 = new Report18(testPath + "R18.txt");
Report79 r79 = new Report79(testPath + "R79.txt");
Report90 r90 = new Report90(testPath + "R90.txt");
Converter c = new Converter(r18, r79, r90);
c.FillADATable();
c.ToADA(testPath + "outADA.ada");
}
public void TestBaseDates()
{
string testPath = Utility.TestFilesDirectoryName();
Report18 r18 = new Report18(testPath + "R18.txt");
Report79 r79 = new Report79(testPath + "R79.txt");
Report90 r90 = new Report90(testPath + "R90.txt");
Assert.AreEqual(new DateTime(2013, 11, 18), r18.BaseDate);
Assert.AreEqual(new DateTime(2013, 11, 18), r79.BaseDate);
Assert.AreEqual(new DateTime(2013, 11, 18), r90.BaseDate);
}
public void TestHaveSameBaseDates()
{
string testPath = Utility.TestFilesDirectoryName();
Report18 r18 = new Report18(testPath + "R18.txt");
Report79 r79 = new Report79(testPath + "R79.txt");
Report79 r79Wrong = new Report79(testPath + "R79Wrong.txt");
Report90 r90 = new Report90(testPath + "R90.txt");
Converter c = new Converter(r18, r79Wrong, r90);
bool equalBaseDates = c.HaveSameBaseDate(new LCHFile[] { r18, r79Wrong, r90 });
Assert.IsFalse(equalBaseDates);
c = new Converter(r18, r79, r90);
equalBaseDates = c.HaveSameBaseDate(new LCHFile[] { r18, r79, r90 });
Assert.IsTrue(equalBaseDates);
}
public void BasicSetUp()
{
string testPath = Utility.TestFilesDirectoryName();
Report18 r18 = new Report18(testPath + "R18.txt");
Report79 r79 = new Report79(testPath + "R79.txt");
Report90 r90 = new Report90(testPath + "R90.txt");
double x = (double)r79.DataTable.Rows[r79.DataTable.Rows.Count - 1]["DiscountFactor"];
double y = (double)r90.DataTable.Rows[3]["6M"];
double z = (double)r18.DataTable.Rows[3]["Exchangerate"];
double u = r18["AUD"];
double v = r90["AUD", new DateTime(2013, 11, 6)];
Assert.AreEqual(0.0688413619, x, 1e-6);
Assert.AreEqual(-1.9715, y, 1e-6);
Assert.AreEqual(1.352, z, 1e-6);
Assert.AreEqual(1.7135, u, 1e-6);
Assert.AreEqual(1.8765645, v, 1e-6);
}
