public void TestComputeForwardRate1()
{
// Set the number of forward rates to be computed in the test.
int numForwardRates = _forwardRates.Length;
// Set test accuracy level.
_tolerance = 1.0E-4d;
// Compute each forward rate and test against expected rates.
for (int i = 1; i < numForwardRates; ++i)
{
_actual = (double)CapletBootstrapEngineHelper.ComputeForwardRate
("ACT/365.FIXED",
_offsets.ToArray(),
_discountFactors,
_calculationDate,
_dates[i - 1],
_dates[i]);
_expected = _forwardRates[i - 1];
Assert.AreEqual(_expected,
_actual,
_tolerance);
}
}
public void TestComputeDiscountFactorMethod()
{
// Initialise the array of offsets.
List <double> offsets = new List <double>();
foreach (DateTime date in _dates)
{
TimeSpan dateDiff = date - _calculationDate;
offsets.Add(dateDiff.Days);
}
#region Test: End Date Coincides with the Calculation Date
_endDate = _calculationDate;
_actual = (double)CapletBootstrapEngineHelper.ComputeDiscountFactor
(_settingsObj, offsets.ToArray(), _discountFactors, _endDate);
_expected = 1.0d;
Assert.AreEqual(_expected, _actual);
#endregion
#region Test: End Date Coincides with a Nodal Date
int idx = 0;
foreach (DateTime date in _dates)
{
_endDate = date;
_actual = (double)CapletBootstrapEngineHelper.ComputeDiscountFactor
(_settingsObj, offsets.ToArray(), _discountFactors, _endDate);
_expected = _discountFactors[idx];
Assert.AreEqual(_expected, _actual);
++idx;
}
#endregion
#region Test: End Date not at a Nodal Date
string dateString = "2010-07-21";
_endDate = DateTime.Parse(dateString);
_actual = (double)CapletBootstrapEngineHelper.ComputeDiscountFactor
(_settingsObj, offsets.ToArray(), _discountFactors, _endDate);
_expected = 0.82389d;
Assert.AreEqual(_expected,
_actual,
_tolerance);
#endregion
}
public void TestGenerateRollSchedule()
{
// Generate the roll schedule.
CapletBootstrapEngineHelper.GenerateRollSchedule
(_settingsObj, _numYears, out _rollSchedule);
// Test date output.
Assert.AreEqual(_dates.Length, _rollSchedule.Count);
int idx = 0;
foreach (DateTime date in _rollSchedule)
{
Assert.AreEqual(_dates[idx], date);
++idx;
}
}
public void TestGenerateUSDCapRollSchedule()
{
// Construct the settings object: only change the parameters that
// are particular to this test case.
const string CalculationDateString = @"2008-05-14";
const bool ValidateArguments = true;
_calculationDate = DateTime.Parse(CalculationDateString);
_capStartLag = 2;
_currency = "USD";
_numYears = 20.0d;
_settingsObj = new CapletBootstrapSettings
(_calculationDate,
_capFrequency,
_capStartLag,
_currency,
_handle,
_parVolatilityInterpolation,
_rollConvention,
ValidateArguments);
Assert.IsNotNull(_settingsObj);
// Generate the roll schedule.
CapletBootstrapEngineHelper.GenerateRollSchedule
(_settingsObj, _numYears, out _rollSchedule);
// Check the first and last dates in the roll schedule.
const string FirstDateInSchedule = "2008-08-18";
const string LastDateInSchedule = "2028-05-16";
Assert.AreEqual
(DateTime.Parse(FirstDateInSchedule), _rollSchedule[0]);
Assert.AreEqual(DateTime.Parse(LastDateInSchedule),
_rollSchedule[_rollSchedule.Count - 1]);
}