public void LoadInterestRateVolCurveTest()
{
CreateATMRateVolCurve("AUD", "3M", IrVolInstruments, IrVolValues, IrStrikes);
var curve = (CapVolatilityCurve)CurveEngine.LoadVolatilityCurve(Market, "AUD", "3M", null);
Assert.IsNotNull(curve);
// 3M does exist
Assert.AreEqual("3M", curve.GetPricingStructureId().Properties.GetString("IndexTenor", true));
//var baseDate = curve.GetBaseDate();
//var expiration = VolatilitySurfaceHelper.GetDimensionValues(curve.GetVolatilityMatrix().dataPoints?.point,
//CubeDimension.Expiration);
//var expiryArray = new List<TimeDimension>();
//var valArray = new List<Decimal>();
//Debug.Print(baseDate.ToString(CultureInfo.InvariantCulture));
//foreach (var expiry in expiration)
//{
// //Temporary
// if (expiry is TimeDimension timeDimension)
// {
// expiryArray.Add(timeDimension);
// }
// //var date = expiry as DateTime? ?? baseDate.AddDays(1);
// //expiryArray.Add(date);
// Debug.Print(expiry.ToString());
//}
////var term = VolatilitySurfaceHelper.GetDimensionValues(curve.GetVolatilityMatrix().dataPoints?.point,
////CubeDimension.Strike);
//var termPoints = TermPointsFactory.Create(expiryArray, valArray);
//var termCurve = new TermCurve { point = termPoints };
//var output = XmlSerializerHelper.SerializeToString(termCurve);
//Debug.Print(output);
}
public void LoadInterestRateVolCurveWithStrikeTest()
{
CreateStrikeRateVolCurve("AUD", "3M", IrVolInstruments2, IrVolValues2, IrStrikes2);
var curve = CurveEngine.LoadVolatilityCurve(Market, "AUD", "3M", null);
Assert.IsNotNull(curve);
// 3M does exist
Assert.AreEqual("3M", curve.GetPricingStructureId().Properties.GetString("IndexTenor", true));
}
