public void ExplainPnLAttributionFacts()
{
var(startModel, endModel, portfolio) = GenerateTestData();
var zar = TestProviderHelper.CurrencyProvider.GetCurrency("ZAR");
var result = Models.PnLAttribution.ExplainAttributionInLineGreeks(portfolio, startModel, endModel, zar, TestProviderHelper.CurrencyProvider);
var sum = result.GetAllRows().Sum(x => x.Value);
var expected = portfolio.PV(endModel, zar).GetAllRows().Sum(x => x.Value)
- portfolio.PV(startModel, zar).GetAllRows().Sum(x => x.Value);
Assert.Equal(expected, sum, 10);
startModel.AttachPortfolio(portfolio);
var greeks = Qwack.Models.Risk.BasicMetrics.AssetGreeks((AssetFxModel)startModel, endModel.BuildDate, zar, TestProviderHelper.CurrencyProvider).Result;
result = Models.PnLAttribution.ExplainAttribution(portfolio, startModel, endModel, zar, greeks, TestProviderHelper.CurrencyProvider);
sum = result.GetAllRows().Sum(x => x.Value);
Assert.Equal(expected, sum, 10);
}
