public void GetStructuredSwapMetricTest()
{
const string MarketName = "UnitTest";
const string Currency = "AUD";
DateTime baseDate = new DateTime(2009, 1, 6);
string curveId = CreateCurve(MarketName, Currency, baseDate);
const Decimal Notional = 1000000;
DateTime[] dates = new DateTime[]
{
new DateTime(2009, 03, 05),
new DateTime(2009, 06, 05),
new DateTime(2009, 09, 05),
new DateTime(2009, 12, 05),
};
Decimal[] notionalWeights = new [] { 0.8m, 0.7m, 0.6m };
const string FixedLegDayCount = "ACT/365.FIXED";
const Decimal FixedRate = 0.06m;
const string BusinessDayConvention = "FOLLOWING";
const string BusinessCentersAsString = "GBLO";
const string Metric = "DeltaR";
Decimal actual = PriceableAssets.GetStructuredSwapMetric(MarketName, curveId, Currency, baseDate, Notional, dates, notionalWeights, FixedLegDayCount, FixedRate, BusinessDayConvention, BusinessCentersAsString, Metric);
const double Expected = 51.737;
Assert.AreEqual(Expected, (double)actual, 0.001d);
}
public void GetSwapImpliedQuoteTest()
{
const string marketName = "UnitTest";
const string currency = "AUD";
DateTime baseDate = new DateTime(2009, 1, 6);
DateTime spotDate = new DateTime(2009, 1, 8);
string curveId = CreateCurve(marketName, currency, baseDate);
const string fixedLegDayCount = "ACT/365.FIXED";
const string term = "3y";
const string paymentFrequency = "1M";
const string businessDayConvention = "NONE";
const string businessCentersAsString = "GBLO";
Decimal actual = PriceableAssets.GetSwapImpliedQuote(marketName, curveId, currency, baseDate, spotDate,
fixedLegDayCount, term, paymentFrequency, businessDayConvention, businessCentersAsString);
const double expected = 0.0454;
Assert.AreEqual(expected, (double)actual, 0.0001);
}