public void RoundTripViaProtoBuf()
{
var aModel = GetModel();
var to = aModel.ToTransportObject();
var ms = new MemoryStream();
ProtoBuf.Serializer.Serialize(ms, to);
//ms.Flush();
ms.Seek(0, SeekOrigin.Begin);
var to2 = ProtoBuf.Serializer.Deserialize <TO_AssetFxModel>(ms);
var aModel2 = new AssetFxModel(to2, TestProviderHelper.CurrencyProvider, TestProviderHelper.CalendarProvider);
Assert.Equal(aModel.GetPriceCurve("OIL").GetPriceForDate(ValDate.AddDays(100)), aModel2.GetPriceCurve("OIL").GetPriceForDate(ValDate.AddDays(100)));
Assert.Equal(aModel.GetPriceCurve("OIL", zar).GetPriceForDate(ValDate.AddDays(100)), aModel2.GetPriceCurve("OIL", zar).GetPriceForDate(ValDate.AddDays(100)));
Assert.Equal(aModel.GetCompositeVolForStrikeAndDate("OIL", ValDate.AddDays(100), 1000, zar), aModel2.GetCompositeVolForStrikeAndDate("OIL", ValDate.AddDays(100), 1000, zar));
}
public void FixingsVolsCurvesFacts()
{
var fModel = new Mock <IFundingModel>();
var matrix = new Mock <IFxMatrix>();
var pair = new FxPair();
var dict = new Mock <IFixingDictionary>();
var surface = new Mock <IVolSurface>();
var surface2 = new Mock <IVolSurface>();
var surfaceFx = new Mock <IVolSurface>();
var curve = new Mock <IPriceCurve>();
curve.Setup(c => c.GetPriceForDate(DateTime.Today)).Returns(456.0);
curve.Setup(c => c.GetPriceForFixingDate(DateTime.Today)).Returns(457.0);
surface.Setup(s => s.AssetId).Returns("blah");
surface2.Setup(s => s.AssetId).Returns("blah2");
matrix.Setup(f => f.GetFxPair(It.IsAny <string>())).Returns(pair);
fModel.Setup(f => f.GetFxRate(It.IsAny <DateTime>(), It.IsAny <Currency>(), It.IsAny <Currency>())).Returns(77.0);
fModel.Setup(f => f.FxMatrix).Returns(matrix.Object);
fModel.Setup(f => f.VolSurfaces).Returns(new Dictionary <string, IVolSurface> {
{ "bla/haa", surfaceFx.Object }
});
var sut = new AssetFxModel(DateTime.Today, fModel.Object);
sut.AddPriceCurve("blah", curve.Object);
sut.AddPriceCurves(new Dictionary <string, IPriceCurve> {
{ "blah2", curve.Object }
});
Assert.Same(curve.Object, sut.GetPriceCurve("blah"));
Assert.Same(curve.Object, sut.GetPriceCurve("blah2"));
sut.AddFixingDictionary("blah", dict.Object);
sut.AddFixingDictionaries(new Dictionary <string, IFixingDictionary> {
{ "blah2", dict.Object }
});
Assert.Same(dict.Object, sut.GetFixingDictionary("blah"));
Assert.Same(dict.Object, sut.GetFixingDictionary("blah2"));
Assert.False(sut.TryGetFixingDictionary("wooo", out var flob));
sut.AddVolSurface("blah", surface.Object);
sut.AddVolSurfaces(new Dictionary <string, IVolSurface> {
{ "blah2", surface2.Object }
});
Assert.Same(surface.Object, sut.GetVolSurface("blah"));
Assert.Same(surface2.Object, sut.GetVolSurface("blah2"));
sut.GetVolForStrikeAndDate("blah", DateTime.Today, 123);
surface.Verify(s => s.GetVolForAbsoluteStrike(123, DateTime.Today, 456), Times.Once);
sut.GetVolForDeltaStrikeAndDate("blah", DateTime.Today, 123);
surface.Verify(s => s.GetVolForDeltaStrike(123, DateTime.Today, 457.0), Times.Once);
sut.GetAverageVolForStrikeAndDates("blah", new[] { DateTime.Today }, 123);
surface.Verify(s => s.GetVolForAbsoluteStrike(123, DateTime.Today, 456), Times.Exactly(2));
sut.GetAverageVolForMoneynessAndDates("blah", new[] { DateTime.Today }, 1.0);
surface.Verify(s => s.GetVolForAbsoluteStrike(456, DateTime.Today, 456), Times.Exactly(2));
sut.GetFxVolForStrikeAndDate("bla/haa", DateTime.Today, 123);
surfaceFx.Verify(s => s.GetVolForAbsoluteStrike(123, DateTime.Today, 77), Times.Once);
sut.GetFxVolForDeltaStrikeAndDate("bla/haa", DateTime.Today, 123);
surfaceFx.Verify(s => s.GetVolForDeltaStrike(123, DateTime.Today, 77), Times.Once);
sut.OverrideBuildDate(DateTime.MinValue);
Assert.Equal(DateTime.MinValue, sut.BuildDate);
sut.OverrideBuildDate(DateTime.Today);
}
public void RoundTrip()
{
var aModel = GetModel();
var to = aModel.ToTransportObject();
var aModel2 = new AssetFxModel(to, TestProviderHelper.CurrencyProvider, TestProviderHelper.CalendarProvider);
Assert.Equal(aModel.GetPriceCurve("OIL").GetPriceForDate(ValDate.AddDays(100)), aModel2.GetPriceCurve("OIL").GetPriceForDate(ValDate.AddDays(100)));
Assert.Equal(aModel.GetPriceCurve("OIL", zar).GetPriceForDate(ValDate.AddDays(100)), aModel2.GetPriceCurve("OIL", zar).GetPriceForDate(ValDate.AddDays(100)));
Assert.Equal(aModel.GetCompositeVolForStrikeAndDate("OIL", ValDate.AddDays(100), 1000, zar), aModel2.GetCompositeVolForStrikeAndDate("OIL", ValDate.AddDays(100), 1000, zar));
}