public void Initialisation() { _handle = "SABR Calibration Settings Unit Test"; _instrument = InstrumentType.Instrument.Swaption; _currency = "AUD"; _beta = 0.85m; }
/// <summary> /// Constructor for the class <see cref="SABRCalibrationSettings"/>. /// </summary> /// <param name="handle">Name that identifies the SABR calibration /// settings object.</param> /// <param name="instrument">The instrument type, for example /// Swaption.</param> /// <param name="currency">Currency as a three letter code.</param> /// <param name="beta">The value of the SABR parameter beta. /// Beta must be in the range [0.0, 1.0].</param> public SABRCalibrationSettings(string handle, InstrumentType.Instrument instrument, string currency, decimal beta) { // Initialise all fields, other than the SABR parameter beta. Handle = handle; Instrument = instrument; Currency = currency; // Initialise the SABR parameter beta. InitialiseBeta(beta); }
/// <summary> /// Constructor for the class <see cref="TwoDimensionalKey"/>. /// </summary> /// <param name="firstKeyPart">The first part of the key.</param> /// <param name="secondKeyPart">The second part of the key.</param> public TwoDimensionalKey(InstrumentType.Instrument firstKeyPart, string secondKeyPart) { FirstKeyPart = firstKeyPart; SecondKeyPart = secondKeyPart; }
// // Use TestInitialize to run code before running each test // [TestInitialize()] // public void MyTestInitialize() { } // // Use TestCleanup to run code after each test has run // [TestCleanup()] // public void MyTestCleanup() { } // #endregion #region Setup public void Initialisation() { // Initialise the SABR calibration settings object. _settingsHandle = "SABR Calibration Engine Unit Test."; _currency = "AUD"; _instrument = InstrumentType.Instrument.CallPut; _beta = 0.85m; //_calibrationError = 0.0m; _calibrationSettings = new SABRCalibrationSettings(_settingsHandle, _instrument, _currency, _beta); // Initialise the SABR calibration engine object. _assetPrice = 1350.00m; _engineHandle = _settingsHandle; _exerciseTime = 5.0m; decimal[] tempStrikes = { 1242.00m, 1269.00m, 1283.00m, 1296.00m, 1323.00m, 1350.00m, 1377.00m, 1404.00m, 1418.00m, 1431.00m, 1458.00m, 1485.00m, 1519.00m }; _strikes = new List <decimal>(); foreach (decimal strike in tempStrikes) { _strikes.Add(strike); } decimal[] tempVolatilities = { 0.3108m, 0.3012m, 0.2966m, 0.2925m, 0.2847m, 0.2784m, 0.2738m, 0.2709m, 0.2700m, 0.2696m, 0.2697m, 0.2710m, 0.2744m }; _volatilities = new List <decimal>(); foreach (decimal volatility in tempVolatilities) { _volatilities.Add(volatility); } _calibrationEngine = new SABRCalibrationEngine(_engineHandle, _calibrationSettings, _strikes, _volatilities, _assetPrice, _exerciseTime); // Initialise the collection of SABR calibration engine objects. //_engineHandles = null; }
public void Initialization() { _first = InstrumentType.Instrument.Swaption; _second = "USD"; }