public void CreateContangoPriceCurve_Facts()
{
Assert.Equal("glah¬0", PriceCurveFunctions.CreateContangoPriceCurve("glah", "pwahAid", DateTime.Today, DateTime.Today.AddDays(2), 100.0, new double[] { DateTime.Today.AddDays(10).ToOADate(), DateTime.Today.AddDays(20).ToOADate() }, new double[] { 0.05, 0.06 }, ExcelDna.Integration.ExcelMissing.Value, ExcelDna.Integration.ExcelMissing.Value, ExcelDna.Integration.ExcelMissing.Value));
Assert.Equal("glah1¬0", PriceCurveFunctions.CreateContangoPriceCurve("glah1", "pwahAid", DateTime.Today, DateTime.Today.AddDays(2), 100.0, new double[] { DateTime.Today.AddDays(10).ToOADate(), DateTime.Today.AddDays(20).ToOADate() }, new double[] { 0.05, 0.06 }, new object[, ] {
{ "l1", "l2" }
}, ExcelDna.Integration.ExcelMissing.Value, ExcelDna.Integration.ExcelMissing.Value));
}
public void CreateFixingDictionary_Facts()
{
Assert.Equal("Unknown fixing dictionary type creugh", PriceCurveFunctions.CreateFixingDictionary("bleugh", "bleugh", new object[, ] {
{ DateTime.Today, 1000.0 }
}, "creugh", null));
Assert.Equal("bleugh¬0", PriceCurveFunctions.CreateFixingDictionary("bleugh", "bleugh", new object[, ] {
{ DateTime.Today, 1000.0 }
}, "FX", "USD/ZAR"));
}
public void BendCurve_Facts()
{
var input = new double[] { 1.0, 2.0, 3.0 };
var sparse = new object[] { 1.0, ExcelDna.Integration.ExcelMissing.Value, 4.0 };
var sparse2 = new double?[] { 1.0, null, 4.0 };
var z = PriceCurveFunctions.BendCurve(input, sparse);
Assert.True(Enumerable.SequenceEqual(CurveBender.Bend(input, sparse2), (double[])PriceCurveFunctions.BendCurve(input, sparse)));
}
public void CreatePriceCurve_Facts()
{
Assert.Equal("Could not parse price curve type - zah", PriceCurveFunctions.CreatePriceCurve("pwah", "pwahAid", DateTime.Today, new double[] { 1.0 }, new double[] { 1.0 }, "zah", "xaf", "blah", "gwah", "zzz", "zzzCal"));
Assert.Equal("pwah¬0", PriceCurveFunctions.CreatePriceCurve("pwah", "pwahAid", DateTime.Today, new double[] { DateTime.Today.ToOADate(), DateTime.Today.AddDays(10).ToOADate() }, new double[] { 1.0, 1.1 }, "ICE", ExcelDna.Integration.ExcelMissing.Value, "USD", "gwah", "2b", "USD"));
Assert.Equal("pwah1¬0", PriceCurveFunctions.CreatePriceCurve("pwah1", "pwahAid", DateTime.Today, new double[] { DateTime.Today.ToOADate(), DateTime.Today.AddDays(10).ToOADate() }, new double[] { 1.0, 1.1 }, "ICE", new object[, ] {
{ "l1", "l2" }
}, "USD", "gwah", "2b", "USD"));
Assert.Equal("pwah2¬0", PriceCurveFunctions.CreatePriceCurve("pwah2", null, DateTime.Today, new double[] { DateTime.Today.ToOADate(), DateTime.Today.AddDays(10).ToOADate() }, new double[] { 1.0, 1.1 }, "ICE", new object[, ] {
{ "l1", "l2" }
}, "USD", "gwah", "2b", "USD"));
}
public void CreateCorrelationMatrix_Facts()
{
Assert.Equal("Inconsistent dimensions between labels and data", PriceCurveFunctions.CreateCorrelationMatrix("raaar", new[] { "l1", "l2" }, new[] { "l3" }, new double[, ] {
{ 1.0, 1.0, 1.0 }
}));
Assert.Equal("Inconsistent dimensions between labels and data", PriceCurveFunctions.CreateCorrelationMatrix("raaar", new[] { "l1", "l2" }, new[] { "l3" }, new double[, ] {
{ 1.0, 1.0 }
}));
Assert.Equal("raaar¬0", PriceCurveFunctions.CreateCorrelationMatrix("raaar", new[] { "l1", "l2" }, new[] { "l3" }, new double[, ] {
{ 1.0 }, { 1.0 }
}));
}
public void DisplayFixingDictionary_Facts()
{
Assert.Equal("Fixing dictionary not found with name creughh", PriceCurveFunctions.DisplayFixingDictionary("creughh", "bleugh", true));
PriceCurveFunctions.CreateFixingDictionary("creughh", "bleugh", new object[, ] {
{ DateTime.Today, 1000.0 }
}, "FX", null);
Assert.Equal($"Fixing not found for date {DateTime.Today.AddDays(1).ToOADate()}", PriceCurveFunctions.DisplayFixingDictionary("creughh", DateTime.Today.AddDays(1).ToOADate(), true));
Assert.Equal(1000.0, PriceCurveFunctions.DisplayFixingDictionary("creughh", DateTime.Today.ToOADate(), true));
var output = (object[, ])PriceCurveFunctions.DisplayFixingDictionary("creughh", ExcelDna.Integration.ExcelMissing.Value, true);
Assert.Equal(DateTime.Today, output[0, 0]);
Assert.Equal(1000.0, output[0, 1]);
output = (object[, ])PriceCurveFunctions.DisplayFixingDictionary("creughh", ExcelDna.Integration.ExcelMissing.Value, false);
Assert.Equal(DateTime.Today, output[0, 0]);
Assert.Equal(1000.0, output[0, 1]);
}
public void CreateFixingDictionaryFromVectors_Facts()
{
Assert.Equal("Unknown fixing dictionary type creugh", PriceCurveFunctions.CreateFixingDictionaryFromVectors("bleugh2", "bleugh", new double[] { DateTime.Today.ToOADate() }, new double[] { 1000.0 }, "creugh", null));
Assert.Equal("Fixings and FixingDates must be of same length", PriceCurveFunctions.CreateFixingDictionaryFromVectors("bleugh2", "bleugh", new double[] { DateTime.Today.ToOADate() }, new double[] { 1000.0, 1001.0 }, ExcelDna.Integration.ExcelMissing.Value, null));
Assert.Equal("bleugh2¬0", PriceCurveFunctions.CreateFixingDictionaryFromVectors("bleugh2", "bleugh", new double[] { DateTime.Today.ToOADate() }, new double[] { 1000.0 }, "Asset", null));
}
public void GetAveragePrice_Facts()
{
Assert.Equal("Price curve pwahhhff not found in cache", PriceCurveFunctions.GetAveragePrice("pwahhhff", new[] { DateTime.Today.ToOADate(), DateTime.Today.AddDays(1).ToOADate() }));
PriceCurveFunctions.CreatePriceCurve("pwahhhff", "pwahAid", DateTime.Today, new double[] { DateTime.Today.ToOADate(), DateTime.Today.AddDays(10).ToOADate() }, new double[] { 1.0, 1.1 }, "ICE", ExcelDna.Integration.ExcelMissing.Value, "USD", "gwah", "2b", "USD");
Assert.Equal(1.1, PriceCurveFunctions.GetAveragePrice("pwahhhff", new[] { DateTime.Today.ToOADate(), DateTime.Today.AddDays(1).ToOADate() }));
}
public void CreateSparsePriceCurve_Facts()
{
Assert.Equal("Could not parse price curve type - zah", PriceCurveFunctions.CreateSparsePriceCurve("pwah", "pwahAid", DateTime.Today, new double[] { 1.0 }, new double[] { 1.0 }, "zah"));
Assert.Equal("pwahg¬0", PriceCurveFunctions.CreateSparsePriceCurve("pwahg", "pwahAid", DateTime.Today, new double[] { 1.0 }, new double[] { 1.0 }, "Coal"));
}
