public void CreateSabrCapFloorEngineTest()
{
const string engineHandle = "ATM Bootstrap Engine";
var settings = CreateSabrCapFloorBootstrapSettings();
settings.Set("EngineHandle", engineHandle);
string[] types = { "AUD-IRCAP-1Y", "AUD-IRCAP-2Y", "AUD-IRCAP-3Y", "AUD-IRCAP-4Y", "AUD-IRCAP-5Y" };
decimal[,] vols = { { .1966m }, { .1909m }, { .1965m }, { .1941m }, { .1882m } };
DateTime[] dates =
{
new DateTime(2010, 09, 10),
new DateTime(2011, 09, 10),
new DateTime(2012, 09, 10),
new DateTime(2013, 09, 10),
new DateTime(2014, 09, 10)
};
decimal[] discounts = { .999877m, 0.951649m, 0.905211m, 0.860439m, 0.816905m };
string result = SABRCapFloorInterface.Instance().CreateCapFloorCurve(Engine.Logger, Engine.Cache,
Engine.NameSpace, settings, types, vols, dates, discounts);
Assert.AreEqual(engineHandle, result);
}
private NamedValueSet CreateSabrCapFloorBootstrapSettings()
{
var settings = new object[, ]
{
{ "Instrument", "AUD-Xibor-3M" },
{ "PricingStructureType", "CapVolatilityCurve" },
{ "BaseDate", new DateTime(2007, 11, 29) },
{ "ValuationDate", new DateTime(2007, 11, 29) },
{ "IndexTenor", "3M" },
{ "IndexName", "AUD-BBR-BBSW" },
{ "MarketName", "Test" },
{ "Currency", "AUD" },
{ "StrikeQuoteUnits", StrikeQuoteUnitsEnum.ATMFlatMoneyness.ToString() },
{ "MeasureType", MeasureTypesEnum.Volatility.ToString() },
{ "QuoteUnits", QuoteUnitsEnum.LogNormalVolatility.ToString() },
{ "Algorithm", "Default" },
{ "EngineHandle", "AUD ATM Bootstrap Engine" },
{ "SettingsHandle", "ATM Bootstrap Settings" }
};
SABRCapFloorInterface cfInterface = SABRCapFloorInterface.Instance();
var properties = cfInterface.CreateCapFloorProperties(settings);
return(properties);
}