/// <summary>
/// Constructor for the class.
/// </summary>
/// <param name="expiry">Cap expiry.</param>
/// <param name="volatility">Cap volatility.</param>
/// <param name="volatilityType">Type of volatility: ETO or Cap/Floor.
/// </param>
public CapVolatilityDataElement(T expiry,
decimal volatility,
VolatilityDataType volatilityType)
{
// Map all arguments to the appropriate private field.
Expiry = expiry;
Volatility = volatility;
VolatilityType = volatilityType;
}
public void TestAccessorMethods()
{
// Instantiate the Cap Volatility Data element.
_expiry = 2;
_volatility = 0.096724m;
_volatilityType = VolatilityDataType.CapFloor;
CapVolatilityDataElement <int> capObj =
new CapVolatilityDataElement <int>
(_expiry, _volatility, _volatilityType);
Assert.IsNotNull(capObj);
_actual = capObj.Expiry;
_expected = 2;
Assert.AreEqual(_expected, _actual);
Assert.IsTrue(capObj.VolatilityType == VolatilityDataType.CapFloor);
}
public void TestCompareTo()
{
// Instantiate the container.
List <CapVolatilityDataElement <int> > container =
new List <CapVolatilityDataElement <int> >();
// Add the first element to the container: ETO
_expiry = 182; // 6M ETO expiry
_volatility = 0.8820m;
_volatilityType = VolatilityDataType.ETO;
CapVolatilityDataElement <int> capObj1 =
new CapVolatilityDataElement <int>
(_expiry, _volatility, _volatilityType);
Assert.IsNotNull(capObj1);
container.Add(capObj1);
int count = 1;
Assert.AreEqual(count, container.Count);
// Add the second element to the container: CAP/FLOOR
_expiry = 1; // 1Y Cap/Floor expiry
_volatilityType =
VolatilityDataType.CapFloor;
CapVolatilityDataElement <int> capObj2 =
new CapVolatilityDataElement <int>
(_expiry, _volatility, _volatilityType);
Assert.IsNotNull(capObj2);
container.Add(capObj2);
Assert.AreEqual(++count, container.Count);
// Add the third element to the container: ETO
_expiry = 273; // 9M Cap/Floor expiry
_volatilityType = VolatilityDataType.ETO;
CapVolatilityDataElement <int> capObj3 =
new CapVolatilityDataElement <int>
(_expiry, _volatility, _volatilityType);
Assert.IsNotNull(capObj3);
container.Add(capObj3);
Assert.AreEqual(++count, container.Count);
// Test that the container is sorted correctly.
CapVolatilityDataElementComparer myComparer =
new CapVolatilityDataElementComparer();
container.Sort(myComparer);
int numElements = container.Count;
for (int i = 1; i < numElements; ++i)
{
AssertExtension.LessOrEqual((int)container[i - 1].VolatilityType,
(int)container[i].VolatilityType);
if (container[i - 1].VolatilityType == container[i].VolatilityType)
{
AssertExtension.Less(container[i - 1].Expiry, container[i].Expiry);
}
}
}