public void CombineWithAddOperator_AsExpected()
{
BasisFunction[] basisFunctions = BasisFunctionsBuilder.Ones +
Spot + Spot * Spot + Spot * Spot.Pow(3) + X0 + X1.Pow(3) + S * X2.Pow(4);
Assert.Equal(7, basisFunctions.Length);
var spotPriceSims = new[] { 25.69, 21.88, 16.78 };
var markovFactors = new ReadOnlyMemory <double>[]
{
new[] { 0.56, 0.12, 1.55 },
new[] { 1.08, 2.088, 0.988 },
new[] { 2.808, 0.998, 5.84 }
};
// 1s
AssertBasisFunction(basisFunctions[0], spotPriceSims, markovFactors, new[] { 1.0, 1.0, 1.0 });
// Spot price
AssertBasisFunction(basisFunctions[1], spotPriceSims, markovFactors, spotPriceSims);
// Spot price squared
AssertBasisFunction(basisFunctions[2], spotPriceSims, markovFactors, spotPriceSims.Select(s => s * s));
// Spot price to power of 4
AssertBasisFunction(basisFunctions[3], spotPriceSims, markovFactors, spotPriceSims.Select(s => s * s * s * s));
// First factor
AssertBasisFunction(basisFunctions[4], spotPriceSims, markovFactors, markovFactors[0].ToArray());
// Second factor cubed
AssertBasisFunction(basisFunctions[5], spotPriceSims, markovFactors, markovFactors[1].ToArray().Select(x => x * x * x));
// Spot price times third factor to power of 4
double[] thirdFactor = markovFactors[2].ToArray();
AssertBasisFunction(basisFunctions[6], spotPriceSims, markovFactors,
spotPriceSims.Select((s, i) => s * Math.Pow(thirdFactor[i], 4)));
}
