public void testSimple()
{
Period[] p = { new Period(3, TimeUnit.Months), new Period(6, TimeUnit.Months), new Period(1, TimeUnit.Years) };
double[] expected = { 0.25, 0.5, 1.0 };
int n = p.Length;
// 4 years should be enough
Date first= new Date(1,Month.January,2002), last = new Date(31,Month.December,2005);
DayCounter dayCounter = new SimpleDayCounter();
for (Date start = first; start <= last; start++)
{
for (int i=0; i<n; i++)
{
Date end = start + p[i];
double calculated = dayCounter.yearFraction(start,end,null ,null );
if (Math.Abs(calculated-expected[i]) > 1.0e-12)
{
Assert.Fail ("from " + start + " to " + end +
"Calculated: " + calculated +
"Expected: " + expected[i]);
}
}
}
}
public void irData(string name,
SquareRootProcess process,
double rand,
DateTime preDate,
DateTime nextDate)
{
DayCounter dc = new SimpleDayCounter();
clsHDAT_MARKETDATA_TB clstb = new clsHDAT_MARKETDATA_TB();
clstb.INDEX_CD = name;
clstb.REF_DT = preDate.ToString("yyyyMMdd");
clstb.SelectOwn();
clstb.REF_DT = nextDate.ToString("yyyyMMdd");
double x0 = clstb.LAST;
double t0 = 0.0;
double dt = dc.yearFraction(preDate, nextDate);
double v = Math.Round(process.evolve(t0, x0, dt, rand), 8);
clstb.LAST = v;
clstb.LOW = v;
clstb.HIGH = v;
clstb.Insert();
}
