public void Should_apply_one_time_by_days_the_volatility_on_price_(int numberOfDays, double expectedPrice)
{
var callCount = 0;
Func <double, double> getVolatilityTestWapper = d =>
{
callCount++;
return(CURRENT_VOLATILITY);
};
_pricer = new Pricer(Pricer.IsWeekEndDayOffChecker, getVolatilityTestWapper);
var futureDate = TODAY.AddDays(numberOfDays);
var result = _pricer.GetPriceFor(TODAY, futureDate, CURRENT_PRICE, CURRENT_VOLATILITY);
Assert.AreEqual(expectedPrice, result, 0.0000000001);
Assert.AreEqual(numberOfDays, callCount);
}
public void Should_apply_PositiveNegativeOrNone_Volitility_each_day_randomly()
{
var volatilities = new List <double>();
Func <double, double> getVolatilityTestWapper = currentVolatility =>
{
var nextVolatility = Pricer.GetNextRandomVolatility(currentVolatility);
volatilities.Add(nextVolatility);
return(nextVolatility);
};
var pricer = new Pricer(Pricer.IsWeekEndDayOffChecker, getVolatilityTestWapper);
pricer.GetPriceFor(TODAY, TODAY.AddDays(10000), CURRENT_PRICE, CURRENT_VOLATILITY);
Assert.IsTrue(volatilities.Any(v => v < 0), "Some volatilities are positive");
Assert.IsTrue(volatilities.Any(v => Math.Abs(v) < 0.00000000001), "Some volatilities are null");
Assert.IsTrue(volatilities.Any(v => v > 0), "Some volatilities are negative");
}
[Test] public void Should_Return_many_time_volatility_calculation_When_use_MonteCarlo_as_Volatility_average()
{
var volatilities = new List <double>();
var callCount = 0;
Func <double, double> getVolatilityTestWapper = d =>
{
Interlocked.Increment(ref callCount);
return(Pricer.GetNextRandomVolatility(d));
};
Func <double, double> monteCarloFor1000Shot = Pricer.GetMonteCarloVolatilityFor(1000, getVolatilityTestWapper);
var pricer = new Pricer(Pricer.IsWeekEndDayOffChecker, monteCarloFor1000Shot);
var result = pricer.GetPriceFor(TODAY, TOMOROW, CURRENT_PRICE, CURRENT_VOLATILITY);
Assert.AreEqual(1000, callCount);
Assert.GreaterOrEqual(120.00, result);
Assert.LessOrEqual(80.00, result);
}
public void Should_Return_average_volatility_calculation_When_use_MonteCarlo_()
{
//var volatilities = new List<double> {20.0, 4, 30.0};
var volatilities = new Stack <double>();
volatilities.Push(20);
volatilities.Push(4);
volatilities.Push(30);
Func <double, double> getVolatilityTestWapper = d =>
{
return(volatilities.Pop());
};
Func <double, double> monteCarloTest = Pricer.GetMonteCarloVolatilityFor(volatilities.Count, getVolatilityTestWapper);
var result = monteCarloTest(Double.NaN);
Assert.AreEqual(18, result, 0.0000000001);
}
public void Should_not_apply_volatility_on_price_day_off()
{
var dayOff = new[] {
TODAY.AddDays(1),
TODAY.AddDays(3),
TODAY.AddDays(4)
};
var callCount = 0;
Func <double, double> getVolatilityTestWapper = d =>
{
callCount++;
return(CURRENT_VOLATILITY);
};
Func <DateTime, bool> isDayOffTestWrapper = date => dayOff.Contains(date);
_pricer = new Pricer(isDayOffTestWrapper, getVolatilityTestWapper);
var newPrice = _pricer.GetPriceFor(TODAY, dayOff.Last(), CURRENT_PRICE, CURRENT_VOLATILITY);
Assert.AreEqual(120.0, newPrice, 0.0000000001);
Assert.AreEqual(1, callCount);
}
public void Setup()
{
_pricer = new Pricer(_precision, new WorkingDay(), new FakeRandomGenerator());
}
public void Setup()
{
_pricer = new Pricer();
}
