public void yield_settle_date_after_maturity_error() { assertThrows(() -> PRICER.yieldFromCurves(BILL, PROVIDER, MATURITY_DATE), IllegalArgumentException.class); }
public void yield_settle_date_before_valuation_error() { assertThrows(() -> PRICER.yieldFromCurves(BILL, PROVIDER, VAL_DATE.minusDays(1)), IllegalArgumentException.class); }
public void yieldFromCurves() { LocalDate settlementDate = VAL_DATE.plusDays(1); double yieldComputed = PRICER.yieldFromCurves(BILL, PROVIDER, settlementDate); double dfMaturity = DSC_FACTORS_ISSUER.discountFactor(MATURITY_DATE); double dfSettle = DSC_FACTORS_REPO.discountFactor(settlementDate); double priceExpected = dfMaturity/dfSettle; double yieldExpected = BILL.yieldFromPrice(priceExpected, settlementDate); assertEquals(yieldComputed, yieldExpected, TOLERANCE_PRICE); }