public void test_realYieldFromCurves_ukGov() { LocalDate standardSettle = PRODUCT_GOV.getSettlementDateOffset().adjust(VAL_DATE_GB, REF_DATA); double computed = PRICER.realYieldFromCurves(PRODUCT_GOV, RATES_PROVS_GB, ISSUER_PROVS_GB, REF_DATA); double dirtyNominalPrice = PRICER.dirtyNominalPriceFromCurves( PRODUCT_GOV, RATES_PROVS_GB, ISSUER_PROVS_GB, REF_DATA); double expected = PRICER.realYieldFromDirtyPrice(PRODUCT_GOV, RATES_PROVS_GB, standardSettle, dirtyNominalPrice); assertEquals(computed, expected, TOL); }
public void test_realYieldFromCurves_jpi() { LocalDate standardSettle = PRODUCT_JPI.getSettlementDateOffset().adjust(VAL_DATE, REF_DATA); double computed = PRICER.realYieldFromCurves(PRODUCT_JPI, RATES_PROVS_JP, ISSUER_PROVS_JP, REF_DATA); double dirtyNominalPrice = PRICER.dirtyNominalPriceFromCurves(PRODUCT_JPI, RATES_PROVS_JP, ISSUER_PROVS_JP, REF_DATA); double dirtyRealPrice = PRICER.realPriceFromNominalPrice(PRODUCT_JPI, RATES_PROVS_JP, standardSettle, dirtyNominalPrice); double expected = PRICER.realYieldFromDirtyPrice(PRODUCT_JPI, RATES_PROVS_JP, standardSettle, dirtyRealPrice); assertEquals(computed, expected, TOL); }
public void test_realYieldFromCurves_us() { LocalDate standardSettle = PRODUCT_US.getSettlementDateOffset().adjust(VAL_DATE, REF_DATA); double computed = PRICER.realYieldFromCurves(PRODUCT_US, RATES_PROVS_US, ISSUER_PROVS_US, REF_DATA); double dirtyNominalPrice = PRICER.dirtyNominalPriceFromCurves( PRODUCT_US, RATES_PROVS_US, ISSUER_PROVS_US, REF_DATA); double dirtyRealPrice = PRICER.realPriceFromNominalPrice(PRODUCT_US, RATES_PROVS_US, standardSettle, dirtyNominalPrice); double expected = PRICER.realYieldFromDirtyPrice(PRODUCT_US, RATES_PROVS_US, standardSettle, dirtyRealPrice); assertEquals(computed, expected, TOL); }
public void test_realYieldFromCurves_ukCor() { LocalDate standardSettle = PRODUCT_CORP.getSettlementDateOffset().adjust(VAL_DATE_GB, REF_DATA); double computed = PRICER.realYieldFromCurves(PRODUCT_CORP, RATES_PROVS_GB, ISSUER_PROVS_GB, REF_DATA); double dirtyNominalPrice = PRICER.dirtyNominalPriceFromCurves( PRODUCT_CORP, RATES_PROVS_GB, ISSUER_PROVS_GB, REF_DATA); double dirtyRealPrice = PRICER.realPriceFromNominalPrice(PRODUCT_CORP, RATES_PROVS_GB, standardSettle, dirtyNominalPrice); double expected = PRICER.realYieldFromDirtyPrice(PRODUCT_CORP, RATES_PROVS_GB, standardSettle, dirtyRealPrice); assertEquals(computed, expected, TOL); }
public void test_realYieldFromCurves_jpw() { LocalDate standardSettle = PRODUCT_JPW.getSettlementDateOffset().adjust(VAL_DATE, REF_DATA); double computed = PRICER.realYieldFromCurves(PRODUCT_JPW, RATES_PROVS_JP, ISSUER_PROVS_JP, REF_DATA); double dirtyNominalPrice = PRICER.dirtyNominalPriceFromCurves( PRODUCT_JPW, RATES_PROVS_JP, ISSUER_PROVS_JP, REF_DATA); double dirtyRealPrice = PRICER.realPriceFromNominalPrice(PRODUCT_JPW, RATES_PROVS_JP, standardSettle, dirtyNominalPrice); double expected = PRICER.realYieldFromDirtyPrice(PRODUCT_JPW, RATES_PROVS_JP, standardSettle, dirtyRealPrice); assertEquals(computed, expected, TOL); }