@Override public Double apply(final Double y) { return dirtyPriceFromYield(bond, settlementDate, y) - dirtyPrice; } };
public void dirtyPriceFromYieldJPEnded() { double computed = PRICER.dirtyPriceFromYield(PRODUCT_JP, SETTLEMENT_ENDED_JP, YIELD_JP); assertEquals(computed, 0d, TOL); }
public void modifiedDurationFromYieldUSLastPeriod() { double computed = PRICER.modifiedDurationFromYield(PRODUCT_US, SETTLEMENT_LAST_US, YIELD_US); double price = PRICER.dirtyPriceFromYield(PRODUCT_US, SETTLEMENT_LAST_US, YIELD_US); double priceUp = PRICER.dirtyPriceFromYield(PRODUCT_US, SETTLEMENT_LAST_US, YIELD_US + EPS); double priceDw = PRICER.dirtyPriceFromYield(PRODUCT_US, SETTLEMENT_LAST_US, YIELD_US - EPS); double expected = 0.5 * (priceDw - priceUp) / price / EPS; assertEquals(computed, expected, EPS); }
public void modifiedDurationFromYieldUK() { double computed = PRICER.modifiedDurationFromYield(PRODUCT_UK, SETTLEMENT_UK, YIELD_UK); double price = PRICER.dirtyPriceFromYield(PRODUCT_UK, SETTLEMENT_UK, YIELD_UK); double priceUp = PRICER.dirtyPriceFromYield(PRODUCT_UK, SETTLEMENT_UK, YIELD_UK + EPS); double priceDw = PRICER.dirtyPriceFromYield(PRODUCT_UK, SETTLEMENT_UK, YIELD_UK - EPS); double expected = 0.5 * (priceDw - priceUp) / price / EPS; assertEquals(computed, expected, EPS); }
public void modifiedDurationFromYieldUKLastPeriod() { double computed = PRICER.modifiedDurationFromYield(PRODUCT_UK, SETTLEMENT_LAST_UK, YIELD_UK); double price = PRICER.dirtyPriceFromYield(PRODUCT_UK, SETTLEMENT_LAST_UK, YIELD_UK); double priceUp = PRICER.dirtyPriceFromYield(PRODUCT_UK, SETTLEMENT_LAST_UK, YIELD_UK + EPS); double priceDw = PRICER.dirtyPriceFromYield(PRODUCT_UK, SETTLEMENT_LAST_UK, YIELD_UK - EPS); double expected = 0.5 * (priceDw - priceUp) / price / EPS; assertEquals(computed, expected, EPS); }
public void modifiedDurationFromYieldGER() { double computed = PRICER.modifiedDurationFromYield(PRODUCT_GER, SETTLEMENT_GER, YIELD_GER); double price = PRICER.dirtyPriceFromYield(PRODUCT_GER, SETTLEMENT_GER, YIELD_GER); double priceUp = PRICER.dirtyPriceFromYield(PRODUCT_GER, SETTLEMENT_GER, YIELD_GER + EPS); double priceDw = PRICER.dirtyPriceFromYield(PRODUCT_GER, SETTLEMENT_GER, YIELD_GER - EPS); double expected = 0.5 * (priceDw - priceUp) / price / EPS; assertEquals(computed, expected, EPS); }
public void modifiedDurationFromYieldUS() { double computed = PRICER.modifiedDurationFromYield(PRODUCT_US, SETTLEMENT_US, YIELD_US); double price = PRICER.dirtyPriceFromYield(PRODUCT_US, SETTLEMENT_US, YIELD_US); double priceUp = PRICER.dirtyPriceFromYield(PRODUCT_US, SETTLEMENT_US, YIELD_US + EPS); double priceDw = PRICER.dirtyPriceFromYield(PRODUCT_US, SETTLEMENT_US, YIELD_US - EPS); double expected = 0.5 * (priceDw - priceUp) / price / EPS; assertEquals(computed, expected, EPS); }
public void modifiedDurationFromYieldGERLastPeriod() { double computed = PRICER.modifiedDurationFromYield(PRODUCT_GER, SETTLEMENT_LAST_GER, YIELD_GER); double price = PRICER.dirtyPriceFromYield(PRODUCT_GER, SETTLEMENT_LAST_GER, YIELD_GER); double priceUp = PRICER.dirtyPriceFromYield(PRODUCT_GER, SETTLEMENT_LAST_GER, YIELD_GER + EPS); double priceDw = PRICER.dirtyPriceFromYield(PRODUCT_GER, SETTLEMENT_LAST_GER, YIELD_GER - EPS); double expected = 0.5 * (priceDw - priceUp) / price / EPS; assertEquals(computed, expected, EPS); }
public void modifiedDurationFromYielddJP() { double computed = PRICER.modifiedDurationFromYield(PRODUCT_JP, SETTLEMENT_JP, YIELD_JP); double price = PRICER.dirtyPriceFromYield(PRODUCT_JP, SETTLEMENT_JP, YIELD_JP); double priceUp = PRICER.dirtyPriceFromYield(PRODUCT_JP, SETTLEMENT_JP, YIELD_JP + EPS); double priceDw = PRICER.dirtyPriceFromYield(PRODUCT_JP, SETTLEMENT_JP, YIELD_JP - EPS); double expected = 0.5 * (priceDw - priceUp) / price / EPS; assertEquals(computed, expected, EPS); }
public void modifiedDurationFromYieldJPLastPeriod() { double computed = PRICER.modifiedDurationFromYield(PRODUCT_JP, SETTLEMENT_LAST_JP, YIELD_JP); double price = PRICER.dirtyPriceFromYield(PRODUCT_JP, SETTLEMENT_LAST_JP, YIELD_JP); double priceUp = PRICER.dirtyPriceFromYield(PRODUCT_JP, SETTLEMENT_LAST_JP, YIELD_JP + EPS); double priceDw = PRICER.dirtyPriceFromYield(PRODUCT_JP, SETTLEMENT_LAST_JP, YIELD_JP - EPS); double expected = 0.5 * (priceDw - priceUp) / price / EPS; assertEquals(computed, expected, EPS); }
public void dirtyPriceFromYieldUS0() { double dirtyPrice0 = PRICER.dirtyPriceFromYield(PRODUCT_US_0, SETTLEMENT_US, 0.0d); assertEquals(dirtyPrice0, 1.0d, TOL); double dirtyPrice = PRICER.dirtyPriceFromYield(PRODUCT_US_0, SETTLEMENT_US, YIELD_US); assertEquals(dirtyPrice, 0.8129655023939295, TOL); // Previous run double yield = PRICER.yieldFromDirtyPrice(PRODUCT_US_0, SETTLEMENT_US, dirtyPrice); assertEquals(yield, YIELD_US, TOL); }
public void dirtyPriceFromYieldUKLastPeriod() { double dirtyPrice = PRICER.dirtyPriceFromYield(PRODUCT_UK, SETTLEMENT_LAST_UK, YIELD_UK); assertEquals(dirtyPrice, 1.0145736043763598, TOL); // 2.x. double yield = PRICER.yieldFromDirtyPrice(PRODUCT_UK, SETTLEMENT_LAST_UK, dirtyPrice); assertEquals(yield, YIELD_UK, TOL); }
public void dirtyPriceFromYieldUSLastPeriod() { double dirtyPrice = PRICER.dirtyPriceFromYield(PRODUCT_US, SETTLEMENT_LAST_US, YIELD_US); assertEquals(dirtyPrice, 1.005635683760684, TOL); // 2.x. double yield = PRICER.yieldFromDirtyPrice(PRODUCT_US, SETTLEMENT_LAST_US, dirtyPrice); assertEquals(yield, YIELD_US, TOL); }
public void dirtyPriceFromYieldUS() { double dirtyPrice = PRICER.dirtyPriceFromYield(PRODUCT_US, SETTLEMENT_US, YIELD_US); assertEquals(dirtyPrice, 1.0417352500524246, TOL); // 2.x. double yield = PRICER.yieldFromDirtyPrice(PRODUCT_US, SETTLEMENT_US, dirtyPrice); assertEquals(yield, YIELD_US, TOL); }
public void dirtyPriceFromYieldUK() { double dirtyPrice = PRICER.dirtyPriceFromYield(PRODUCT_UK, SETTLEMENT_UK, YIELD_UK); assertEquals(dirtyPrice, 1.0277859038905428, TOL); // 2.x. double yield = PRICER.yieldFromDirtyPrice(PRODUCT_UK, SETTLEMENT_UK, dirtyPrice); assertEquals(yield, YIELD_UK, TOL); }
public void dirtyPriceFromYieldGerman() { double dirtyPrice = PRICER.dirtyPriceFromYield(PRODUCT_GER, SETTLEMENT_GER, YIELD_GER); assertEquals(dirtyPrice, 1.027750910332271, TOL); // 2.x. double yield = PRICER.yieldFromDirtyPrice(PRODUCT_GER, SETTLEMENT_GER, dirtyPrice); assertEquals(yield, YIELD_GER, TOL); }
public void dirtyPriceFromYieldGermanLastPeriod() { double dirtyPrice = PRICER.dirtyPriceFromYield(PRODUCT_GER, SETTLEMENT_LAST_GER, YIELD_GER); assertEquals(dirtyPrice, 1.039406595790844, TOL); // 2.x. double yield = PRICER.yieldFromDirtyPrice(PRODUCT_GER, SETTLEMENT_LAST_GER, dirtyPrice); assertEquals(yield, YIELD_GER, TOL); }
public void dirtyPriceFromYieldJPLastPeriod() { double computed = PRICER.dirtyPriceFromYield(PRODUCT_JP, SETTLEMENT_LAST_JP, YIELD_JP); double maturity = DayCounts.NL_365.relativeYearFraction(SETTLEMENT_LAST_JP, END_JP); double expected = PRICER.dirtyPriceFromCleanPrice( PRODUCT_JP, SETTLEMENT_LAST_JP, (1d + RATE_JP * maturity) / (1d + YIELD_JP * maturity)); assertEquals(computed, expected, TOL); double yield = PRICER.yieldFromDirtyPrice(PRODUCT_JP, SETTLEMENT_LAST_JP, computed); assertEquals(yield, YIELD_JP, TOL); }
public void dirtyPriceFromYieldJP() { double computed = PRICER.dirtyPriceFromYield(PRODUCT_JP, SETTLEMENT_JP, YIELD_JP); double maturity = DayCounts.NL_365.relativeYearFraction(SETTLEMENT_JP, END_JP); double expected = PRICER.dirtyPriceFromCleanPrice( PRODUCT_JP, SETTLEMENT_JP, (1d + RATE_JP * maturity) / (1d + YIELD_JP * maturity)); assertEquals(computed, expected, TOL); double yield = PRICER.yieldFromDirtyPrice(PRODUCT_JP, SETTLEMENT_JP, computed); assertEquals(yield, YIELD_JP, TOL); }