Beispiel #1
0
        public virtual void test_rateIgnoringFixings_onValuation_fixing()
        {
            SimpleIborIndexRates test = SimpleIborIndexRates.of(GBP_LIBOR_3M, DATE_VAL, CURVE, SERIES);
            double time     = CURVE_DAY_COUNT.yearFraction(DATE_VAL, GBP_LIBOR_3M_VAL.MaturityDate);
            double expected = CURVE.yValue(time);

            assertEquals(test.rateIgnoringFixings(GBP_LIBOR_3M_VAL), expected, TOLERANCE_RATE);
        }