public void TestCurrentPrimeRate()
{
var bond = new FloatingRateBondInfo("N0000472015ABSLBS0103.CIB")
{
StartDate = "20150910",
MaturityDate = "2017-07-26",
Notional = 100.0,
Currency = "CNY",
Spread = 0.029900000000000003,
Calendar = "chn_ib",
PaymentFreq = "Quarterly",
PaymentStub = "ShortStart",
AccrualDC = "ActActIsma",
DayCount = "ActActIsma",
AccrualBD = "None",
PaymentBD = "None",
TradingMarket = "ChinaInterBank",
Settlement = "+0D",
ValuationParamters = new SimpleCfValuationParameters("Fr007", "Fr007", "Fr007"),
Index = IndexType.Depo1Y.ToString(),
ResetDC = DayCount.ActActIsma.ToString(),
ResetAverageDays = 1,
ResetTerm = "3M",
ResetStub = Stub.ShortStart.ToString(),
ResetBD = BusinessDayConvention.None.ToString(),
ResetToFixingGap = "-0dD",
FloatingCalc = "ZzFrn",
ResetCompound = CouponCompound.Simple.ToString(),
ResetRateDigits = 4
};
var bondVf = new BondVf(bond);
var bondInstrument = bondVf.GenerateInstrument();
var valueDate = new Date(2017, 1, 9);
var market = TestMarket(valueDate.ToString(), new BondMktData(bond.TradeId, "Dirty", 100.995424657531));
var marketCondition = bondVf.GenerateMarketCondition(market);
var result = bondInstrument.Coupon.GetPrimeCoupon(marketCondition.HistoricalIndexRates, marketCondition.FixingCurve.Value, valueDate);
Assert.AreEqual(0.015, result.Item2);
Assert.AreEqual("2016-12-23", result.Item1.ToString());
}
