public void testZSpreadedObs()
{
// Testing observability of zero-spreaded term structure
CommonVars vars = new CommonVars();
SimpleQuote me = new SimpleQuote(0.01);
Handle <Quote> mh = new Handle <Quote>(me);
RelinkableHandle <YieldTermStructure> h = new RelinkableHandle <YieldTermStructure>(vars.dummyTermStructure);
YieldTermStructure spreaded = new ZeroSpreadedTermStructure(h, mh);
Flag flag = new Flag();
spreaded.registerWith(flag.update);
h.linkTo(vars.termStructure);
if (!flag.isUp())
{
QAssert.Fail("Observer was not notified of term structure change");
}
flag.lower();
me.setValue(0.005);
if (!flag.isUp())
{
QAssert.Fail("Observer was not notified of spread change");
}
}
public void testZSpreaded()
{
// Testing consistency of zero-spreaded term structure
CommonVars vars = new CommonVars();
double tolerance = 1.0e-10;
Quote me = new SimpleQuote(0.01);
Handle <Quote> mh = new Handle <Quote>(me);
YieldTermStructure spreaded = new ZeroSpreadedTermStructure(new Handle <YieldTermStructure>(vars.termStructure), mh);
Date testDate = vars.termStructure.referenceDate() + new Period(5, TimeUnit.Years);
DayCounter rfdc = vars.termStructure.dayCounter();
double zero = vars.termStructure.zeroRate(testDate, rfdc, Compounding.Continuous, Frequency.NoFrequency).rate();
double spreadedZero = spreaded.zeroRate(testDate, rfdc, Compounding.Continuous, Frequency.NoFrequency).rate();
if (Math.Abs(zero - (spreadedZero - me.value())) > tolerance)
{
QAssert.Fail("unable to reproduce zero yield from spreaded curve\n"
+ " calculated: " + (spreadedZero - me.value()) + "\n"
+ " expected: " + zero);
}
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(ZeroSpreadedTermStructure obj)
{
return((obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr);
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(ZeroSpreadedTermStructure obj) {
return (obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr;
}
