Example #1
0
        public virtual void test_presentValue_zspread()
        {
            CurrencyAmount pvComputed = PRICER.presentValueWithZSpread(BILL, PROVIDER, Z_SPREAD, CompoundedRateType.CONTINUOUS, 0);
            double         pvExpected = DSC_FACTORS_ISSUER.discountFactor(MATURITY_DATE) * NOTIONAL.Amount * Math.Exp(-Z_SPREAD * DSC_FACTORS_ISSUER.relativeYearFraction(MATURITY_DATE));

            assertEquals(pvComputed.Currency, EUR);
            assertEquals(pvComputed.Amount, pvExpected, TOLERANCE_PV);
        }