public void testCashedValues()
{
Date startDate = new Date(01, 03, 2007);
Period period = new Period(360, TimeUnit.Months);
Calendar calendar = new TARGET();
Date endDate = calendar.advance(startDate,period,BusinessDayConvention.Unadjusted);
Schedule schedule = new Schedule( startDate, endDate, new Period(1,TimeUnit.Months), calendar,
BusinessDayConvention.Unadjusted,
BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
// PSA 100%
PSACurve psa100 = new PSACurve(startDate);
double[] listCPR = {0.2000,0.4000,0.6000,0.8000,1.0000,1.2000,1.4000,1.6000,1.8000,2.0000,2.2000,2.4000,2.6000,2.8000,
3.0000,3.2000,3.4000,3.6000,3.8000,4.0000,4.2000,4.4000,4.6000,4.8000,5.0000,5.2000,5.4000,5.6000,
5.8000,6.0000};
for (int i = 0; i < schedule.Count; i++)
{
if ( i <= 29 )
Assert.AreEqual(listCPR[i], psa100.getCPR(schedule[i])*100,0.001);
else
Assert.AreEqual(6.0000, psa100.getCPR(schedule[i])*100);
}
}
