public virtual void test_rate_afterPublication()
{
DiscountOvernightIndexRates test = DiscountOvernightIndexRates.of(GBP_SONIA, DFCURVE, SERIES);
LocalDate startDate = GBP_SONIA_AFTER.EffectiveDate;
LocalDate endDate = GBP_SONIA_AFTER.MaturityDate;
double accrualFactor = GBP_SONIA.DayCount.yearFraction(startDate, endDate);
double expected = (DFCURVE.discountFactor(startDate) / DFCURVE.discountFactor(endDate) - 1) / accrualFactor;
assertEquals(test.rate(GBP_SONIA_AFTER), expected, 1e-8);
}
public virtual void test_rate_onValuation_fixing()
{
DiscountOvernightIndexRates test = DiscountOvernightIndexRates.of(GBP_SONIA, DFCURVE, SERIES);
assertEquals(test.rate(GBP_SONIA_VAL), RATE_VAL);
}
public virtual void test_rate_beforeValuation_noFixing_notEmptySeries()
{
DiscountOvernightIndexRates test = DiscountOvernightIndexRates.of(GBP_SONIA, DFCURVE, SERIES_MINIMAL);
assertThrowsIllegalArg(() => test.rate(GBP_SONIA_BEFORE));
}