//------------------------------------------------------------------------- public virtual void test_ratePointSensitivity_fixing() { DiscountOvernightIndexRates test = DiscountOvernightIndexRates.of(GBP_SONIA, DFCURVE, SERIES); assertEquals(test.ratePointSensitivity(GBP_SONIA_BEFORE), PointSensitivityBuilder.none()); assertEquals(test.ratePointSensitivity(GBP_SONIA_VAL), PointSensitivityBuilder.none()); }
public virtual void test_ratePointSensitivity_afterPublication() { DiscountOvernightIndexRates test = DiscountOvernightIndexRates.of(GBP_SONIA, DFCURVE, SERIES); OvernightRateSensitivity expected = OvernightRateSensitivity.of(GBP_SONIA_AFTER, 1d); assertEquals(test.ratePointSensitivity(GBP_SONIA_AFTER), expected); }
public virtual void test_ratePointSensitivity_onPublication_noFixing() { DiscountOvernightIndexRates test = DiscountOvernightIndexRates.of(GBP_SONIA, DFCURVE, SERIES_EMPTY); OvernightRateSensitivity expected = OvernightRateSensitivity.of(GBP_SONIA_VAL, 1d); assertEquals(test.ratePointSensitivity(GBP_SONIA_VAL), expected); }