Exemple #1
0
        //-------------------------------------------------------------------------
        // proper end-to-end tests are elsewhere
        public virtual void test_parameterSensitivity()
        {
            SimpleIborIndexRates test  = SimpleIborIndexRates.of(GBP_LIBOR_3M, DATE_VAL, CURVE, SERIES);
            IborRateSensitivity  point = IborRateSensitivity.of(GBP_LIBOR_3M_AFTER, GBP, 1d);

            assertEquals(test.parameterSensitivity(point).size(), 1);
        }