Exemple #1
0
        //-------------------------------------------------------------------------
        public virtual void test_convertedTo()
        {
            double sensi = 32d;
            ZeroRateSensitivity @base    = ZeroRateSensitivity.of(GBP, YEARFRAC, sensi);
            double              rate     = 1.5d;
            FxMatrix            matrix   = FxMatrix.of(CurrencyPair.of(GBP, USD), rate);
            ZeroRateSensitivity test1    = (ZeroRateSensitivity)@base.convertedTo(USD, matrix);
            ZeroRateSensitivity expected = ZeroRateSensitivity.of(GBP, YEARFRAC, USD, rate * sensi);

            assertEquals(test1, expected);
            ZeroRateSensitivity test2 = (ZeroRateSensitivity)@base.convertedTo(GBP, matrix);

            assertEquals(test2, @base);
        }