C# (CSharp) DiscountFactors.discountFactorTimeDerivativeの例

コード例 #1

ファイル: SimpleDiscountFactorsTest.cs プロジェクト: ckarcz/Strata.ConvertedToCSharp

        public virtual void test_discountFactorTimeDerivative()
        {
            DiscountFactors test = DiscountFactors.of(GBP, DATE_VAL, CURVE);
            double          relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER);
            double          expectedP            = test.discountFactor(relativeYearFraction + EPS);
            double          expectedM            = test.discountFactor(relativeYearFraction - EPS);

            assertEquals(test.discountFactorTimeDerivative(relativeYearFraction), (expectedP - expectedM) / (2 * EPS), TOL_FD);
        }