public void testFSpreaded()
{
// Testing consistency of forward-spreaded term structure
CommonVars vars = new CommonVars();
double tolerance = 1.0e-10;
Quote me = new SimpleQuote(0.01);
Handle <Quote> mh = new Handle <Quote>(me);
YieldTermStructure spreaded = new ForwardSpreadedTermStructure(new Handle <YieldTermStructure>(vars.termStructure), mh);
Date testDate = vars.termStructure.referenceDate() + new Period(5, TimeUnit.Years);
DayCounter tsdc = vars.termStructure.dayCounter();
DayCounter sprdc = spreaded.dayCounter();
double forward = vars.termStructure.forwardRate(testDate, testDate, tsdc, Compounding.Continuous,
Frequency.NoFrequency).rate();
double spreadedForward = spreaded.forwardRate(testDate, testDate, sprdc, Compounding.Continuous,
Frequency.NoFrequency).rate();
if (Math.Abs(forward - (spreadedForward - me.value())) > tolerance)
{
QAssert.Fail("unable to reproduce forward from spreaded curve\n"
+ " calculated: "
+ (spreadedForward - me.value()) + "\n"
+ " expected: " + forward);
}
}
public void testFSpreadedObs()
{
// ("Testing observability of forward-spreaded term structure...");
CommonVars vars = new CommonVars();
SimpleQuote me = new SimpleQuote(0.01);
Handle <Quote> mh = new Handle <Quote>(me);
RelinkableHandle <YieldTermStructure> h = new RelinkableHandle <YieldTermStructure>(); //(vars.dummyTermStructure);
YieldTermStructure spreaded = new ForwardSpreadedTermStructure(h, mh);
Flag flag = new Flag();
spreaded.registerWith(flag.update);
h.linkTo(vars.termStructure);
if (!flag.isUp())
{
Console.WriteLine("Observer was not notified of term structure change");
}
flag.lower();
me.setValue(0.005);
if (!flag.isUp())
{
Console.WriteLine("Observer was not notified of spread change");
}
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(ForwardSpreadedTermStructure obj) {
return (obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr;
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(ForwardSpreadedTermStructure obj) {
return (obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr;
}
