public void testCashedValues()
{
Date startDate = new Date(01, 03, 2007);
Period period = new Period(360, TimeUnit.Months);
Calendar calendar = new TARGET();
Date endDate = calendar.advance(startDate, period, BusinessDayConvention.Unadjusted);
Schedule schedule = new Schedule(startDate, endDate, new Period(1, TimeUnit.Months), calendar,
BusinessDayConvention.Unadjusted,
BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
// PSA 100%
PSACurve psa100 = new PSACurve(startDate);
double[] listCPR = { 0.2000, 0.4000, 0.6000, 0.8000, 1.0000, 1.2000, 1.4000, 1.6000, 1.8000, 2.0000, 2.2000, 2.4000, 2.6000, 2.8000,
3.0000, 3.2000, 3.4000, 3.6000, 3.8000, 4.0000, 4.2000, 4.4000, 4.6000, 4.8000, 5.0000, 5.2000, 5.4000, 5.6000,
5.8000, 6.0000 };
for (int i = 0; i < schedule.Count; i++)
{
if (i <= 29)
{
QAssert.AreEqual(listCPR[i], psa100.getCPR(schedule[i]) * 100, 0.001);
}
else
{
QAssert.AreEqual(6.0000, psa100.getCPR(schedule[i]) * 100);
}
}
}
public static MBSFixedRateBond makeMBSFixedBond(Date startDate,
Period bondLength,
Period originalLength,
DayCounter dCounter,
Frequency payFrequency,
double amount,
double WACRate,
double PassThroughRate,
PSACurve psaCurve)
{
return(makeMBSFixedBond(startDate, bondLength, originalLength, dCounter, payFrequency, amount, WACRate, PassThroughRate, psaCurve, new TARGET()));
}
public static MBSFixedRateBond makeMBSFixedBond(Date startDate,
Period bondLength,
Period originalLength,
DayCounter dCounter,
Frequency payFrequency,
double amount,
double WACrate,
double PassThroughRate,
PSACurve psaCurve,
Calendar calendar)
{
MBSFixedRateBond bond;
Date endDate = calendar.advance(startDate, bondLength);
Schedule schedule = new Schedule(startDate, endDate, bondLength, calendar, BusinessDayConvention.Unadjusted,
BusinessDayConvention.Unadjusted, DateGeneration.Rule.Backward, false);
bond = new MBSFixedRateBond(0, calendar, amount, startDate, bondLength, originalLength, payFrequency, WACrate, PassThroughRate, dCounter, psaCurve);
return(bond);
}
