public virtual void yield_from_price_discount()
{
double price = 0.99;
LocalDate settlementDate = LocalDate.of(2018, 8, 17);
double af = US_BILL.DayCount.relativeYearFraction(settlementDate, MATURITY_DATE);
double yieldExpected = (1.0d - price) / af;
double yieldComputed = US_BILL.yieldFromPrice(price, settlementDate);
assertEquals(yieldExpected, yieldComputed, TOLERANCE_PRICE);
}
public virtual void yield_from_price_intatmat()
{
Bill bill = US_BILL.toBuilder().yieldConvention(BillYieldConvention.INTEREST_AT_MATURITY).build();
double price = 0.99;
LocalDate settlementDate = LocalDate.of(2018, 8, 17);
double af = bill.DayCount.relativeYearFraction(settlementDate, MATURITY_DATE);
double yieldExpected = (1.0d / price - 1.0d) / af;
double yieldComputed = bill.yieldFromPrice(price, settlementDate);
assertEquals(yieldExpected, yieldComputed, TOLERANCE_PRICE);
}