//-------------------------------------------------------------------------
public virtual void test_discountFactorWithSpread_continuous()
{
ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE);
double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER);
double df = test.discountFactor(DATE_AFTER);
double expected = df * Math.Exp(-SPREAD * relativeYearFraction);
assertEquals(test.discountFactorWithSpread(DATE_AFTER, SPREAD, CONTINUOUS, 0), expected, TOLERANCE_DF);
}
public virtual void test_zeroRatePointSensitivityWithSpread_sensitivityCurrency_continous()
{
ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE);
double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER);
double df = test.discountFactorWithSpread(DATE_AFTER, SPREAD, CONTINUOUS, 0);
ZeroRateSensitivity expected = ZeroRateSensitivity.of(GBP, relativeYearFraction, USD, -df * relativeYearFraction);
ZeroRateSensitivity computed = test.zeroRatePointSensitivityWithSpread(DATE_AFTER, USD, SPREAD, CONTINUOUS, 0);
assertTrue(computed.compareKey(expected) == 0);
assertEquals(computed.Sensitivity, expected.Sensitivity, TOLERANCE_DELTA);
}
public virtual void test_discountFactorWithSpread_periodic()
{
int periodPerYear = 4;
ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE);
double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER);
double discountFactorBase = test.discountFactor(DATE_AFTER);
double onePlus = Math.Pow(discountFactorBase, -1.0d / (periodPerYear * relativeYearFraction));
double expected = Math.Pow(onePlus + SPREAD / periodPerYear, -periodPerYear * relativeYearFraction);
assertEquals(test.discountFactorWithSpread(DATE_AFTER, SPREAD, PERIODIC, periodPerYear), expected, TOLERANCE_DF);
}
public virtual void test_discountFactorWithSpread_smallYearFraction()
{
ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE);
assertEquals(test.discountFactorWithSpread(DATE_VAL, SPREAD, PERIODIC, 1), 1d, TOLERANCE_DF);
}
