Exemplos de SabrParametersSwaptionVolatilities.tenor em C# (CSharp)

Exemplo n.º 1

        public virtual void test_tenor()
        {
            SabrParametersSwaptionVolatilities prov = SabrParametersSwaptionVolatilities.of(NAME, CONV, DATE_TIME, PARAM);
            double test1 = prov.tenor(DATE, DATE);

            assertEquals(test1, 0d);
            double test2 = prov.tenor(DATE, DATE.plusYears(2));
            double test3 = prov.tenor(DATE, DATE.minusYears(2));

            assertEquals(test2, -test3);
            double test4 = prov.tenor(DATE, LocalDate.of(2019, 2, 2));
            double test5 = prov.tenor(DATE, LocalDate.of(2018, 12, 31));

            assertEquals(test4, 5d);
            assertEquals(test5, 5d);
        }