// This type of "forward" for the day before is required when the publication offset is 1.
// The fixing for the previous day will still be unknown at the beginning of the day and need to be computed from the curve.
public virtual void test_periodRate_publication_1()
{
DiscountOvernightIndexRates test = DiscountOvernightIndexRates.of(USD_FED_FUND, DFCURVE, SERIES);
double accrualFactor = USD_FED_FUND.DayCount.yearFraction(DATE_BEFORE, DATE_VAL);
double expected = (DFCURVE.discountFactor(DATE_BEFORE) / DFCURVE.discountFactor(DATE_VAL) - 1) / accrualFactor;
assertEquals(test.periodRate(USD_FEDFUND_BEFORE, DATE_VAL), expected, 1e-8);
}
//-------------------------------------------------------------------------
public virtual void test_periodRate()
{
DiscountOvernightIndexRates test = DiscountOvernightIndexRates.of(GBP_SONIA, DFCURVE, SERIES);
double accrualFactor = GBP_SONIA.DayCount.yearFraction(DATE_AFTER, DATE_AFTER_END);
double expected = (DFCURVE.discountFactor(DATE_AFTER) / DFCURVE.discountFactor(DATE_AFTER_END) - 1) / accrualFactor;
assertEquals(test.periodRate(GBP_SONIA_AFTER, DATE_AFTER_END), expected, 1e-8);
}
public virtual void test_periodRate_badDates()
{
DiscountOvernightIndexRates test = DiscountOvernightIndexRates.of(GBP_SONIA, DFCURVE, SERIES);
assertThrowsIllegalArg(() => test.periodRate(GBP_SONIA_AFTER_END, DATE_AFTER));
}
