public virtual void test_presentValue_onFix()
{
double computedInterp = PRICER.presentValue(PERIOD_INTERP, IRP_ON_FIX, ICDF_ON_FIX);
double computedMonthly = PRICER.presentValue(PERIOD_MONTHLY, IRP_ON_FIX, ICDF_ON_FIX);
double index2 = IRP_ON_FIX.priceIndexValues(US_CPI_U).value(OBS_PLUS1);
double df = ICDF_ON_FIX.discountFactor(END);
double expectedInterp = (INDEX_END_1 * WEIGHT + (1d - WEIGHT) * index2) / START_INDEX * REAL_COUPON * NOTIONAL * df;
double expectedMonthly = INDEX_END_1 / START_INDEX * REAL_COUPON * NOTIONAL * df;
assertEquals(computedInterp, expectedInterp, TOL * expectedInterp);
assertEquals(computedMonthly, expectedMonthly, TOL * expectedMonthly);
}
//-------------------------------------------------------------------------
public virtual void test_presentValue_beforeStart()
{
double computedInterp = PRICER.presentValue(PERIOD_INTERP, IRP_BEFORE_START, ICDF_BEFORE_START);
double computedMonthly = PRICER.presentValue(PERIOD_MONTHLY, IRP_BEFORE_START, ICDF_BEFORE_START);
double computedFvInterp = PRICER.forecastValue(PERIOD_INTERP, IRP_BEFORE_START);
double computedFvMonthly = PRICER.forecastValue(PERIOD_MONTHLY, IRP_BEFORE_START);
double index1 = IRP_BEFORE_START.priceIndexValues(US_CPI_U).value(OBS);
double index2 = IRP_BEFORE_START.priceIndexValues(US_CPI_U).value(OBS_PLUS1);
double df = ICDF_BEFORE_START.discountFactor(END);
double expectedFvInterp = (index1 * WEIGHT + (1d - WEIGHT) * index2) / START_INDEX * REAL_COUPON * NOTIONAL;
double expectedFvMonthly = index1 / START_INDEX * REAL_COUPON * NOTIONAL;
assertEquals(computedFvInterp, expectedFvInterp, TOL * expectedFvInterp);
assertEquals(computedFvMonthly, expectedFvMonthly, TOL * expectedFvMonthly);
assertEquals(computedInterp, expectedFvInterp * df, TOL * expectedFvInterp * df);
assertEquals(computedMonthly, expectedFvMonthly * df, TOL * expectedFvMonthly * df);
}