Пример #1
0
        public virtual void test_rateIgnoringFixingsPointSensitivity_onValuation()
        {
            SimpleIborIndexRates test     = SimpleIborIndexRates.of(GBP_LIBOR_3M, DATE_VAL, CURVE, SERIES);
            IborRateSensitivity  expected = IborRateSensitivity.of(GBP_LIBOR_3M_VAL, 1d);

            assertEquals(test.rateIgnoringFixingsPointSensitivity(GBP_LIBOR_3M_VAL), expected);
        }