//-------------------------------------------------------------------------
public virtual void test_discountFactorWithSpread_continuous()
{
ZeroRateDiscountFactors test = ZeroRateDiscountFactors.of(GBP, DATE_VAL, CURVE);
double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER);
double expected = Math.Exp(-relativeYearFraction * (CURVE.yValue(relativeYearFraction) + SPREAD));
assertEquals(test.discountFactorWithSpread(DATE_AFTER, SPREAD, CONTINUOUS, 0), expected, TOL);
}
public virtual void test_discountFactorWithSpread_periodic()
{
int periodPerYear = 4;
ZeroRateDiscountFactors test = ZeroRateDiscountFactors.of(GBP, DATE_VAL, CURVE);
double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER);
double discountFactorBase = test.discountFactor(DATE_AFTER);
double rate = (Math.Pow(discountFactorBase, -1d / periodPerYear / relativeYearFraction) - 1d) * periodPerYear;
double expected = discountFactorFromPeriodicallyCompoundedRate(rate + SPREAD, periodPerYear, relativeYearFraction);
assertEquals(test.discountFactorWithSpread(DATE_AFTER, SPREAD, PERIODIC, periodPerYear), expected, TOL);
}
public virtual void test_discountFactorWithSpread_smallYearFraction()
{
ZeroRateDiscountFactors test = ZeroRateDiscountFactors.of(GBP, DATE_VAL, CURVE);
assertEquals(test.discountFactorWithSpread(DATE_VAL, SPREAD, PERIODIC, 1), 1d, TOL);
}
