public void testImplied()
{
// ("Testing consistency of implied term structure...");
CommonVars vars = new CommonVars();
double tolerance = 1.0e-10;
Date today = Settings.evaluationDate();
Date newToday = today + new Period(3, TimeUnit.Years);
Date newSettlement = vars.calendar.advance(newToday, vars.settlementDays, TimeUnit.Days);
Date testDate = newSettlement + new Period(5, TimeUnit.Years);
YieldTermStructure implied = new ImpliedTermStructure(new Handle<YieldTermStructure>(vars.termStructure), newSettlement);
double baseDiscount = vars.termStructure.discount(newSettlement);
double discount = vars.termStructure.discount(testDate);
double impliedDiscount = implied.discount(testDate);
if (Math.Abs(discount - baseDiscount * impliedDiscount) > tolerance)
Console.WriteLine("unable to reproduce discount from implied curve\n"
+ " calculated: " + baseDiscount * impliedDiscount + "\n"
+ " expected: " + discount);
}
public void testImpliedObs()
{
// ("Testing observability of implied term structure...");
CommonVars vars = new CommonVars();
Date today = Settings.evaluationDate();
Date newToday = today + new Period(3, TimeUnit.Years);
Date newSettlement = vars.calendar.advance(newToday, vars.settlementDays, TimeUnit.Days);
RelinkableHandle<YieldTermStructure> h = new RelinkableHandle<YieldTermStructure>();
YieldTermStructure implied = new ImpliedTermStructure(h, newSettlement);
Flag flag = new Flag();
implied.registerWith(flag.update);
h.linkTo(vars.termStructure);
if (!flag.isUp())
Console.WriteLine("Observer was not notified of term structure change");
}
