public void convexityFromYieldJPEnded() { double computed = PRICER.convexityFromYield(PRODUCT_JP, SETTLEMENT_ENDED_JP, YIELD_JP); assertEquals(computed, 0d, EPS); }
public void convexityFromYieldGER() { double computed = PRICER.convexityFromYield(PRODUCT_GER, SETTLEMENT_GER, YIELD_GER); double duration = PRICER.modifiedDurationFromYield(PRODUCT_GER, SETTLEMENT_GER, YIELD_GER); double durationUp = PRICER.modifiedDurationFromYield(PRODUCT_GER, SETTLEMENT_GER, YIELD_GER + EPS); double durationDw = PRICER.modifiedDurationFromYield(PRODUCT_GER, SETTLEMENT_GER, YIELD_GER - EPS); double expected = 0.5 * (durationDw - durationUp) / EPS + duration * duration; assertEquals(computed, expected, EPS); }
public void convexityFromYieldUS() { double computed = PRICER.convexityFromYield(PRODUCT_US, SETTLEMENT_US, YIELD_US); double duration = PRICER.modifiedDurationFromYield(PRODUCT_US, SETTLEMENT_US, YIELD_US); double durationUp = PRICER.modifiedDurationFromYield(PRODUCT_US, SETTLEMENT_US, YIELD_US + EPS); double durationDw = PRICER.modifiedDurationFromYield(PRODUCT_US, SETTLEMENT_US, YIELD_US - EPS); double expected = 0.5 * (durationDw - durationUp) / EPS + duration * duration; assertEquals(computed, expected, EPS); }
public void convexityFromYieldUKLastPeriod() { double computed = PRICER.convexityFromYield(PRODUCT_UK, SETTLEMENT_LAST_UK, YIELD_UK); double duration = PRICER.modifiedDurationFromYield(PRODUCT_UK, SETTLEMENT_LAST_UK, YIELD_UK); double durationUp = PRICER.modifiedDurationFromYield(PRODUCT_UK, SETTLEMENT_LAST_UK, YIELD_UK + EPS); double durationDw = PRICER.modifiedDurationFromYield(PRODUCT_UK, SETTLEMENT_LAST_UK, YIELD_UK - EPS); double expected = 0.5 * (durationDw - durationUp) / EPS + duration * duration; assertEquals(computed, expected, EPS); }
public void convexityFromYieldUK() { double computed = PRICER.convexityFromYield(PRODUCT_UK, SETTLEMENT_UK, YIELD_UK); double duration = PRICER.modifiedDurationFromYield(PRODUCT_UK, SETTLEMENT_UK, YIELD_UK); double durationUp = PRICER.modifiedDurationFromYield(PRODUCT_UK, SETTLEMENT_UK, YIELD_UK + EPS); double durationDw = PRICER.modifiedDurationFromYield(PRODUCT_UK, SETTLEMENT_UK, YIELD_UK - EPS); double expected = 0.5 * (durationDw - durationUp) / EPS + duration * duration; assertEquals(computed, expected, EPS); }
public void convexityFromYieldJP() { double computed = PRICER.convexityFromYield(PRODUCT_JP, SETTLEMENT_JP, YIELD_JP); double duration = PRICER.modifiedDurationFromYield(PRODUCT_JP, SETTLEMENT_JP, YIELD_JP); double durationUp = PRICER.modifiedDurationFromYield(PRODUCT_JP, SETTLEMENT_JP, YIELD_JP + EPS); double durationDw = PRICER.modifiedDurationFromYield(PRODUCT_JP, SETTLEMENT_JP, YIELD_JP - EPS); double expected = 0.5 * (durationDw - durationUp) / EPS + duration * duration; assertEquals(computed, expected, EPS); }
public void convexityFromYieldUSLastPeriod() { double computed = PRICER.convexityFromYield(PRODUCT_US, SETTLEMENT_LAST_US, YIELD_US); double duration = PRICER.modifiedDurationFromYield(PRODUCT_US, SETTLEMENT_LAST_US, YIELD_US); double durationUp = PRICER.modifiedDurationFromYield(PRODUCT_US, SETTLEMENT_LAST_US, YIELD_US + EPS); double durationDw = PRICER.modifiedDurationFromYield(PRODUCT_US, SETTLEMENT_LAST_US, YIELD_US - EPS); double expected = 0.5 * (durationDw - durationUp) / EPS + duration * duration; assertEquals(computed, expected, EPS); }
public void convexityFromYieldGERLastPeriod() { double computed = PRICER.convexityFromYield(PRODUCT_GER, SETTLEMENT_LAST_GER, YIELD_GER); double duration = PRICER.modifiedDurationFromYield(PRODUCT_GER, SETTLEMENT_LAST_GER, YIELD_GER); double durationUp = PRICER.modifiedDurationFromYield(PRODUCT_GER, SETTLEMENT_LAST_GER, YIELD_GER + EPS); double durationDw = PRICER.modifiedDurationFromYield(PRODUCT_GER, SETTLEMENT_LAST_GER, YIELD_GER - EPS); double expected = 0.5 * (durationDw - durationUp) / EPS + duration * duration; assertEquals(computed, expected, EPS); }
public void convexityFromYieldJPLastPeriod() { double computed = PRICER.convexityFromYield(PRODUCT_JP, SETTLEMENT_LAST_JP, YIELD_JP); double duration = PRICER.modifiedDurationFromYield(PRODUCT_JP, SETTLEMENT_LAST_JP, YIELD_JP); double durationUp = PRICER.modifiedDurationFromYield(PRODUCT_JP, SETTLEMENT_LAST_JP, YIELD_JP + EPS); double durationDw = PRICER.modifiedDurationFromYield(PRODUCT_JP, SETTLEMENT_LAST_JP, YIELD_JP - EPS); double expected = 0.5 * (durationDw - durationUp) / EPS + duration * duration; assertEquals(computed, expected, EPS); }