private FixedOvernightCompoundedAnnualRateComputation sut2() { return FixedOvernightCompoundedAnnualRateComputation.of(0.15, 0.2); }
private FixedOvernightCompoundedAnnualRateComputation sut() { return FixedOvernightCompoundedAnnualRateComputation.of(0.05, 0.1); }
public void test_rate_FixedOvernightCompoundedAnnualRateComputation() { FixedOvernightCompoundedAnnualRateComputation ro = FixedOvernightCompoundedAnnualRateComputation.of(0.0123d, 0.5d); DispatchingRateComputationFn test = DispatchingRateComputationFn.DEFAULT; double simpleRate = (Math.pow(1 + 0.0123d, 0.5d) - 1) / 0.5d; assertEquals(test.rate(ro, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV), simpleRate, 0d); }
public void test_explainRate_FixedOvernightCompoundedAnnualRateComputation() { double simpleRate = (Math.pow(1 + 0.0123d, 0.5d) - 1) / 0.5d; FixedOvernightCompoundedAnnualRateComputation ro = FixedOvernightCompoundedAnnualRateComputation.of(0.0123d, 0.5d); DispatchingRateComputationFn test = DispatchingRateComputationFn.DEFAULT; ExplainMapBuilder builder = ExplainMap.builder(); assertEquals(test.explainRate(ro, ACCRUAL_START_DATE, ACCRUAL_END_DATE, MOCK_PROV, builder), 0.0123d, 0d); ExplainMap built = builder.build(); assertEquals(built.get(ExplainKey.FIXED_RATE), Optional.of(0.0123d)); assertEquals(built.get(ExplainKey.COMBINED_RATE), Optional.of(simpleRate)); }
double yearFraction = period.yearFraction(dayCount, accrualSchedule); double resolvedRate = resolvedRates.get(0); RateComputation rateComputation = FixedOvernightCompoundedAnnualRateComputation.of(resolvedRate, yearFraction); RateAccrualPeriod accrualPeriod = new RateAccrualPeriod(period, yearFraction, rateComputation); return ImmutableList.of(accrualPeriod);
public void test_expand_onePeriod_with_futureValueNotional() { FixedRateCalculation test = FixedRateCalculation.builder() .dayCount(ACT_365F) .rate(ValueSchedule.of(0.025d)) .futureValueNotional(FutureValueNotional.of(1000d)) .build(); SchedulePeriod period = SchedulePeriod.of(date(2014, 1, 6), date(2014, 2, 5), date(2014, 1, 5), date(2014, 2, 5)); Schedule schedule = Schedule.builder() .periods(period) .frequency(Frequency.TERM) .rollConvention(RollConventions.NONE) .build(); double yearFraction = period.yearFraction(ACT_365F, schedule); RateAccrualPeriod rap = RateAccrualPeriod.builder(period) .yearFraction(period.yearFraction(ACT_365F, schedule)) .rateComputation(FixedOvernightCompoundedAnnualRateComputation.of(0.025d, yearFraction)) .build(); ImmutableList<RateAccrualPeriod> periods = test.createAccrualPeriods(schedule, schedule, REF_DATA); assertEquals(periods, ImmutableList.of(rap)); }