// -------------------------------------------------------------------------
public void test_price() {
double computed = FUTURE_PRICER.price(FUTURE_PRODUCT, PROVIDER);
double dirtyPrice =
BOND_PRICER.dirtyPriceFromCurves(BOND, PROVIDER, FUTURE_PRODUCT.getLastDeliveryDate());
double expected =
BOND_PRICER.cleanPriceFromDirtyPrice(BOND, FUTURE_PRODUCT.getLastDeliveryDate(), dirtyPrice)
/ CONVERSION_FACTOR[0];
assertEquals(computed, expected, TOL);
}
public void test_priceWithZSpread_continuous() {
double computed =
FUTURE_PRICER.priceWithZSpread(FUTURE_PRODUCT, PROVIDER, Z_SPREAD, CONTINUOUS, 0);
double dirtyPrice =
BOND_PRICER.dirtyPriceFromCurvesWithZSpread(
BOND, PROVIDER, Z_SPREAD, CONTINUOUS, 0, FUTURE_PRODUCT.getLastDeliveryDate());
double expected =
BOND_PRICER.cleanPriceFromDirtyPrice(BOND, FUTURE_PRODUCT.getLastDeliveryDate(), dirtyPrice)
/ CONVERSION_FACTOR[0];
assertEquals(computed, expected, TOL);
}
public void test_priceWithZSpread_periodic() {
double computed =
FUTURE_PRICER.priceWithZSpread(
FUTURE_PRODUCT, PROVIDER, Z_SPREAD, PERIODIC, PERIOD_PER_YEAR);
double dirtyPrice =
BOND_PRICER.dirtyPriceFromCurvesWithZSpread(
BOND,
PROVIDER,
Z_SPREAD,
PERIODIC,
PERIOD_PER_YEAR,
FUTURE_PRODUCT.getLastDeliveryDate());
double expected =
BOND_PRICER.cleanPriceFromDirtyPrice(BOND, FUTURE_PRODUCT.getLastDeliveryDate(), dirtyPrice)
/ CONVERSION_FACTOR[0];
assertEquals(computed, expected, TOL);
}
