@Test
public void yieldFromPrice() {
final double yieldComputedIAM = METHOD_SECURITY.yieldFromPrice(BILL_IAM_SEC, PRICE);
final double yieldExpectedIAM = (1.0 / PRICE - 1.0) / BILL_IAM_SEC.getAccrualFactor();
assertEquals(
"Bill Security: discounting method - yield",
yieldExpectedIAM,
yieldComputedIAM,
TOLERANCE_YIELD);
final double yieldComputedDSC = METHOD_SECURITY.yieldFromPrice(BILL_DSC_SEC, PRICE);
final double yieldExpectedDSC = (1.0 - PRICE) / BILL_DSC_SEC.getAccrualFactor();
assertEquals(
"Bill Security: discounting method - yield",
yieldExpectedDSC,
yieldComputedDSC,
TOLERANCE_YIELD);
}
@Test
public void priceFromYield() {
final double[] yields = new double[] {0.0010, 0.0, -0.0010};
for (final double yield2 : yields) {
final double priceComputed = METHOD_SECURITY.priceFromYield(BILL_IAM_SEC, yield2);
final double priceExpected = 1.0 / (1 + BILL_IAM_SEC.getAccrualFactor() * yield2);
assertEquals(
"Bill Security: discounting method - price",
priceExpected,
priceComputed,
TOLERANCE_PRICE);
}
}
