@Test
public void priceFromCurves() {
final double priceComputed = METHOD_SECURITY.priceFromCurves(BILL_IAM_SEC, CURVE_BUNDLE);
final CurrencyAmount pvComputed = METHOD_SECURITY.presentValue(BILL_IAM_SEC, CURVE_BUNDLE);
final double priceExpected =
pvComputed.getAmount()
/ (NOTIONAL
* CURVE_BUNDLE
.getCurve(NAME_CURVES[0])
.getDiscountFactor(BILL_IAM_SEC.getSettlementTime()));
assertEquals(
"Bill Security: discounting method - price", priceExpected, priceComputed, TOLERANCE_PRICE);
}
@Test
public void presentValueFromYield() {
final CurrencyAmount pvComputed =
METHOD_SECURITY.presentValueFromYield(BILL_IAM_SEC, YIELD, CURVE_BUNDLE);
final double price = METHOD_SECURITY.priceFromYield(BILL_IAM_SEC, YIELD);
final double pvExpected =
NOTIONAL
* price
* CURVE_BUNDLE
.getCurve(NAME_CURVES[0])
.getDiscountFactor(BILL_IAM_SEC.getSettlementTime());
assertEquals(
"Bill Security: discounting method - present value",
pvExpected,
pvComputed.getAmount(),
TOLERANCE_PV);
}
