@Test /** Test the par rate computed from the method and the calculator. */ public void parRateMethodVsCalculator() { final double parRateMethod = METHOD_IRFUT_HW.parRate(ERU2, HW_MULTICURVES); final double parRateCalculator = ERU2.accept(PRHWC, HW_MULTICURVES); assertEquals( "InterestRateFutureSecurityHullWhiteProviderMethod: parRate", parRateMethod, parRateCalculator, TOLERANCE_PRICE); }
@Test /** Test the par rate computed from the curves and HW parameters. Par rate = 1-price. */ public void parRate() { final double price = METHOD_IRFUT_HW.price(ERU2, HW_MULTICURVES); final double parRateExpected = 1.0d - price; final double parRateComputed = METHOD_IRFUT_HW.parRate(ERU2, HW_MULTICURVES); assertEquals( "InterestRateFutureSecurityHullWhiteProviderMethod: parRate", parRateExpected, parRateComputed, TOLERANCE_PRICE); }