/** Tests the dirty real price computation from the real yield in the "US I/L real" convention. */
public void dirtyRealPriceFromRealYieldTips1() {
final double[] yield = new double[] {-0.01, 0.00, 0.01, 0.02, 0.03};
final int nbCoupon = BOND_SECURITY_TIPS_1.getCoupon().getNumberOfPayments();
final double[] dirtyRealPrice = new double[yield.length];
final double[] dirtyRealPriceExpected = new double[yield.length];
for (int loopyield = 0; loopyield < yield.length; loopyield++) {
dirtyRealPrice[loopyield] =
METHOD_BOND_INFLATION.dirtyPriceFromRealYield(BOND_SECURITY_TIPS_1, yield[loopyield]);
final double factorOnPeriod = 1 + yield[loopyield] / BOND_SECURITY_TIPS_1.getCouponPerYear();
double pvAtFirstCoupon = 0;
for (int loopcpn = 0; loopcpn < nbCoupon; loopcpn++) {
pvAtFirstCoupon +=
((CouponInflationGearing) BOND_SECURITY_TIPS_1.getCoupon().getNthPayment(loopcpn))
.getFactor()
/ BOND_SECURITY_TIPS_1.getCouponPerYear()
/ Math.pow(factorOnPeriod, loopcpn);
}
pvAtFirstCoupon += 1.0 / Math.pow(factorOnPeriod, nbCoupon - 1);
dirtyRealPriceExpected[loopyield] =
pvAtFirstCoupon
/ (1
+ BOND_SECURITY_TIPS_1.getAccrualFactorToNextCoupon()
* yield[loopyield]
/ BOND_SECURITY_TIPS_1.getCouponPerYear());
assertEquals(
"Inflation Capital Indexed bond: yield " + loopyield,
dirtyRealPriceExpected[loopyield],
dirtyRealPrice[loopyield],
1.0E-8);
}
}
/** Tests the clean real price from the dirty real price. */
public void yieldRealFromDirtyRealTips1() {
final double[] yield = new double[] {-0.01, 0.00, 0.01, 0.02, 0.03};
final double[] dirtyRealPrice = new double[yield.length];
final double[] yieldComputed = new double[yield.length];
for (int loopyield = 0; loopyield < yield.length; loopyield++) {
dirtyRealPrice[loopyield] =
METHOD_BOND_INFLATION.dirtyPriceFromRealYield(BOND_SECURITY_TIPS_1, yield[loopyield]);
yieldComputed[loopyield] =
METHOD_BOND_INFLATION.yieldRealFromDirtyRealPrice(
BOND_SECURITY_TIPS_1, dirtyRealPrice[loopyield]);
assertEquals(
"Inflation Capital Indexed bond: yield " + loopyield,
yield[loopyield],
yieldComputed[loopyield],
1.0E-8);
}
}
