Пример #1
0
 public void test_initialGuess() {
   TermDepositCurveNode node = TermDepositCurveNode.of(TEMPLATE, QUOTE_ID, SPREAD);
   double rate = 0.035;
   MarketData marketData = ImmutableMarketData.builder(VAL_DATE).addValue(QUOTE_ID, rate).build();
   assertEquals(node.initialGuess(marketData, ValueType.ZERO_RATE), rate);
   assertEquals(node.initialGuess(marketData, ValueType.FORWARD_RATE), rate);
   assertEquals(
       node.initialGuess(marketData, ValueType.DISCOUNT_FACTOR), Math.exp(-rate * 0.25), 1.0e-12);
 }