@Test
public void priceBeforeFixing() {
double interest = 0.0;
final YieldAndDiscountCurve oisCurve = CURVES.getCurve(CURVE_NAMES[0]);
final double[] ratePeriod =
new double[FUTURE_SECURITY_DEFINITION.getFixingPeriodAccrualFactor().length];
for (int loopfix = 0;
loopfix < FUTURE_SECURITY_DEFINITION.getFixingPeriodAccrualFactor().length;
loopfix++) {
ratePeriod[loopfix] =
(oisCurve.getDiscountFactor(FUTURE_SECURITY.getFixingPeriodTime()[loopfix])
/ oisCurve.getDiscountFactor(
FUTURE_SECURITY.getFixingPeriodTime()[loopfix + 1])
- 1.0)
/ FUTURE_SECURITY_DEFINITION.getFixingPeriodAccrualFactor()[loopfix];
interest +=
(oisCurve.getDiscountFactor(FUTURE_SECURITY.getFixingPeriodTime()[loopfix])
/ oisCurve.getDiscountFactor(FUTURE_SECURITY.getFixingPeriodTime()[loopfix + 1])
- 1.0);
}
final double rate = interest / FUTURE_SECURITY_DEFINITION.getFixingTotalAccrualFactor();
final double priceExpected = 1.0 - rate;
final double priceComputed = METHOD_SECURITY.price(FUTURE_SECURITY, CURVES);
assertEquals(
"Federal Funds Future Security: price", priceExpected, priceComputed, TOLERANCE_PRICE);
}
