Package com.opengamma.analytics.financial.instrument.swap

Examples of com.opengamma.analytics.financial.instrument.swap.SwapFixedCompoundedONCompoundedDefinition


  private static final double TOLERANCE_RATE = 1.0E-10;

  @Test
  public void forward() {
    final double forward = METHOD_SWAP.forward(SWAP_REC, CURVES);
    final SwapFixedCompoundedONCompoundedDefinition swap0Definition = SwapFixedCompoundedONCompoundedDefinition
        .from(SETTLE_DATE, SWAP_TENOR, NOTIONAL, GENERATOR_OIS_BRL, forward, false);
    final double pv0 = swap0Definition.toDerivative(REFERENCE_DATE, CURVES_NAME[0], CURVES_NAME[0]).accept(PVC, CURVES);
    assertEquals("SwapFixedCompoundingONCompoundingDiscountingMethod: forward", 0.0, pv0, TOLERANCE_PV);
  }
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