Package com.opengamma.analytics.financial.interestrate.bond.calculator

Examples of com.opengamma.analytics.financial.interestrate.bond.calculator.MacaulayDurationFromCurvesCalculator


  /**
   * Tests Macauley duration: Method vs Calculator (US Street convention).
   */
  public void macauleyDurationFromCurvesUSStreetMethodVsCalculator() {
    final double mcMethod = METHOD.macaulayDurationFromCurves(BOND_FIXED_SECURITY_1, CURVES);
    final MacaulayDurationFromCurvesCalculator calculator = MacaulayDurationFromCurvesCalculator.getInstance();
    final double mcCalculator = BOND_FIXED_SECURITY_1.accept(calculator, CURVES);
    assertEquals("Fixed coupon bond security: Macauley duration from curves US Street : Method vs Calculator", mcMethod, mcCalculator, 1E-8);
  }
View Full Code Here

TOP

Related Classes of com.opengamma.analytics.financial.interestrate.bond.calculator.MacaulayDurationFromCurvesCalculator

Copyright © 2018 www.massapicom. All rights reserved.
All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.