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

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


  }

  @Test
  public void modifiedDurationFromCurvesUSStreetMethodVsCalculator() {
    final double mdMethod = METHOD.modifiedDurationFromCurves(BOND_FIXED_SECURITY_1, CURVES);
    final ModifiedDurationFromCurvesCalculator calculator = ModifiedDurationFromCurvesCalculator.getInstance();
    final double mdCalculator = BOND_FIXED_SECURITY_1.accept(calculator, CURVES);
    assertEquals("Fixed coupon bond security: modified duration from curves US Street : Method vs Calculator", mdMethod, mdCalculator, 1E-8);
  }
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