Package com.opengamma.analytics.financial.instrument.bond

Examples of com.opengamma.analytics.financial.instrument.bond.BillTransactionDefinition.toDerivative()

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   * Tests the par spread.
   */
  public void parSpread() {
    final double spread = METHOD_TRANSACTION.parSpread(BILL_TRA, CURVE_BUNDLE);
    final BillTransactionDefinition bill0Definition = BillTransactionDefinition.fromYield(BILL_SEC_DEFINITION, QUANTITY, SETTLE_DATE, YIELD + spread, CALENDAR);
    final BillTransaction bill0 = bill0Definition.toDerivative(REFERENCE_DATE, NAME_CURVES);
    final CurrencyAmount pv0 = METHOD_TRANSACTION.presentValue(bill0, CURVE_BUNDLE);
    assertEquals("Bill Security: discounting method - par spread", 0, pv0.getAmount(), TOLERANCE_PV);
  }

  @Test
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   * Tests the par spread.
   */
  public void parSpread() {
    final double spread = METHOD_TRANSACTION.parSpread(BILL_TRA, ISSUER_MULTICURVE);
    final BillTransactionDefinition bill0Definition = BillTransactionDefinition.fromYield(BILL_SEC_DEFINITION, QUANTITY, SETTLE_DATE, YIELD + spread, CALENDAR);
    final BillTransaction bill0 = bill0Definition.toDerivative(REFERENCE_DATE);
    final MultipleCurrencyAmount pv0 = METHOD_TRANSACTION.presentValue(bill0, ISSUER_MULTICURVE);
    assertEquals("Bill Security: discounting method - par spread", 0, pv0.getAmount(EUR), TOLERANCE_PV);
  }

  @Test
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