Package com.opengamma.analytics.financial.instrument.cash

Examples of com.opengamma.analytics.financial.instrument.cash.DepositIborDefinition.toDerivative()


  public void parSpreadBeforeStart() {
    final ZonedDateTime referenceDate = TRADE_DATE;
    final DepositIbor deposit = DEPOSIT_IBOR_DEFINITION.toDerivative(referenceDate);
    final double parSpread = METHOD_DEPOSIT.parSpread(deposit, PROVIDER_MULTICURVES);
    final DepositIborDefinition deposit0Definition = DepositIborDefinition.fromTrade(referenceDate, NOTIONAL, RATE + parSpread, EURIBOR3M, CALENDAR);
    final DepositIbor deposit0 = deposit0Definition.toDerivative(referenceDate);
    final MultipleCurrencyAmount pv0 = METHOD_DEPOSIT.presentValue(deposit0, PROVIDER_MULTICURVES);
    assertEquals("DepositDefinition: present value", 0, pv0.getAmount(EUR), TOLERANCE_PV);
  }

  @Test
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