Package org.jquantlib.instruments.bonds

Examples of org.jquantlib.instruments.bonds.ConvertibleZeroCouponBond.NPV()

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          + "\n    calculated: " + euZero.NPV()
          + "\n    expected:   " + zero.settlementValue()
          + "\n    error:      " + error);
    }

    error = Math.abs(amZero.NPV() - zero.settlementValue());
    if (error > tolerance) {
      fail("failed to reproduce zero-coupon bond price:"
          + "\n    calculated: " + amZero.NPV()
          + "\n    expected:   " + zero.settlementValue()
          + "\n    error:      " + error);
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    }

    error = Math.abs(amZero.NPV() - zero.settlementValue());
    if (error > tolerance) {
      fail("failed to reproduce zero-coupon bond price:"
          + "\n    calculated: " + amZero.NPV()
          + "\n    expected:   " + zero.settlementValue()
          + "\n    error:      " + error);
    }

    // coupon
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        / 100.0
        * (vars.redemption
            * vars.riskFreeRate.currentLink().discount(
                vars.maturityDate) + vars.conversionRatio
            * euOption.NPV());
    final double error = Math.abs(euZero.NPV() - expected);
    if (error > tolerance) {
      fail("failed to reproduce plain-option price:"
          + "\n    calculated: " + euZero.NPV()
          + "\n    expected:   " + expected + "\n    error:      "
          + error);
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                vars.maturityDate) + vars.conversionRatio
            * euOption.NPV());
    final double error = Math.abs(euZero.NPV() - expected);
    if (error > tolerance) {
      fail("failed to reproduce plain-option price:"
          + "\n    calculated: " + euZero.NPV()
          + "\n    expected:   " + expected + "\n    error:      "
          + error);
    }
  }
}
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