Examples of HullWhiteTwoFactorDataBundle


Examples of com.opengamma.analytics.financial.model.interestrate.definition.HullWhiteTwoFactorDataBundle

    MODEL.getDiscountBondFunction(START, MATURITY).evaluate((HullWhiteTwoFactorDataBundle) null);
  }

  @Test
  public void test() {
    HullWhiteTwoFactorDataBundle data = new HullWhiteTwoFactorDataBundle(R, new VolatilityCurve(ConstantDoublesCurve.from(0)), VOL2, TODAY, SPEED1, SPEED2, U, YieldCurve.from(ConstantDoublesCurve
        .from(F)), RHO);
    assertEquals(MODEL.getDiscountBondFunction(START, MATURITY).evaluate(data), 0, EPS);
    data = new HullWhiteTwoFactorDataBundle(R, VOL1, VOL2, TODAY, SPEED1, SPEED2, U, YieldCurve.from(ConstantDoublesCurve.from(F)), RHO);
    assertEquals(MODEL.getDiscountBondFunction(START, START).evaluate(data), 1, EPS);
  }
View Full Code Here
TOP
Copyright © 2018 www.massapi.com. 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.