Changeset 177

Timestamp:

05/22/08 15:21:33 (4 months ago)

Author:

Vice

Message:

Found a bug in YieldTermStructure?. Created the test that exploit the bug ,
then fixed the bug.

Files:

• trunk/QLNet/QLNet/Termstructures/YieldTermStructure.cs (modified) (2 diffs)
• trunk/QLNet/Test2008/T_Piecewiseyieldcurve.cs (modified) (3 diffs)

trunk/QLNet/QLNet/Termstructures/YieldTermStructure.cs

@@ -127 +127 @@
-                double t2 = t1 + 0.0001;
-                double compound = discount(t1, extrapolate) / discount(t2, extrapolate);
-dayCounter()
+resultDayCounter
-            }
-            else
@@ -133 +133 @@
-                if (!(d1 < d2)) throw new ArgumentException(d1 + " later than " + d2);
-                double compound = discount(d1, extrapolate) / discount(d2, extrapolate);
-dayCounter()
+resultDayCounter
-            }
-        }

trunk/QLNet/Test2008/T_Piecewiseyieldcurve.cs

@@ -25 +25 @@
-namespace TestSuite {
-    [TestClass()]
-
-
+
+
+
+
-            #region Values
-            public struct Datum {
@@ -125 +127 @@
-
-            // setup
-
+
+
-
-                //cleaner = new IndexHistoryCleaner();
@@ -319 +322 @@
-        }
-
+        [TestMethod()]
+        public void testForwardRateDayCounter()
+        {
+
+           CommonVars vars = new CommonVars();
+           DayCounter d = new ActualActual();
+           DayCounter d1 = new Actual360();
+
+           vars.termStructure = new PiecewiseYieldCurve<Discount, LogLinear>(vars.settlementDays,
+                                                          vars.calendar, vars.instruments, d);
+
+           InterestRate ir = vars.termStructure.forwardRate(vars.settlement,vars.settlement+30, d1, Compounding.Simple);
+
+           if (ir.dayCounter().name() != d1.name())
+              Assert.Fail("PiecewiseYieldCurve forwardRate dayCounter error" +
+                          " Actual daycounter : " + vars.termStructure.dayCounter().name() +
+                          " Expetced DayCounter : " + d1.name());
+   
+
+        }
-
-        public void testCurveConsistency<T, I>(CommonVars vars)