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Hi, it seems that whenever I try to buffer a CurveMap, I always get the original non-mapped zero rates.
For instance, in those tests bellow:
@testset "Buffered CurveMap" begin flat_curve = InterestRates.IRCurve( "flat", InterestRates.Actual360(), InterestRates.SimpleCompounding(), InterestRates.StepFunction(), Date(2021,1,1), [1], [0.1] ) @test InterestRates.zero_rate(flat_curve, Date(2022,1,1)) ≈ 0.1 map_curve = InterestRates.CurveMap("mapped", (r,m) -> r+0.05, flat_curve) @test InterestRates.zero_rate(map_curve, Date(2022,1,1)) ≈ 0.15 buffered_curve = InterestRates.BufferedIRCurve(map_curve) @test InterestRates.zero_rate(buffered_curve, Date(2022,1,1)) ≈ 0.15 end
... last test fails.
Buffered CurveMap: Test Failed at /home/InterestRates/test/runtests.jl:646 Expression: InterestRates.zero_rate(buffered_curve, Date(2022, 1, 1)) ≈ 0.15 Evaluated: 0.1 ≈ 0.15
The text was updated successfully, but these errors were encountered:
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Hi,
it seems that whenever I try to buffer a CurveMap, I always get the original non-mapped zero rates.
For instance, in those tests bellow:
... last test fails.
The text was updated successfully, but these errors were encountered: