tests/testthat/test-s4-ExtMO2FParam.R

In hsloot/cvalr: Credit Derivative Valuation in R

d <- 5L
lambda <- 8e-2
rho <- 4e-1


test_that("`expected_pcds_equation` works as expected for `ExtMO2FParam", {
  times <- seq(25e-2, 5, by = 25e-2)
  discount_factors <- rep(1, length(times))
  recovery_rate <- 4e-1
  coupon <- 1e-1
  upfront <- -1e-2
  parm <- AlphaStableExtMO2FParam(dim = d, lambda = lambda, rho = rho)

  # using default
  x <- expected_pcds_equation(parm, times, discount_factors, recovery_rate, coupon, upfront)
  expect_numeric(x, finite = TRUE, any.missing = FALSE, len = 1L)
  y <- test__expected_pcds_equation__default(
    parm, times, discount_factors, recovery_rate, coupon, upfront)
  expect_equal(x, y)

  # using prob
  x <- expected_pcds_equation(parm, times, discount_factors, recovery_rate, coupon, upfront,
    method = "prob")
  expect_numeric(x, finite = TRUE, any.missing = FALSE, len = 1L)
  y <- test__expected_pcds_equation__prob(
    parm, times, discount_factors, recovery_rate, coupon, upfront)
  expect_equal(x, y)
})