Stochastic Model WIP

JuliaActuary · May 25, 2024 · d3085fd · d3085fd
1 parent c20b4ee
commit d3085fd
Showing 1 changed file with 6 additions and 0 deletions.
diff --git a/test/stochastic.jl b/test/stochastic.jl
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+@testset "Stochastic Valuation" begin
+    c = Yield.Constant(0.04)
+    m = HullWhite(0.1, 0.002, c) # a, σ, curve
+
+    @test pv(m, Cashflow(0,))
+end