public void CanInterpolate()
{
var hz = 0.5;
var sut = new ConstantHazzardInterpolator();
sut = new ConstantHazzardInterpolator(hz);
var t = 2.5;
Assert.Equal(System.Math.Exp(-hz * t), sut.Interpolate(t));
Assert.Equal(-hz * System.Math.Exp(-hz * t), sut.FirstDerivative(t));
Assert.Equal(hz * hz * System.Math.Exp(-hz * t), sut.SecondDerivative(t));
Assert.Throws <NotImplementedException>(() => sut.Sensitivity(0));
Assert.Throws <NotImplementedException>(() => sut.Bump(0, 0));
Assert.Throws <NotImplementedException>(() => sut.UpdateY(0, 0));
}
public void CDSBasicFacts_LinearApprox()
{
var origin = new DateTime(2020, 06, 15);
var hzi = new ConstantHazzardInterpolator(0.0);
var hz = new HazzardCurve(origin, DayCountBasis.ACT365F, hzi);
var usd = TestProviderHelper.CurrencyProvider.GetCurrency("USD");
var df = new ConstantRateIrCurve(0.00, origin, "LIBOR", usd);
var sut = new CDS()
{
Basis = DayCountBasis.ACT365F,
Currency = usd,
OriginDate = origin,
Tenor = new Frequency("1y"),
Spread = 0.01,
Notional = 1e6
};
sut.Init();
var pv = sut.PV_LinearApprox(hz, df, 0.4, false);
Assert.Equal(-sut.Notional * sut.Spread, pv);
}
