public virtual void test_price()
{
double computed = PRICER.price(TRADE, RATES_PROVIDER, PriceType.CLEAN, REF_DATA);
double expected = PRICER_PRODUCT.price(PRODUCT, RATES_PROVIDER, SETTLEMENT_DATE, PriceType.CLEAN, REF_DATA);
double computedMf = PRICER_MF.price(TRADE_NO_SETTLE_DATE, RATES_PROVIDER, PriceType.CLEAN, REF_DATA);
double expectedMf = PRICER_PRODUCT_MF.price(PRODUCT, RATES_PROVIDER, SETTLEMENT_DATE, PriceType.CLEAN, REF_DATA);
assertEquals(computed, expected, TOL);
assertEquals(computedMf, expectedMf, TOL);
}
private double[] getStandardQuoteForm(ResolvedCdsTrade calibrationCds, CdsQuote marketQuote, LocalDate valuationDate, CreditDiscountFactors discountFactors, RecoveryRates recoveryRates, bool computeJacobian, ReferenceData refData)
{
double[] res = new double[3];
res[2] = 1d;
if (marketQuote.QuoteConvention.Equals(CdsQuoteConvention.PAR_SPREAD))
{
res[0] = marketQuote.QuotedValue;
}
else if (marketQuote.QuoteConvention.Equals(CdsQuoteConvention.QUOTED_SPREAD))
{
double qSpread = marketQuote.QuotedValue;
CurveName curveName = CurveName.of("quoteConvertCurve");
NodalCurve tempCreditCurve = calibrate(ImmutableList.of(calibrationCds), DoubleArray.of(qSpread), DoubleArray.of(0d), curveName, valuationDate, discountFactors, recoveryRates, refData);
Currency currency = calibrationCds.Product.Currency;
StandardId legalEntityId = calibrationCds.Product.LegalEntityId;
ImmutableCreditRatesProvider rates = ImmutableCreditRatesProvider.builder().valuationDate(valuationDate).discountCurves(ImmutableMap.of(currency, discountFactors)).recoveryRateCurves(ImmutableMap.of(legalEntityId, recoveryRates)).creditCurves(ImmutableMap.of(Pair.of(legalEntityId, currency), LegalEntitySurvivalProbabilities.of(legalEntityId, IsdaCreditDiscountFactors.of(currency, valuationDate, tempCreditCurve)))).build();
res[0] = calibrationCds.Product.FixedRate;
res[1] = tradePricer.price(calibrationCds, rates, PriceType.CLEAN, refData);
if (computeJacobian)
{
CurrencyParameterSensitivities pufSensi = rates.parameterSensitivity(tradePricer.priceSensitivity(calibrationCds, rates, refData));
CurrencyParameterSensitivities spSensi = rates.parameterSensitivity(tradePricer.parSpreadSensitivity(calibrationCds, rates, refData));
res[2] = spSensi.getSensitivity(curveName, currency).Sensitivity.get(0) / pufSensi.getSensitivity(curveName, currency).Sensitivity.get(0);
}
}
else if (marketQuote.QuoteConvention.Equals(CdsQuoteConvention.POINTS_UPFRONT))
{
res[0] = calibrationCds.Product.FixedRate;
res[1] = marketQuote.QuotedValue;
}
else
{
throw new System.ArgumentException("Unknown CDSQuoteConvention type " + marketQuote.GetType());
}
return(res);
}
/// <summary>
/// Computes the points upfront.
/// <para>
/// The points upfront quote is usually expressed in percentage.
/// Here a fraction of notional is returned, e.g., 0.01 is 1(%) points up-front
/// </para>
/// <para>
/// The relevant credit curve must be pre-calibrated and stored in {@code ratesProvider}.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="refData"> the reference data </param>
/// <returns> the points upfront </returns>
public virtual double pointsUpfront(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)
{
return(pricer.price(trade, ratesProvider, PriceType.CLEAN, refData));
}