public virtual void endedTest()
{
LocalDate valuationDate = PRODUCT.ProtectionEndDate.plusDays(1);
CreditRatesProvider provider = createCreditRatesProviderSingle(valuationDate, false);
double price = PRICER.price(PRODUCT, provider, SETTLEMENT_STD, CLEAN, REF_DATA);
assertEquals(price, 0d);
CurrencyAmount pv = PRICER.presentValue(PRODUCT, provider, SETTLEMENT_STD, CLEAN, REF_DATA);
assertEquals(pv, CurrencyAmount.zero(USD));
assertThrowsIllegalArg(() => PRICER.parSpread(PRODUCT, provider, SETTLEMENT_STD, REF_DATA));
CurrencyAmount rpv01 = PRICER.rpv01(PRODUCT, provider, SETTLEMENT_STD, CLEAN, REF_DATA);
assertEquals(rpv01, CurrencyAmount.zero(USD));
CurrencyAmount recovery01 = PRICER.recovery01(PRODUCT, provider, SETTLEMENT_STD, REF_DATA);
assertEquals(recovery01, CurrencyAmount.zero(USD));
PointSensitivityBuilder sensi = PRICER.presentValueSensitivity(PRODUCT, provider, SETTLEMENT_STD, REF_DATA);
assertEquals(sensi, PointSensitivityBuilder.none());
PointSensitivityBuilder sensiPrice = PRICER.priceSensitivity(PRODUCT, provider, SETTLEMENT_STD, REF_DATA);
assertEquals(sensiPrice, PointSensitivityBuilder.none());
assertThrowsIllegalArg(() => PRICER.parSpreadSensitivity(PRODUCT, provider, SETTLEMENT_STD, REF_DATA));
JumpToDefault jumpToDefault = PRICER.jumpToDefault(PRODUCT, provider, SETTLEMENT_STD, REF_DATA);
assertEquals(jumpToDefault, JumpToDefault.of(USD, ImmutableMap.of(INDEX_ID, 0d)));
CurrencyAmount expectedLoss = PRICER.expectedLoss(PRODUCT, provider);
assertEquals(expectedLoss, CurrencyAmount.zero(USD));
}
public virtual void test_expectedLoss()
{
CurrencyAmount computed = PRICER.expectedLoss(TRADE, RATES_PROVIDER);
CurrencyAmount expected = PRICER_PRODUCT.expectedLoss(PRODUCT, RATES_PROVIDER);
assertEquals(computed, expected);
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the expected loss of the underlying product.
/// <para>
/// The expected loss is the (undiscounted) expected default settlement value paid by the protection seller.
/// The resulting value is always positive.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <returns> the recovery01 </returns>
public virtual CurrencyAmount expectedLoss(ResolvedCdsIndexTrade trade, CreditRatesProvider ratesProvider)
{
return(productPricer.expectedLoss(trade.Product, ratesProvider));
}