//-------------------------------------------------------------------------
protected internal virtual void testCalibrationAgainstISDA(IsdaCompliantCreditCurveCalibrator builder, DayCount dayCount, Currency currency, double tol)
{
IsdaCdsProductPricer pricer = new IsdaCdsProductPricer(builder.AccrualOnDefaultFormula);
for (int i = 0; i < NUM_TESTS; i++)
{
LegalEntitySurvivalProbabilities creditCurve = builder.calibrate(ImmutableList.copyOf(NODE_CDS[i]), CurveName.of("credit"), CDS_MARKET_DATA[i], YIELD_CURVES[i], dayCount, currency, false, false, REF_DATA);
ResolvedCdsTrade[] expectedCds = EXP_NODE_CDS[i];
ImmutableCreditRatesProvider provider = YIELD_CURVES[i].toBuilder().creditCurves(ImmutableMap.of(Pair.of(LEGAL_ENTITY, EUR), creditCurve)).build();
double[] expected = builder.AccrualOnDefaultFormula == AccrualOnDefaultFormula.MARKIT_FIX ? EXP_PROB_MARKIT_FIX[i] : EXP_PROB_ISDA[i];
for (int k = 0; k < N_OBS; k++)
{
assertEquals(creditCurve.SurvivalProbabilities.discountFactor(OBS_TIMES[k]), expected[k], tol);
}
int m = expectedCds.Length;
for (int j = 0; j < m; j++)
{
ResolvedCdsTrade cdsFromNode = NODE_CDS[i][j].trade(1d, CDS_MARKET_DATA[i], REF_DATA).UnderlyingTrade.resolve(REF_DATA);
assertEquals(cdsFromNode.Product, expectedCds[j].Product);
double price1 = pricer.price(cdsFromNode.Product, provider, SPREADS[i][j], cdsFromNode.Info.SettlementDate.get(), PriceType.CLEAN, REF_DATA);
assertEquals(price1, 0.0, 5e-16);
}
}
}
/// <summary>
/// Constructor specifying the formula to use for the accrued on default calculation.
/// </summary>
/// <param name="formula"> the formula </param>
public IsdaHomogenousCdsIndexProductPricer(AccrualOnDefaultFormula formula)
{
this.underlyingPricer = new IsdaCdsProductPricer(formula);
}
/// <summary>
/// The constructor with the accrual-on-default formula specified.
/// </summary>
/// <param name="formula"> the accrual-on-default formula </param>
public IsdaCdsTradePricer(AccrualOnDefaultFormula formula)
{
this.productPricer = new IsdaCdsProductPricer(formula);
this.upfrontPricer = DiscountingPaymentPricer.DEFAULT;
}
//-------------------------------------------------------------------------
/// <summary>
/// The default constructor.
/// <para>
/// The default pricers are used.
/// </para>
/// </summary>
public IsdaCdsTradePricer()
{
this.productPricer = IsdaCdsProductPricer.DEFAULT;
this.upfrontPricer = DiscountingPaymentPricer.DEFAULT;
}
