public virtual void test_expectedLoss()
{
CurrencyAmount computed = PRICER.expectedLoss(TRADE, RATES_PROVIDER);
CurrencyAmount expected = PRICER_PRODUCT.expectedLoss(PRODUCT, RATES_PROVIDER);
assertEquals(computed.Amount, expected.Amount, TOL);
}
//-------------------------------------------------------------------------
/// <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 expected loss </returns>
public virtual CurrencyAmount expectedLoss(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider)
{
return(productPricer.expectedLoss(trade.Product, ratesProvider));
}
