public virtual void test_parSpread()
{
double computed = PRICER.parSpread(TRADE, RATES_PROVIDER, REF_DATA);
double expected = PRICER_PRODUCT.parSpread(PRODUCT, RATES_PROVIDER, SETTLEMENT_DATE, REF_DATA);
double computedMf = PRICER_MF.parSpread(TRADE_NO_SETTLE_DATE, RATES_PROVIDER, REF_DATA);
double expectedMf = PRICER_PRODUCT_MF.parSpread(PRODUCT, RATES_PROVIDER, SETTLEMENT_DATE, REF_DATA);
assertEquals(computed, expected, TOL);
assertEquals(computedMf, expectedMf, TOL);
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the par spread of the CDS index product.
/// <para>
/// The par spread is a coupon rate such that the clean PV is 0.
/// The result is represented in decimal form.
///
/// </para>
/// </summary>
/// <param name="cdsIndex"> the product </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="referenceDate"> the reference date </param>
/// <param name="refData"> the reference data </param>
/// <returns> the par spread </returns>
public virtual double parSpread(ResolvedCdsIndex cdsIndex, CreditRatesProvider ratesProvider, LocalDate referenceDate, ReferenceData refData)
{
ResolvedCds cds = cdsIndex.toSingleNameCds();
return(underlyingPricer.parSpread(cds, ratesProvider, referenceDate, refData));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the par spread of the underlying product.
/// <para>
/// The par spread is a coupon rate such that the clean price is 0.
/// The result is represented in decimal form.
/// </para>
/// <para>
/// This is coherent to <seealso cref="#price(ResolvedCdsTrade, CreditRatesProvider, PriceType, ReferenceData)"/>.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="refData"> the reference data </param>
/// <returns> the par spread </returns>
public virtual double parSpread(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)
{
LocalDate settlementDate = calculateSettlementDate(trade, ratesProvider, refData);
return(productPricer.parSpread(trade.Product, ratesProvider, settlementDate, refData));
}
