//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value of the CDS index product.
/// <para>
/// The present value of the product is based on {@code referenceDate}.
/// This is typically the valuation date, or cash settlement date if the product is associated with a {@code Trade}.
/// </para>
/// <para>
/// This method can calculate the clean or dirty present value, see <seealso cref="PriceType"/>.
/// If calculating the clean value, the accrued interest is calculated based on the step-in date.
///
/// </para>
/// </summary>
/// <param name="cdsIndex"> the product </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="referenceDate"> the reference date </param>
/// <param name="priceType"> the price type </param>
/// <param name="refData"> the reference data </param>
/// <returns> the present value </returns>
public virtual CurrencyAmount presentValue(ResolvedCdsIndex cdsIndex, CreditRatesProvider ratesProvider, LocalDate referenceDate, PriceType priceType, ReferenceData refData)
{
if (isExpired(cdsIndex, ratesProvider))
{
return(CurrencyAmount.of(cdsIndex.Currency, 0d));
}
ResolvedCds cds = cdsIndex.toSingleNameCds();
LocalDate stepinDate = cds.StepinDateOffset.adjust(ratesProvider.ValuationDate, refData);
LocalDate effectiveStartDate = cds.calculateEffectiveStartDate(stepinDate);
double recoveryRate = underlyingPricer.recoveryRate(cds, ratesProvider);
Triple <CreditDiscountFactors, LegalEntitySurvivalProbabilities, double> rates = reduceDiscountFactors(cds, ratesProvider);
double protectionLeg = (1d - recoveryRate) * underlyingPricer.protectionFull(cds, rates.First, rates.Second, referenceDate, effectiveStartDate);
double rpv01 = underlyingPricer.riskyAnnuity(cds, rates.First, rates.Second, referenceDate, stepinDate, effectiveStartDate, priceType);
double amount = cds.BuySell.normalize(cds.Notional) * rates.Third * (protectionLeg - rpv01 * cds.FixedRate);
return(CurrencyAmount.of(cds.Currency, amount));
}
