public virtual void test_recovery01OnSettle()
{
CurrencyAmount computed = PRICER.recovery01OnSettle(TRADE, RATES_PROVIDER, REF_DATA);
CurrencyAmount expected = PRICER_PRODUCT.recovery01(PRODUCT, RATES_PROVIDER, SETTLEMENT_DATE, REF_DATA);
CurrencyAmount computedMf = PRICER_MF.recovery01OnSettle(TRADE_NO_SETTLE_DATE, RATES_PROVIDER, REF_DATA);
CurrencyAmount expectedMf = PRICER_PRODUCT_MF.recovery01(PRODUCT, RATES_PROVIDER, SETTLEMENT_DATE, REF_DATA);
assertEquals(computed.Amount, expected.Amount, TOL);
assertEquals(computedMf.Amount, expectedMf.Amount, TOL);
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the recovery01 of the underlying product.
/// <para>
/// The recovery01 is defined as the present value sensitivity to the recovery rate.
/// Since the ISDA standard model requires the recovery rate to be constant throughout the lifetime of the CDS,
/// one currency amount is returned by this method.
/// </para>
/// <para>
/// This is computed based on the settlement date rather than the valuation date.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="refData"> the reference data </param>
/// <returns> the recovery01 </returns>
public virtual CurrencyAmount recovery01OnSettle(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)
{
LocalDate settlementDate = calculateSettlementDate(trade, ratesProvider, refData);
return(productPricer.recovery01(trade.Product, ratesProvider, settlementDate, refData));
}
