public virtual void test_rpv01OnSettle()
{
CurrencyAmount computed = PRICER.rpv01OnSettle(TRADE, RATES_PROVIDER, PriceType.CLEAN, REF_DATA);
CurrencyAmount expected = PRICER_PRODUCT.rpv01(PRODUCT, RATES_PROVIDER, SETTLEMENT_DATE, PriceType.CLEAN, REF_DATA);
CurrencyAmount computedMf = PRICER_MF.rpv01OnSettle(TRADE_NO_SETTLE_DATE, RATES_PROVIDER, PriceType.CLEAN, REF_DATA);
CurrencyAmount expectedMf = PRICER_PRODUCT_MF.rpv01(PRODUCT, RATES_PROVIDER, SETTLEMENT_DATE, PriceType.CLEAN, REF_DATA);
assertEquals(computed.Amount, expected.Amount, TOL);
assertEquals(computedMf.Amount, expectedMf.Amount, TOL);
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the risky PV01 of the underlying product.
/// <para>
/// RPV01 is defined as minus of the present value sensitivity to coupon rate.
/// </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="priceType"> the price type </param>
/// <param name="refData"> the reference date </param>
/// <returns> the RPV01 </returns>
public virtual CurrencyAmount rpv01OnSettle(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider, PriceType priceType, ReferenceData refData)
{
LocalDate settlementDate = calculateSettlementDate(trade, ratesProvider, refData);
return(productPricer.rpv01(trade.Product, ratesProvider, settlementDate, priceType, refData));
}
