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)); }