//-------------------------------------------------------------------------
/// <summary>
/// Calculates the recovery01 of the CDS index 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 index,
/// one currency amount is returned by this method.
///
/// </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 recovery01 </returns>
public virtual CurrencyAmount recovery01(ResolvedCdsIndex cdsIndex, CreditRatesProvider ratesProvider, LocalDate referenceDate, 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);
underlyingPricer.validateRecoveryRates(cds, ratesProvider);
Triple <CreditDiscountFactors, LegalEntitySurvivalProbabilities, double> rates = reduceDiscountFactors(cds, ratesProvider);
double protectionFull = underlyingPricer.protectionFull(cds, rates.First, rates.Second, referenceDate, effectiveStartDate);
double amount = -cds.BuySell.normalize(cds.Notional) * protectionFull * rates.Third;
return(CurrencyAmount.of(cds.Currency, amount));
}
