//-------------------------------------------------------------------------
public virtual void test_parSpread_noFixing()
{
double parSpread = PRICER.parSpread(RDEPOSIT, IMM_PROV_NOFIX);
IborFixingDeposit deposit0 = DEPOSIT.toBuilder().fixedRate(RATE + parSpread).build();
CurrencyAmount pv0 = PRICER.presentValue(deposit0.resolve(REF_DATA), IMM_PROV_NOFIX);
assertEquals(pv0.Amount, 0, TOLERANCE_RATE);
double parSpread2 = PRICER.parSpread(RDEPOSIT, IMM_PROV_NOFIX);
assertEquals(parSpread, parSpread2, TOLERANCE_RATE);
}
//-------------------------------------------------------------------------
public virtual void test_parSpread()
{
double psTrade = PRICER_TRADE.parSpread(RDEPOSIT_TRADE, IMM_PROV);
double psProduct = PRICER_PRODUCT.parSpread(RDEPOSIT_PRODUCT, IMM_PROV);
assertEquals(psTrade, psProduct, TOLERANCE_RATE);
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the spread to be added to the deposit rate to have a zero present value.
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the par spread </returns>
public virtual double parSpread(ResolvedIborFixingDepositTrade trade, RatesProvider provider)
{
return(productPricer.parSpread(trade.Product, provider));
}
