/// <summary>
/// Test par spread for ISDA FRA Discounting method.
/// </summary>
public virtual void test_parSpread_ISDA()
{
ResolvedFra fraExp = RFRA;
SimpleRatesProvider prov = createProvider(fraExp);
DiscountingFraProductPricer test = DiscountingFraProductPricer.DEFAULT;
double parSpread = test.parSpread(fraExp, prov);
ResolvedFra fra = createNewFra(FRA, FRA.FixedRate + parSpread);
CurrencyAmount pv = test.presentValue(fra, prov);
assertEquals(pv.Amount, 0.0, TOLERANCE);
// test via FraTrade
DiscountingFraTradePricer testTrade = new DiscountingFraTradePricer(test);
assertEquals(testTrade.parSpread(RFRA_TRADE, prov), test.parSpread(RFRA, prov));
}
/// <summary>
/// Test par spread for AFMA FRA Discounting method.
/// </summary>
public virtual void test_parSpread_AFMA()
{
ResolvedFra fraExp = RFRA_AFMA;
SimpleRatesProvider prov = createProvider(fraExp);
DiscountingFraProductPricer test = DiscountingFraProductPricer.DEFAULT;
double parSpread = test.parSpread(fraExp, prov);
ResolvedFra fra = createNewFra(FRA_AFMA, FRA_AFMA.FixedRate + parSpread);
CurrencyAmount pv = test.presentValue(fra, prov);
assertEquals(pv.Amount, 0.0, TOLERANCE);
}
/// <summary>
/// Calculates the par spread of the FRA trade.
/// <para>
/// This is spread to be added to the fixed rate to have a present value of 0.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the par spread </returns>
public virtual double parSpread(ResolvedFraTrade trade, RatesProvider provider)
{
return(productPricer.parSpread(trade.Product, provider));
}
/// <summary>
/// Test par spread sensitivity for ISDA FRA Discounting method.
/// </summary>
public virtual void test_parSpreadSensitivity_ISDA()
{
PointSensitivities sensiSpread = DEFAULT_PRICER.parSpreadSensitivity(RFRA, IMM_PROV);
CurrencyParameterSensitivities sensiComputed = IMM_PROV.parameterSensitivity(sensiSpread);
CurrencyParameterSensitivities sensiExpected = CAL_FD.sensitivity(IMM_PROV, (p) => CurrencyAmount.of(FRA.Currency, DEFAULT_PRICER.parSpread(RFRA, (p))));
assertTrue(sensiComputed.equalWithTolerance(sensiExpected, EPS_FD));
PointSensitivities sensiRate = DEFAULT_PRICER.parRateSensitivity(RFRA, IMM_PROV);
assertTrue(sensiSpread.equalWithTolerance(sensiRate, EPS_FD));
// test via FraTrade
assertEquals(DEFAULT_TRADE_PRICER.parRateSensitivity(RFRA_TRADE, IMM_PROV), DEFAULT_PRICER.parRateSensitivity(RFRA, IMM_PROV));
assertEquals(DEFAULT_TRADE_PRICER.parSpreadSensitivity(RFRA_TRADE, IMM_PROV), DEFAULT_PRICER.parSpreadSensitivity(RFRA, IMM_PROV));
}
