public virtual void test_parSpread()
{
double spread = PRICER.parSpread(FWD, PROVIDER);
ResolvedFxSingle fwdSp = ResolvedFxSingle.of(CurrencyAmount.of(USD, NOMINAL_USD), FxRate.of(USD, KRW, FX_RATE + spread), PAYMENT_DATE);
MultiCurrencyAmount pv = PRICER.presentValue(fwdSp, PROVIDER);
assertEquals(pv.convertedTo(USD, PROVIDER).Amount, 0d, NOMINAL_USD * TOL);
}
public virtual void test_parSpread()
{
assertEquals(TRADE_PRICER.parSpread(TRADE, PROVIDER), PRODUCT_PRICER.parSpread(PRODUCT, PROVIDER));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the par spread.
/// <para>
/// This is the spread that should be added to the FX points to have a zero value.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the spread </returns>
public virtual double parSpread(ResolvedFxSingleTrade trade, RatesProvider provider)
{
return(productPricer.parSpread(trade.Product, provider));
}