//-------------------------------------------------------------------------
/// <summary>
/// Test par rate for ISDA FRA Discounting method.
/// </summary>
public virtual void test_parRate_ISDA()
{
ResolvedFra fraExp = RFRA;
SimpleRatesProvider prov = createProvider(fraExp);
DiscountingFraProductPricer test = DiscountingFraProductPricer.DEFAULT;
double parRate = test.parRate(fraExp, prov);
assertEquals(parRate, FORWARD_RATE);
ResolvedFra fra = createNewFra(FRA, parRate);
CurrencyAmount pv = test.presentValue(fra, prov);
assertEquals(pv.Amount, 0.0, TOLERANCE);
// test via FraTrade
DiscountingFraTradePricer testTrade = new DiscountingFraTradePricer(test);
assertEquals(testTrade.parRate(RFRA_TRADE, prov), test.parRate(RFRA, prov));
}
/// <summary>
/// Test par rate for AFMA FRA Discounting method.
/// </summary>
public virtual void test_parRate_AFMA()
{
ResolvedFra fraExp = RFRA_AFMA;
SimpleRatesProvider prov = createProvider(fraExp);
DiscountingFraProductPricer test = DiscountingFraProductPricer.DEFAULT;
double parRate = test.parRate(fraExp, prov);
assertEquals(parRate, FORWARD_RATE);
ResolvedFra fra = createNewFra(FRA_AFMA, parRate);
CurrencyAmount pv = test.presentValue(fra, prov);
assertEquals(pv.Amount, 0.0, TOLERANCE);
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the par rate of the FRA trade.
/// <para>
/// The par rate is the rate for which the FRA present value is 0.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the par rate </returns>
public virtual double parRate(ResolvedFraTrade trade, RatesProvider provider)
{
return(productPricer.parRate(trade.Product, provider));
}
