public virtual void test_priceWithZSpread_continuous()
{
double computed = FUTURE_PRICER.priceWithZSpread(FUTURE_PRODUCT, PROVIDER, Z_SPREAD, CONTINUOUS, 0);
double dirtyPrice = BOND_PRICER.dirtyPriceFromCurvesWithZSpread(BOND, PROVIDER, Z_SPREAD, CONTINUOUS, 0, FUTURE_PRODUCT.LastDeliveryDate);
double expected = BOND_PRICER.cleanPriceFromDirtyPrice(BOND, FUTURE_PRODUCT.LastDeliveryDate, dirtyPrice) / CONVERSION_FACTOR[0];
assertEquals(computed, expected, TOL);
}
public virtual void test_priceWithZSpread_continuous()
{
double computed = TRADE_PRICER.priceWithZSpread(FUTURE_TRADE, PROVIDER, Z_SPREAD, CONTINUOUS, 0);
double expected = PRODUCT_PRICER.priceWithZSpread(FUTURE_PRODUCT, PROVIDER, Z_SPREAD, CONTINUOUS, 0);
assertEquals(computed, expected, TOL);
}
/// <summary>
/// Calculates the price of the bond future trade with z-spread.
/// <para>
/// The price of the trade is the price on the valuation date.
/// </para>
/// <para>
/// The z-spread is a parallel shift applied to continuously compounded rates or periodic compounded rates
/// of the issuer discounting curve.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="discountingProvider"> the discounting provider </param>
/// <param name="zSpread"> the z-spread </param>
/// <param name="compoundedRateType"> the compounded rate type </param>
/// <param name="periodPerYear"> the number of periods per year </param>
/// <returns> the price of the trade, in decimal form </returns>
public double priceWithZSpread(ResolvedBondFutureTrade trade, LegalEntityDiscountingProvider discountingProvider, double zSpread, CompoundedRateType compoundedRateType, int periodPerYear)
{
return(productPricer.priceWithZSpread(trade.Product, discountingProvider, zSpread, compoundedRateType, periodPerYear));
}