//------------------------------------------------------------------------- public virtual void test_jumpToDefault() { JumpToDefault computed = PRICER.jumpToDefault(TRADE, RATES_PROVIDER, REF_DATA); JumpToDefault expected = PRICER_PRODUCT.jumpToDefault(PRODUCT, RATES_PROVIDER, SETTLEMENT_DATE, REF_DATA); assertEquals(computed, expected); }
//------------------------------------------------------------------------- /// <summary> /// Calculates the jump-to-default of the underlying product. /// <para> /// The jump-to-default is the value of the product in case of immediate default. /// /// </para> /// </summary> /// <param name="trade"> the trade </param> /// <param name="ratesProvider"> the rates provider </param> /// <param name="refData"> the reference data </param> /// <returns> the jump-to-default </returns> public virtual JumpToDefault jumpToDefault(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData) { LocalDate settlementDate = calculateSettlementDate(trade, ratesProvider, refData); return(productPricer.jumpToDefault(trade.Product, ratesProvider, settlementDate, refData)); }