public virtual void test_price()
{
double computed = PRICER.price(TRADE, RATES_PROVIDER, PriceType.CLEAN, REF_DATA);
double expected = PRICER_PRODUCT.price(PRODUCT, RATES_PROVIDER, SETTLEMENT_DATE, PriceType.CLEAN, REF_DATA);
double computedMf = PRICER_MF.price(TRADE_NO_SETTLE_DATE, RATES_PROVIDER, PriceType.CLEAN, REF_DATA);
double expectedMf = PRICER_PRODUCT_MF.price(PRODUCT, RATES_PROVIDER, SETTLEMENT_DATE, PriceType.CLEAN, REF_DATA);
assertEquals(computed, expected, TOL);
assertEquals(computedMf, expectedMf, TOL);
}
//-------------------------------------------------------------------------
protected internal virtual void testCalibrationAgainstISDA(IsdaCompliantCreditCurveCalibrator builder, DayCount dayCount, Currency currency, double tol)
{
IsdaCdsProductPricer pricer = new IsdaCdsProductPricer(builder.AccrualOnDefaultFormula);
for (int i = 0; i < NUM_TESTS; i++)
{
LegalEntitySurvivalProbabilities creditCurve = builder.calibrate(ImmutableList.copyOf(NODE_CDS[i]), CurveName.of("credit"), CDS_MARKET_DATA[i], YIELD_CURVES[i], dayCount, currency, false, false, REF_DATA);
ResolvedCdsTrade[] expectedCds = EXP_NODE_CDS[i];
ImmutableCreditRatesProvider provider = YIELD_CURVES[i].toBuilder().creditCurves(ImmutableMap.of(Pair.of(LEGAL_ENTITY, EUR), creditCurve)).build();
double[] expected = builder.AccrualOnDefaultFormula == AccrualOnDefaultFormula.MARKIT_FIX ? EXP_PROB_MARKIT_FIX[i] : EXP_PROB_ISDA[i];
for (int k = 0; k < N_OBS; k++)
{
assertEquals(creditCurve.SurvivalProbabilities.discountFactor(OBS_TIMES[k]), expected[k], tol);
}
int m = expectedCds.Length;
for (int j = 0; j < m; j++)
{
ResolvedCdsTrade cdsFromNode = NODE_CDS[i][j].trade(1d, CDS_MARKET_DATA[i], REF_DATA).UnderlyingTrade.resolve(REF_DATA);
assertEquals(cdsFromNode.Product, expectedCds[j].Product);
double price1 = pricer.price(cdsFromNode.Product, provider, SPREADS[i][j], cdsFromNode.Info.SettlementDate.get(), PriceType.CLEAN, REF_DATA);
assertEquals(price1, 0.0, 5e-16);
}
}
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the price of the CDS index product, which is the minus of the present value per unit notional.
/// <para>
/// This method can calculate the clean or dirty price, see <seealso cref="PriceType"/>.
/// If calculating the clean price, the accrued interest is calculated based on the step-in date.
///
/// </para>
/// </summary>
/// <param name="cdsIndex"> the product </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="referenceDate"> the reference date </param>
/// <param name="priceType"> the price type </param>
/// <param name="refData"> the reference data </param>
/// <returns> the price </returns>
public virtual double price(ResolvedCdsIndex cdsIndex, CreditRatesProvider ratesProvider, LocalDate referenceDate, PriceType priceType, ReferenceData refData)
{
ResolvedCds cds = cdsIndex.toSingleNameCds();
return(underlyingPricer.price(cds, ratesProvider, referenceDate, priceType, refData));
}
// internal price computation with specified coupon rate
internal virtual double price(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider, double fractionalSpread, PriceType priceType, ReferenceData refData)
{
LocalDate settlementDate = calculateSettlementDate(trade, ratesProvider, refData);
return(productPricer.price(trade.Product, ratesProvider, fractionalSpread, settlementDate, priceType, refData));
}
