//-------------------------------------------------------------------------
public virtual void test_parSpread()
{
double psTrade = PRICER_TRADE.parSpread(RDEPOSIT_TRADE, IMM_PROV);
double psProduct = PRICER_PRODUCT.parSpread(RDEPOSIT_PRODUCT, IMM_PROV);
assertEquals(psTrade, psProduct, TOLERANCE_RATE);
}
public virtual void test_parSpread()
{
SimpleRatesProvider prov = provider(VAL_DATE, DF_START, DF_END);
double parSpread = PRICER.parSpread(RTERM_DEPOSIT, prov);
TermDeposit depositPar = TermDeposit.builder().buySell(BuySell.BUY).startDate(START_DATE).endDate(END_DATE).businessDayAdjustment(BD_ADJ).dayCount(ACT_360).notional(NOTIONAL).currency(EUR).rate(RATE + parSpread).build();
double pvPar = PRICER.presentValue(depositPar.resolve(REF_DATA), prov).Amount;
assertEquals(pvPar, 0.0, NOTIONAL * TOLERANCE);
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the spread to be added to the deposit rate to have a zero present value.
/// <para>
/// The calculation is based on both the initial and final payments.
/// Thus the resulting number may not be meaningful when deposit has already started and only the final
/// payment remains (no initial payment).
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the par spread </returns>
public virtual double parSpread(ResolvedTermDepositTrade trade, RatesProvider provider)
{
return(productPricer.parSpread(trade.Product, provider));
}
