public virtual void endedTest()
{
LocalDate valuationDate = PRODUCT.ProtectionEndDate.plusDays(1);
CreditRatesProvider provider = createCreditRatesProviderSingle(valuationDate, false);
double price = PRICER.price(PRODUCT, provider, SETTLEMENT_STD, CLEAN, REF_DATA);
assertEquals(price, 0d);
CurrencyAmount pv = PRICER.presentValue(PRODUCT, provider, SETTLEMENT_STD, CLEAN, REF_DATA);
assertEquals(pv, CurrencyAmount.zero(USD));
assertThrowsIllegalArg(() => PRICER.parSpread(PRODUCT, provider, SETTLEMENT_STD, REF_DATA));
CurrencyAmount rpv01 = PRICER.rpv01(PRODUCT, provider, SETTLEMENT_STD, CLEAN, REF_DATA);
assertEquals(rpv01, CurrencyAmount.zero(USD));
CurrencyAmount recovery01 = PRICER.recovery01(PRODUCT, provider, SETTLEMENT_STD, REF_DATA);
assertEquals(recovery01, CurrencyAmount.zero(USD));
PointSensitivityBuilder sensi = PRICER.presentValueSensitivity(PRODUCT, provider, SETTLEMENT_STD, REF_DATA);
assertEquals(sensi, PointSensitivityBuilder.none());
PointSensitivityBuilder sensiPrice = PRICER.priceSensitivity(PRODUCT, provider, SETTLEMENT_STD, REF_DATA);
assertEquals(sensiPrice, PointSensitivityBuilder.none());
assertThrowsIllegalArg(() => PRICER.parSpreadSensitivity(PRODUCT, provider, SETTLEMENT_STD, REF_DATA));
JumpToDefault jumpToDefault = PRICER.jumpToDefault(PRODUCT, provider, SETTLEMENT_STD, REF_DATA);
assertEquals(jumpToDefault, JumpToDefault.of(USD, ImmutableMap.of(INDEX_ID, 0d)));
CurrencyAmount expectedLoss = PRICER.expectedLoss(PRODUCT, provider);
assertEquals(expectedLoss, CurrencyAmount.zero(USD));
}
public virtual void test_presentValueSensitivity()
{
PointSensitivities computed = PRICER.presentValueSensitivity(TRADE, RATES_PROVIDER, REF_DATA);
PointSensitivities expected = PRICER_PRODUCT.presentValueSensitivity(PRODUCT, RATES_PROVIDER, VALUATION_DATE, REF_DATA).combinedWith(PRICER_PAYMENT.presentValueSensitivity(UPFRONT, YIELD_CRVE.toDiscountFactors())).build();
PointSensitivities computedMf = PRICER_MF.presentValueSensitivity(TRADE_NO_SETTLE_DATE, RATES_PROVIDER, REF_DATA);
PointSensitivities expectedMf = PRICER_PRODUCT_MF.presentValueSensitivity(PRODUCT, RATES_PROVIDER, VALUATION_DATE, REF_DATA).build();
assertTrue(computed.equalWithTolerance(expected, TOL));
assertTrue(computedMf.equalWithTolerance(expectedMf, TOL));
}
/// <summary>
/// Calculates the present value sensitivity of the trade.
/// <para>
/// The present value sensitivity of the trade is the sensitivity of present value to the underlying curves.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="refData"> the reference data </param>
/// <returns> the present value sensitivity </returns>
public virtual PointSensitivities presentValueSensitivity(ResolvedCdsIndexTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)
{
PointSensitivityBuilder pvSensiProduct = productPricer.presentValueSensitivity(trade.Product, ratesProvider, ratesProvider.ValuationDate, refData);
if (!trade.UpfrontFee.Present)
{
return(pvSensiProduct.build());
}
Payment upfront = trade.UpfrontFee.get();
PointSensitivityBuilder pvUpfront = upfrontPricer.presentValueSensitivity(upfront, ratesProvider.discountFactors(upfront.Currency).toDiscountFactors());
return(pvSensiProduct.combinedWith(pvUpfront).build());
}
//-------------------------------------------------------------------------
public virtual void pvSensitivityTest()
{
PointSensitivityBuilder point = PRICER.presentValueSensitivity(PRODUCT, RATES_PROVIDER, SETTLEMENT_STD, REF_DATA);
CurrencyParameterSensitivities res = RATES_PROVIDER.parameterSensitivity(point.build());
CurrencyParameterSensitivities exp = CALC_FD.sensitivity(RATES_PROVIDER, p => PRICER.presentValue(PRODUCT, p, SETTLEMENT_STD, CLEAN, REF_DATA));
equalWithRelativeTolerance(res, exp, NOTIONAL * EPS);
PointSensitivityBuilder pointMarkit = PRICER_MARKIT.presentValueSensitivity(PRODUCT, RATES_PROVIDER, SETTLEMENT_STD, REF_DATA);
CurrencyParameterSensitivities resMarkit = RATES_PROVIDER.parameterSensitivity(pointMarkit.build());
CurrencyParameterSensitivities expMarkit = CALC_FD.sensitivity(RATES_PROVIDER, p => PRICER_MARKIT.presentValue(PRODUCT, p, SETTLEMENT_STD, CLEAN, REF_DATA));
equalWithRelativeTolerance(resMarkit, expMarkit, NOTIONAL * EPS);
PointSensitivityBuilder pointOg = PRICER_OG.presentValueSensitivity(PRODUCT, RATES_PROVIDER, SETTLEMENT_STD, REF_DATA);
CurrencyParameterSensitivities resOg = RATES_PROVIDER.parameterSensitivity(pointOg.build());
CurrencyParameterSensitivities expOg = CALC_FD.sensitivity(RATES_PROVIDER, p => PRICER_OG.presentValue(PRODUCT, p, SETTLEMENT_STD, CLEAN, REF_DATA));
equalWithRelativeTolerance(resOg, expOg, NOTIONAL * EPS);
}