//-------------------------------------------------------------------------
public virtual void jumpToDefaultTest()
{
JumpToDefault computed = PRICER.jumpToDefault(PRODUCT, RATES_PROVIDER, SETTLEMENT_STD, REF_DATA);
LocalDate stepinDate = PRODUCT.StepinDateOffset.adjust(VALUATION_DATE, REF_DATA);
double dirtyPvMod = PRICER.presentValue(PRODUCT, RATES_PROVIDER, SETTLEMENT_STD, PriceType.DIRTY, REF_DATA).Amount / INDEX_FACTOR;
double accrued = PRODUCT.accruedYearFraction(stepinDate) * PRODUCT.FixedRate * PRODUCT.BuySell.normalize(NOTIONAL);
double protection = PRODUCT.BuySell.normalize(NOTIONAL) * (1d - RECOVERY_RATE);
double expected = (protection - accrued - dirtyPvMod) / ((double)LEGAL_ENTITIES.size());
assertEquals(computed.Currency, USD);
assertTrue(computed.Amounts.size() == 1);
assertEquals(computed.Amounts.get(INDEX_ID), expected, NOTIONAL * TOL);
}
public virtual void test_accruedYearFraction()
{
double eps = 1.0e-15;
ResolvedCdsIndex test = ResolvedCdsIndex.builder().buySell(BUY).dayCount(ACT_360).cdsIndexId(INDEX_ID).legalEntityIds(LEGAL_ENTITIES).paymentOnDefault(ACCRUED_PREMIUM).protectionStart(BEGINNING).paymentPeriods(PAYMENTS).protectionEndDate(PAYMENTS[PAYMENTS.Count - 1].EffectiveEndDate).settlementDateOffset(SETTLE_DAY_ADJ).stepinDateOffset(STEPIN_DAY_ADJ).build();
double accStart = test.accruedYearFraction(START_DATE.minusDays(1));
double accNextMinusOne = test.accruedYearFraction(START_DATE.plusMonths(3).minusDays(1));
double accNext = test.accruedYearFraction(START_DATE.plusMonths(3));
double accNextOne = test.accruedYearFraction(START_DATE.plusMonths(3).plusDays(1));
double accMod = test.accruedYearFraction(START_DATE.plusYears(1));
double accEnd = test.accruedYearFraction(END_DATE);
double accEndOne = test.accruedYearFraction(END_DATE.plusDays(1));
assertEquals(accStart, 0d);
assertEquals(accNext, 0d);
assertEquals(accNextMinusOne, ACT_360.relativeYearFraction(START_DATE, START_DATE.plusMonths(3).minusDays(1)), eps);
assertEquals(accNextOne, 1d / 360d, eps);
// 2.x
assertEquals(accMod, 0.24722222222222223, eps);
assertEquals(accEnd, 0.25555555555555554, eps);
assertEquals(accEndOne, 0.25833333333333336, eps);
}
