public void testCdsSlippageTable()
{
var spreadBps = O.list(double.NegativeInfinity, -1.0, 0.0, 50.0, 100.0, 125.0, 500.0, 1000.0, 1200.0, double.PositiveInfinity);
var expectedSlippages = O.list(3.0, 3.0, 3.0, 6.5, 10.0, 10.8333, 20.0, 30.0, 30.0, 30.0);
O.each(spreadBps, expectedSlippages,
(bp, slippage) => AlmostEqual(slippage, CdsSlippageTable.slippageInBps(bp), 0.0001));
}
public override double slippage()
{
var bpSlippage = CdsSlippageTable.slippageInBps(spreads[0] * 10000);
if (!dv01.hasContent())
{
return(1000);
}
return(bpSlippage * dv01[0]);
}
