public virtual void test_consistency_singleName()
{
IsdaCreditCurveDefinition curveDefinition = IsdaCreditCurveDefinition.of(CURVE_NAME, EUR, VALUATION_DATE, ACT_365F, CURVE_NODES_PS, true, true);
LegalEntitySurvivalProbabilities creditCurveComputed = CALIBRATOR.calibrate(curveDefinition, MARKET_DATA_PS, RATES_PROVIDER, REF_DATA);
NodalCurve curveComputed = (NodalCurve)creditCurveComputed.SurvivalProbabilities.findData(CURVE_NAME).get();
double computedIndex = curveComputed.Metadata.getInfo(CurveInfoType.CDS_INDEX_FACTOR);
assertEquals(computedIndex, 93.0 / 97.0, TOL);
IsdaCompliantCreditCurveCalibrator cdsCalibrator = FastCreditCurveCalibrator.standard();
IList <CdsIsdaCreditCurveNode> cdsNodes = new List <CdsIsdaCreditCurveNode>();
for (int i = 0; i < CURVE_NODES_PS.size(); ++i)
{
cdsNodes.Add(CdsIsdaCreditCurveNode.ofParSpread(CURVE_NODES_PS.get(i).Template, CURVE_NODES_PS.get(i).ObservableId, CURVE_NODES_PS.get(i).CdsIndexId));
ParameterMetadata metadata = curveComputed.getParameterMetadata(i);
assertTrue(metadata is ResolvedTradeParameterMetadata);
ResolvedTradeParameterMetadata tradeMetadata = (ResolvedTradeParameterMetadata)metadata;
assertTrue(tradeMetadata.Trade is ResolvedCdsIndexTrade);
}
IsdaCreditCurveDefinition cdsCurveDefinition = IsdaCreditCurveDefinition.of(CURVE_NAME, EUR, VALUATION_DATE, ACT_365F, cdsNodes, true, false);
LegalEntitySurvivalProbabilities creditCurveExpected = cdsCalibrator.calibrate(cdsCurveDefinition, MARKET_DATA_PS, RATES_PROVIDER, REF_DATA);
NodalCurve curveExpected = (NodalCurve)creditCurveExpected.SurvivalProbabilities.findData(CURVE_NAME).get();
assertTrue(DoubleArrayMath.fuzzyEquals(curveComputed.XValues.toArray(), curveExpected.XValues.toArray(), TOL));
assertTrue(DoubleArrayMath.fuzzyEquals(curveComputed.YValues.toArray(), curveExpected.YValues.toArray(), TOL));
assertEquals(curveComputed.Metadata.getInfo(CurveInfoType.JACOBIAN), curveExpected.Metadata.getInfo(CurveInfoType.JACOBIAN));
}
//-------------------------------------------------------------------------
/// <summary>
/// The default constructor.
/// <para>
/// The original ISDA accrual-on-default formula (version 1.8.2 and lower) is used.
/// </para>
/// </summary>
public CdsMarketQuoteConverter()
{
this.calibrator = FastCreditCurveCalibrator.standard();
this.pricer = IsdaCdsTradePricer.DEFAULT;
}