public virtual void test_parSpread() { double spread = PRICER.parSpread(FWD, PROVIDER); ResolvedFxSingle fwdSp = ResolvedFxSingle.of(CurrencyAmount.of(USD, NOMINAL_USD), FxRate.of(USD, KRW, FX_RATE + spread), PAYMENT_DATE); MultiCurrencyAmount pv = PRICER.presentValue(fwdSp, PROVIDER); assertEquals(pv.convertedTo(USD, PROVIDER).Amount, 0d, NOMINAL_USD * TOL); }
public virtual void test_parSpread() { assertEquals(TRADE_PRICER.parSpread(TRADE, PROVIDER), PRODUCT_PRICER.parSpread(PRODUCT, PROVIDER)); }
//------------------------------------------------------------------------- /// <summary> /// Calculates the par spread. /// <para> /// This is the spread that should be added to the FX points to have a zero value. /// /// </para> /// </summary> /// <param name="trade"> the trade </param> /// <param name="provider"> the rates provider </param> /// <returns> the spread </returns> public virtual double parSpread(ResolvedFxSingleTrade trade, RatesProvider provider) { return(productPricer.parSpread(trade.Product, provider)); }