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_jumpToDefault()
{
JumpToDefault computed = PRICER.jumpToDefault(TRADE, RATES_PROVIDER, REF_DATA);
JumpToDefault expected = PRICER_PRODUCT.jumpToDefault(PRODUCT, RATES_PROVIDER, SETTLEMENT_DATE, REF_DATA);
assertEquals(computed, expected);
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the jump-to-default of the underlying product.
/// <para>
/// The jump-to-default is the value of the product in case of immediate default of a constituent single name.
/// </para>
/// <para>
/// Under the homogeneous pool assumption, the jump-to-default values are the same for all of the undefaulted names,
/// and zero for defaulted names. Thus the resulting object contains a single number.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="refData"> the reference data </param>
/// <returns> the recovery01 </returns>
public virtual JumpToDefault jumpToDefault(ResolvedCdsIndexTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)
{
LocalDate settlementDate = calculateSettlementDate(trade, ratesProvider, refData);
return(productPricer.jumpToDefault(trade.Product, ratesProvider, settlementDate, refData));
}