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_regression()
{
CurrencyAmount cleanPvOg = PRICER_OG.presentValue(PRODUCT, RATES_PROVIDER_SINGLE, SETTLEMENT_STD, CLEAN, REF_DATA);
assertEquals(cleanPvOg.Amount, -7305773.195876285, NOTIONAL * TOL);
assertEquals(cleanPvOg.Currency, USD);
CurrencyAmount dirtyPvOg = PRICER_OG.presentValue(PRODUCT, RATES_PROVIDER_SINGLE, SETTLEMENT_STD, DIRTY, REF_DATA);
assertEquals(dirtyPvOg.Amount, -8051477.663230239, NOTIONAL * TOL);
assertEquals(dirtyPvOg.Currency, USD);
double cleanPriceOg = PRICER_OG.price(PRODUCT, RATES_PROVIDER_SINGLE, SETTLEMENT_STD, CLEAN, REF_DATA);
assertEquals(cleanPriceOg, -0.07619999999999996, TOL);
double dirtyPriceOg = PRICER_OG.price(PRODUCT, RATES_PROVIDER_SINGLE, SETTLEMENT_STD, DIRTY, REF_DATA);
assertEquals(dirtyPriceOg, -0.08397777777777776, TOL);
}
public virtual void test_price()
{
double computed = PRICER.price(TRADE, RATES_PROVIDER, PriceType.CLEAN, REF_DATA);
double expected = PRICER_PRODUCT.price(PRODUCT, RATES_PROVIDER, SETTLEMENT_DATE, PriceType.CLEAN, REF_DATA);
double computedMf = PRICER_MF.price(TRADE_NO_SETTLE_DATE, RATES_PROVIDER, PriceType.CLEAN, REF_DATA);
double expectedMf = PRICER_PRODUCT_MF.price(PRODUCT, RATES_PROVIDER, SETTLEMENT_DATE, PriceType.CLEAN, REF_DATA);
assertEquals(computed, expected, TOL);
assertEquals(computedMf, expectedMf, TOL);
}
public virtual void priceSensitivityTest()
{
PointSensitivityBuilder point = PRICER.priceSensitivity(PRODUCT, RATES_PROVIDER, SETTLEMENT_STD, REF_DATA);
CurrencyParameterSensitivities res = RATES_PROVIDER.parameterSensitivity(point.build());
CurrencyParameterSensitivities exp = CALC_FD.sensitivity(RATES_PROVIDER, p => CurrencyAmount.of(USD, PRICER.price(PRODUCT, p, SETTLEMENT_STD, CLEAN, REF_DATA)));
equalWithRelativeTolerance(res, exp, NOTIONAL * EPS);
PointSensitivityBuilder pointMarkit = PRICER_MARKIT.priceSensitivity(PRODUCT, RATES_PROVIDER, SETTLEMENT_STD, REF_DATA);
CurrencyParameterSensitivities resMarkit = RATES_PROVIDER.parameterSensitivity(pointMarkit.build());
CurrencyParameterSensitivities expMarkit = CALC_FD.sensitivity(RATES_PROVIDER, p => CurrencyAmount.of(USD, PRICER_MARKIT.price(PRODUCT, p, SETTLEMENT_STD, CLEAN, REF_DATA)));
equalWithRelativeTolerance(resMarkit, expMarkit, NOTIONAL * EPS);
PointSensitivityBuilder pointOg = PRICER_OG.priceSensitivity(PRODUCT, RATES_PROVIDER, SETTLEMENT_STD, REF_DATA);
CurrencyParameterSensitivities resOg = RATES_PROVIDER.parameterSensitivity(pointOg.build());
CurrencyParameterSensitivities expOg = CALC_FD.sensitivity(RATES_PROVIDER, p => CurrencyAmount.of(USD, PRICER_OG.price(PRODUCT, p, SETTLEMENT_STD, CLEAN, REF_DATA)));
equalWithRelativeTolerance(resOg, expOg, NOTIONAL * EPS);
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the price of the underlying product, which is the present value per unit notional.
/// <para>
/// This method can calculate the clean or dirty price, see <seealso cref="PriceType"/>.
/// If calculating the clean price, the accrued interest is calculated based on the step-in date.
/// </para>
/// <para>
/// This is coherent to <seealso cref="#presentValueOnSettle(ResolvedCdsIndexTrade, CreditRatesProvider, PriceType, ReferenceData)"/>.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="priceType"> the price type </param>
/// <param name="refData"> the reference data </param>
/// <returns> the price </returns>
public virtual double price(ResolvedCdsIndexTrade trade, CreditRatesProvider ratesProvider, PriceType priceType, ReferenceData refData)
{
LocalDate settlementDate = calculateSettlementDate(trade, ratesProvider, refData);
return(productPricer.price(trade.Product, ratesProvider, settlementDate, priceType, refData));
}