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_recovery01OnSettle()
{
CurrencyAmount computed = PRICER.recovery01OnSettle(TRADE, RATES_PROVIDER, REF_DATA);
CurrencyAmount expected = PRICER_PRODUCT.recovery01(PRODUCT, RATES_PROVIDER, SETTLEMENT_DATE, REF_DATA);
CurrencyAmount computedMf = PRICER_MF.recovery01OnSettle(TRADE_NO_SETTLE_DATE, RATES_PROVIDER, REF_DATA);
CurrencyAmount expectedMf = PRICER_PRODUCT_MF.recovery01(PRODUCT, RATES_PROVIDER, SETTLEMENT_DATE, REF_DATA);
assertEquals(computed.Amount, expected.Amount, TOL);
assertEquals(computedMf.Amount, expectedMf.Amount, TOL);
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the recovery01 of the underlying product.
/// <para>
/// The recovery01 is defined as the present value sensitivity to the recovery rate.
/// Since the ISDA standard model requires the recovery rate to be constant throughout the lifetime of the CDS,
/// one currency amount is returned by this method.
/// </para>
/// <para>
/// This is computed based on the settlement date rather than the valuation date.
///
/// </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 CurrencyAmount recovery01OnSettle(ResolvedCdsIndexTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)
{
LocalDate settlementDate = calculateSettlementDate(trade, ratesProvider, refData);
return(productPricer.recovery01(trade.Product, ratesProvider, settlementDate, refData));
}