public virtual void test_parSpread()
{
double computed = PRICER.parSpread(TRADE, RATES_PROVIDER, REF_DATA);
double expected = PRICER_PRODUCT.parSpread(PRODUCT, RATES_PROVIDER, SETTLEMENT_DATE, REF_DATA);
double computedMf = PRICER_MF.parSpread(TRADE_NO_SETTLE_DATE, RATES_PROVIDER, REF_DATA);
double expectedMf = PRICER_PRODUCT_MF.parSpread(PRODUCT, RATES_PROVIDER, SETTLEMENT_DATE, REF_DATA);
assertEquals(computed, expected, TOL);
assertEquals(computedMf, expectedMf, TOL);
}
/// <summary>
/// Converts points upfront to quoted spread.
/// <para>
/// Thus {@code quote} must be {@code CdsQuoteConvention.POINTS_UPFRONT}.
/// </para>
/// <para>
/// The relevant discount curve and recovery rate curve must be stored in {@code ratesProvider}.
/// The credit curve is internally calibrated to convert one quote type to the other quote type.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="quote"> the quote </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="refData"> the reference data </param>
/// <returns> the quote </returns>
public virtual CdsQuote quotedSpreadFromPointsUpfront(ResolvedCdsTrade trade, CdsQuote quote, CreditRatesProvider ratesProvider, ReferenceData refData)
{
ArgChecker.notNull(trade, "trade");
ArgChecker.notNull(quote, "quote");
ArgChecker.notNull(ratesProvider, "ratesProvider");
ArgChecker.notNull(refData, "refData");
ArgChecker.isTrue(quote.QuoteConvention.Equals(CdsQuoteConvention.POINTS_UPFRONT), "quote must be points upfront");
ResolvedCds product = trade.Product;
Currency currency = product.Currency;
StandardId legalEntityId = product.LegalEntityId;
LocalDate valuationDate = ratesProvider.ValuationDate;
NodalCurve creditCurve = calibrator.calibrate(ImmutableList.of(trade), DoubleArray.of(product.FixedRate), DoubleArray.of(quote.QuotedValue), CurveName.of("temp"), valuationDate, ratesProvider.discountFactors(currency), ratesProvider.recoveryRates(legalEntityId), refData);
CreditRatesProvider ratesProviderNew = ratesProvider.toImmutableCreditRatesProvider().toBuilder().creditCurves(ImmutableMap.of(Pair.of(legalEntityId, currency), LegalEntitySurvivalProbabilities.of(legalEntityId, IsdaCreditDiscountFactors.of(currency, valuationDate, creditCurve)))).build();
double sp = pricer.parSpread(trade, ratesProviderNew, refData);
return(CdsQuote.of(CdsQuoteConvention.QUOTED_SPREAD, sp));
}
protected internal virtual DoubleArray impliedSpread(IList <ResolvedCdsTrade> bucketCds, CreditRatesProvider ratesProvider, ReferenceData refData)
{
int size = bucketCds.Count;
return(DoubleArray.of(size, n => pricer.parSpread(bucketCds[n], ratesProvider, refData)));
}
