C# (CSharp) com.opengamma.strata.pricer.credit IsdaCdsTradePricer.recovery01OnSettle示例

示例#1

文件： IsdaCdsTradePricerTest.cs 项目： ckarcz/Strata.ConvertedToCSharp

        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);
        }