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_presentValue()
{
CurrencyAmount computed = PRICER.presentValue(TRADE, RATES_PROVIDER, PriceType.CLEAN, REF_DATA);
CurrencyAmount expected = PRICER_PRODUCT.presentValue(PRODUCT, RATES_PROVIDER, VALUATION_DATE, PriceType.CLEAN, REF_DATA).plus(PRICER_PAYMENT.presentValue(UPFRONT, YIELD_CRVE.toDiscountFactors()));
CurrencyAmount computedMf = PRICER_MF.presentValue(TRADE_NO_SETTLE_DATE, RATES_PROVIDER, PriceType.CLEAN, REF_DATA);
CurrencyAmount expectedMf = PRICER_PRODUCT_MF.presentValue(PRODUCT, RATES_PROVIDER, VALUATION_DATE, PriceType.CLEAN, REF_DATA);
assertEquals(computed.Amount, expected.Amount, TOL);
assertEquals(computedMf.Amount, expectedMf.Amount, TOL);
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the present value of the trade.
/// <para>
/// The present value of the product is based on the valuation date.
/// </para>
/// <para>
/// This method can calculate the clean or dirty present value, see <seealso cref="PriceType"/>.
/// If calculating the clean value, the accrued interest is calculated based on the step-in date.
///
/// </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 CurrencyAmount presentValue(ResolvedCdsIndexTrade trade, CreditRatesProvider ratesProvider, PriceType priceType, ReferenceData refData)
{
CurrencyAmount pvProduct = productPricer.presentValue(trade.Product, ratesProvider, ratesProvider.ValuationDate, priceType, refData);
if (!trade.UpfrontFee.Present)
{
return(pvProduct);
}
Payment upfront = trade.UpfrontFee.get();
CurrencyAmount pvUpfront = upfrontPricer.presentValue(upfront, ratesProvider.discountFactors(upfront.Currency).toDiscountFactors());
return(pvProduct.plus(pvUpfront));
}
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 pvSensitivityTest()
{
PointSensitivityBuilder point = PRICER.presentValueSensitivity(PRODUCT, RATES_PROVIDER, SETTLEMENT_STD, REF_DATA);
CurrencyParameterSensitivities res = RATES_PROVIDER.parameterSensitivity(point.build());
CurrencyParameterSensitivities exp = CALC_FD.sensitivity(RATES_PROVIDER, p => PRICER.presentValue(PRODUCT, p, SETTLEMENT_STD, CLEAN, REF_DATA));
equalWithRelativeTolerance(res, exp, NOTIONAL * EPS);
PointSensitivityBuilder pointMarkit = PRICER_MARKIT.presentValueSensitivity(PRODUCT, RATES_PROVIDER, SETTLEMENT_STD, REF_DATA);
CurrencyParameterSensitivities resMarkit = RATES_PROVIDER.parameterSensitivity(pointMarkit.build());
CurrencyParameterSensitivities expMarkit = CALC_FD.sensitivity(RATES_PROVIDER, p => PRICER_MARKIT.presentValue(PRODUCT, p, SETTLEMENT_STD, CLEAN, REF_DATA));
equalWithRelativeTolerance(resMarkit, expMarkit, NOTIONAL * EPS);
PointSensitivityBuilder pointOg = PRICER_OG.presentValueSensitivity(PRODUCT, RATES_PROVIDER, SETTLEMENT_STD, REF_DATA);
CurrencyParameterSensitivities resOg = RATES_PROVIDER.parameterSensitivity(pointOg.build());
CurrencyParameterSensitivities expOg = CALC_FD.sensitivity(RATES_PROVIDER, p => PRICER_OG.presentValue(PRODUCT, p, SETTLEMENT_STD, CLEAN, REF_DATA));
equalWithRelativeTolerance(resOg, expOg, NOTIONAL * EPS);
}