/**
* Get the RPV01 of the premium leg - i.e. the value of the leg per point of spread (expressed as
* a fraction, so 1bs is 0.0001)
*
* <p>This exists to duplicate the function of the same name from PresentValueCreditDefaultSwap.
* <b>Note</b> this version agrees with the ISDA c library.
*
* @param valuationDate The valuation date - this is taken to be the same as today
* @param cds Description of the CDS
* @param yieldCurve The discount curve
* @param hazardRateCurve The survival curve
* @param priceType Clean or dirty
* @return The RPV01 of the premium leg
* @deprecated use calculateRPV01
*/
@Deprecated
public double calculatePremiumLeg(
final ZonedDateTime valuationDate,
final CreditDefaultSwapDefinition cds,
final ISDADateCurve yieldCurve,
final HazardRateCurve hazardRateCurve,
final PriceType priceType) {
ArgumentChecker.notNull(valuationDate, "null valuationDate");
ArgumentChecker.notNull(cds, "null cds");
ArgumentChecker.notNull(yieldCurve, "null yieldCurve");
ArgumentChecker.notNull(hazardRateCurve, "null hazardRateCurve");
ArgumentChecker.notNull(priceType, "null priceType");
final LocalDate valueDate = valuationDate.toLocalDate();
final LocalDate today = valueDate;
final LocalDate stepinDate = cds.getEffectiveDate().toLocalDate();
final LocalDate startDate = cds.getStartDate().toLocalDate();
final LocalDate endDate = cds.getMaturityDate().toLocalDate();
return cds.getNotional()
* pvPremiumLegPerUnitSpread(
today,
stepinDate,
valueDate,
startDate,
endDate,
cds.getIncludeAccruedPremium(),
cds.getCouponFrequency().getPeriod(),
cds.getStubType(),
ISDACompliantDateYieldCurve.fromISDADateCurve(yieldCurve),
ISDACompliantDateCreditCurve.fromHazardRateCurve(hazardRateCurve),
cds.getProtectionStart(),
priceType);
}
