aggregationscenariodata.cpp

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/*
 Copyright (C) 2016 Quaternion Risk Management Ltd
 All rights reserved.
 
 This file is part of ORE, a free-software/open-source library
 for transparent pricing and risk analysis - http://opensourcerisk.org
 
 ORE is free software: you can redistribute it and/or modify it
 under the terms of the Modified BSD License.  You should have received a
 copy of the license along with this program.
 The license is also available online at <http://opensourcerisk.org>
 
 This program is distributed on the basis that it will form a useful
 contribution to risk analytics and model standardisation, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
 FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
*/
 
#include <boost/test/unit_test.hpp>
#include <orea/scenario/aggregationscenariodata.hpp>
#include <oret/toplevelfixture.hpp>
#include <test/oreatoplevelfixture.hpp>
 
using namespace ore::analytics;
using namespace boost::unit_test_framework;
 
BOOST_FIXTURE_TEST_SUITE(OREAnalyticsTestSuite, ore::test::OreaTopLevelFixture)
 
BOOST_AUTO_TEST_SUITE(AggregationScenarioDataTest)
 
BOOST_AUTO_TEST_CASE(testInMemoryAggregationScenarioData) {
    InMemoryAggregationScenarioData data(3, 5);
 
    // write data
    BOOST_CHECK_THROW(data.set(3, 0, 0.0, AggregationScenarioDataType::Generic, "blabla"), std::exception);
    BOOST_CHECK_THROW(data.set(0, 5, 0.0, AggregationScenarioDataType::Generic, "blabla"), std::exception);
 
    for (Size i = 0; i < 3; ++i) {
        for (Size j = 0; j < 5; ++j) {
            data.set(i, j, 0.0001 * i + 0.01 * j, AggregationScenarioDataType::IndexFixing, "OIS_EUR");
            data.set(i, j, 0.1 + 0.0001 * i + 0.01 * j, AggregationScenarioDataType::IndexFixing, "OIS_USD");
            data.set(i, j, 0.2 + 0.0001 * i + 0.01 * j, AggregationScenarioDataType::IndexFixing, "OIS_GBP");
            data.set(i, j, i + 0.1 * j, AggregationScenarioDataType::FXSpot, "EURUSD");
            data.set(i, j, 2.0 + i + 0.1 * j, AggregationScenarioDataType::FXSpot, "EURGBP");
        }
    }
 
    // read data
    BOOST_CHECK_THROW(data.get(3, 0, AggregationScenarioDataType::Generic, "blabla"), std::exception);
    BOOST_CHECK_THROW(data.get(0, 5, AggregationScenarioDataType::Generic, "blabla"), std::exception);
 
    Real tol = 1.0E-12;
 
    for (Size i = 0; i < 3; ++i) {
        for (Size j = 0; j < 5; ++j) {
            BOOST_CHECK_CLOSE(data.get(i, j, AggregationScenarioDataType::IndexFixing, "OIS_EUR"),
                              0.0001 * i + 0.01 * j, tol);
            BOOST_CHECK_CLOSE(data.get(i, j, AggregationScenarioDataType::IndexFixing, "OIS_USD"),
                              0.1 + 0.0001 * i + 0.01 * j, tol);
            BOOST_CHECK_CLOSE(data.get(i, j, AggregationScenarioDataType::IndexFixing, "OIS_GBP"),
                              0.2 + 0.0001 * i + 0.01 * j, tol);
            BOOST_CHECK_CLOSE(data.get(i, j, AggregationScenarioDataType::FXSpot, "EURUSD"), i + 0.1 * j, tol);
            BOOST_CHECK_CLOSE(data.get(i, j, AggregationScenarioDataType::FXSpot, "EURGBP"), 2.0 + i + 0.1 * j, tol);
        }
    }
}
 
BOOST_AUTO_TEST_SUITE_END()
 
BOOST_AUTO_TEST_SUITE_END()