scenariosimmarket.cpp File Reference

#include <boost/test/unit_test.hpp>
#include <orea/scenario/scenariosimmarket.hpp>
#include <orea/scenario/scenariosimmarketparameters.hpp>
#include <ored/configuration/conventions.hpp>
#include <ored/marketdata/market.hpp>
#include <ored/marketdata/marketimpl.hpp>
#include <ored/utilities/log.hpp>
#include <oret/toplevelfixture.hpp>
#include <ql/termstructures/credit/flathazardrate.hpp>
#include <ql/termstructures/volatility/capfloor/constantcapfloortermvol.hpp>
#include <ql/termstructures/volatility/equityfx/blackconstantvol.hpp>
#include <ql/termstructures/volatility/swaption/swaptionconstantvol.hpp>
#include <ql/termstructures/yield/flatforward.hpp>
#include <ql/time/daycounters/actualactual.hpp>
#include <test/oreatoplevelfixture.hpp>
#include "testmarket.hpp"
#include <ql/indexes/ibor/all.hpp>

Go to the source code of this file.

Functions
void	testFxSpot (QuantLib::ext::shared_ptr< ore::data::Market > &initMarket, QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarket > &simMarket, QuantLib::ext::shared_ptr< analytics::ScenarioSimMarketParameters > &parameters)
void	testDiscountCurve (QuantLib::ext::shared_ptr< ore::data::Market > &initMarket, QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarket > &simMarket, QuantLib::ext::shared_ptr< analytics::ScenarioSimMarketParameters > &parameters)
void	testIndexCurve (QuantLib::ext::shared_ptr< ore::data::Market > &initMarket, QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarket > &simMarket, QuantLib::ext::shared_ptr< analytics::ScenarioSimMarketParameters > &parameters)
void	testSwaptionVolCurve (QuantLib::ext::shared_ptr< ore::data::Market > &initMarket, QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarket > &simMarket, QuantLib::ext::shared_ptr< analytics::ScenarioSimMarketParameters > &parameters)
void	testFxVolCurve (QuantLib::ext::shared_ptr< data::Market > &initMarket, QuantLib::ext::shared_ptr< analytics::ScenarioSimMarket > &simMarket, QuantLib::ext::shared_ptr< analytics::ScenarioSimMarketParameters > &parameters)
void	testDefaultCurve (QuantLib::ext::shared_ptr< ore::data::Market > &initMarket, QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarket > &simMarket, QuantLib::ext::shared_ptr< analytics::ScenarioSimMarketParameters > &parameters)
void	testZeroInflationCurve (QuantLib::ext::shared_ptr< ore::data::Market > &initMarket, QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarket > &simMarket, QuantLib::ext::shared_ptr< analytics::ScenarioSimMarketParameters > &parameters)
void	testCorrelationCurve (QuantLib::ext::shared_ptr< ore::data::Market > &initMarket, QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarket > &simMarket, QuantLib::ext::shared_ptr< analytics::ScenarioSimMarketParameters > &parameters)
void	testToXML (QuantLib::ext::shared_ptr< analytics::ScenarioSimMarketParameters > params)
	BOOST_AUTO_TEST_CASE (testScenarioSimMarket)

Function Documentation

testFxSpot()

void testFxSpot	(	QuantLib::ext::shared_ptr< ore::data::Market > &	initMarket,
		QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarket > &	simMarket,
		QuantLib::ext::shared_ptr< analytics::ScenarioSimMarketParameters > &	parameters
	)

Definition at line 101 of file scenariosimmarket.cpp.

                                                                                         {
 
    for (const auto& ccy : parameters->ccys()) {
        if (ccy != parameters->baseCcy()) {
            string ccyPair(parameters->baseCcy() + ccy);
            string ccyReverse(ccy + parameters->baseCcy());
 
            Handle<Quote> fx_sim = simMarket->fxSpot(ccyPair);
            Handle<Quote> fx_init = initMarket->fxSpot(ccyPair);
            if (fx_sim.empty())
                BOOST_FAIL("fx_sim handle is empty");
            if (fx_init.empty())
                BOOST_FAIL("fx_init handle is empty");
 
            BOOST_CHECK_CLOSE(fx_init->value(), fx_sim->value(), 1e-12);
 
            fx_sim = simMarket->fxSpot(ccyReverse);
            fx_init = initMarket->fxSpot(ccyReverse);
            if (fx_sim.empty())
                BOOST_FAIL("fx_sim handle is empty");
            if (fx_init.empty())
                BOOST_FAIL("fx_init handle is empty");
 
            BOOST_CHECK_CLOSE(fx_init->value(), fx_sim->value(), 1e-12);
        }
    }
}

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testDiscountCurve()

void testDiscountCurve	(	QuantLib::ext::shared_ptr< ore::data::Market > &	initMarket,
		QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarket > &	simMarket,
		QuantLib::ext::shared_ptr< analytics::ScenarioSimMarketParameters > &	parameters
	)

Definition at line 131 of file scenariosimmarket.cpp.

                                                                                                {
 
    for (const auto& ccy : parameters->ccys()) {
        Handle<YieldTermStructure> simCurve = simMarket->discountCurve(ccy);
        Handle<YieldTermStructure> initCurve = initMarket->discountCurve(ccy);
 
        BOOST_CHECK_CLOSE(simCurve->discount(0.5), initCurve->discount(0.5), 1e-12);
    }
}

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testIndexCurve()

void testIndexCurve	(	QuantLib::ext::shared_ptr< ore::data::Market > &	initMarket,
		QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarket > &	simMarket,
		QuantLib::ext::shared_ptr< analytics::ScenarioSimMarketParameters > &	parameters
	)

Definition at line 143 of file scenariosimmarket.cpp.

                                                                                             {
 
    for (const auto& ind : parameters->indices()) {
        Handle<YieldTermStructure> simCurve = simMarket->iborIndex(ind)->forwardingTermStructure();
        Handle<YieldTermStructure> initCurve = initMarket->iborIndex(ind)->forwardingTermStructure();
 
        BOOST_CHECK_CLOSE(simCurve->discount(1), initCurve->discount(1), 1e-4);
    }
}

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testSwaptionVolCurve()

void testSwaptionVolCurve	(	QuantLib::ext::shared_ptr< ore::data::Market > &	initMarket,
		QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarket > &	simMarket,
		QuantLib::ext::shared_ptr< analytics::ScenarioSimMarketParameters > &	parameters
	)

Definition at line 155 of file scenariosimmarket.cpp.

                                                                                                   {
    for (const auto& ccy : parameters->ccys()) {
        Handle<QuantLib::SwaptionVolatilityStructure> simCurve = simMarket->swaptionVol(ccy);
        Handle<QuantLib::SwaptionVolatilityStructure> initCurve = initMarket->swaptionVol(ccy);
        for (const auto& maturity : parameters->swapVolExpiries("")) {
            for (const auto& tenor : parameters->swapVolTerms("")) {
                BOOST_CHECK_CLOSE(simCurve->volatility(maturity, tenor, 0.0, true),
                                  initCurve->volatility(maturity, tenor, 0.0, true), 1e-12);
            }
        }
    }
}

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testFxVolCurve()

void testFxVolCurve	(	QuantLib::ext::shared_ptr< data::Market > &	initMarket,
		QuantLib::ext::shared_ptr< analytics::ScenarioSimMarket > &	simMarket,
		QuantLib::ext::shared_ptr< analytics::ScenarioSimMarketParameters > &	parameters
	)

Definition at line 170 of file scenariosimmarket.cpp.

                                                                                             {
    for (const auto& ccyPair : parameters->fxVolCcyPairs()) {
        Handle<BlackVolTermStructure> simCurve = simMarket->fxVol(ccyPair);
        Handle<BlackVolTermStructure> initCurve = initMarket->fxVol(ccyPair);
        vector<Date> dates;
        Date asof = initMarket->asofDate();
        for (Size i = 0; i < parameters->fxVolExpiries(ccyPair).size(); i++) {
            dates.push_back(asof + parameters->fxVolExpiries(ccyPair)[i]);
        }
 
        for (const auto& date : dates) {
            BOOST_CHECK_CLOSE(simCurve->blackVol(date, 0.0, true), initCurve->blackVol(date, 0.0, true), 1e-12);
        }
    }
}

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testDefaultCurve()

void testDefaultCurve	(	QuantLib::ext::shared_ptr< ore::data::Market > &	initMarket,
		QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarket > &	simMarket,
		QuantLib::ext::shared_ptr< analytics::ScenarioSimMarketParameters > &	parameters
	)

Definition at line 188 of file scenariosimmarket.cpp.

                                                                                               {
    for (const auto& spec : parameters->defaultNames()) {
 
        Handle<DefaultProbabilityTermStructure> simCurve = simMarket->defaultCurve(spec)->curve();
        Handle<DefaultProbabilityTermStructure> initCurve = initMarket->defaultCurve(spec)->curve();
        BOOST_CHECK_EQUAL(initCurve->referenceDate(), simCurve->referenceDate());
        vector<Date> dates;
        Date asof = initMarket->asofDate();
        for (Size i = 0; i < parameters->defaultTenors("").size(); i++) {
            dates.push_back(asof + parameters->defaultTenors("")[i]);
        }
 
        for (const auto& date : dates) {
            BOOST_CHECK_CLOSE(simCurve->survivalProbability(date, true), initCurve->survivalProbability(date, true),
                              1e-12);
        }
    }
}

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testZeroInflationCurve()

void testZeroInflationCurve	(	QuantLib::ext::shared_ptr< ore::data::Market > &	initMarket,
		QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarket > &	simMarket,
		QuantLib::ext::shared_ptr< analytics::ScenarioSimMarketParameters > &	parameters
	)

Definition at line 209 of file scenariosimmarket.cpp.

                                                                                                     {
    for (const auto& spec : parameters->zeroInflationIndices()) {
 
        Handle<ZeroInflationTermStructure> simCurve = simMarket->zeroInflationIndex(spec)->zeroInflationTermStructure();
        Handle<ZeroInflationTermStructure> initCurve =
            initMarket->zeroInflationIndex(spec)->zeroInflationTermStructure();
        BOOST_CHECK_EQUAL(initCurve->referenceDate(), simCurve->referenceDate());
        vector<Date> dates;
        Date asof = initMarket->asofDate();
        for (Size i = 0; i < parameters->zeroInflationTenors("").size(); i++) {
            dates.push_back(asof + parameters->zeroInflationTenors("")[i]);
        }
 
        for (const auto& date : dates) {
            BOOST_CHECK_CLOSE(simCurve->zeroRate(date), initCurve->zeroRate(date), 1e-12);
        }
    }
}

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testCorrelationCurve()

void testCorrelationCurve	(	QuantLib::ext::shared_ptr< ore::data::Market > &	initMarket,
		QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarket > &	simMarket,
		QuantLib::ext::shared_ptr< analytics::ScenarioSimMarketParameters > &	parameters
	)

Definition at line 230 of file scenariosimmarket.cpp.

                                                                                                   {
    for (const auto& spec : parameters->correlationPairs()) {
        vector<string> tokens;
        boost::split(tokens, spec, boost::is_any_of(":&"));
        QL_REQUIRE(tokens.size() == 2, "not a valid correlation pair: " << spec);
        pair<string, string> pair = std::make_pair(tokens[0], tokens[1]);
        Handle<QuantExt::CorrelationTermStructure> simCurve = simMarket->correlationCurve(pair.first, pair.second);
        Handle<QuantExt::CorrelationTermStructure> initCurve = initMarket->correlationCurve(pair.first, pair.second);
        BOOST_CHECK_EQUAL(initCurve->referenceDate(), simCurve->referenceDate());
        vector<Date> dates;
        Date asof = initMarket->asofDate();
        for (Size i = 0; i < parameters->correlationExpiries().size(); i++) {
            dates.push_back(asof + parameters->correlationExpiries()[i]);
        }
 
        for (const auto& date : dates) {
            BOOST_CHECK_CLOSE(simCurve->correlation(date), initCurve->correlation(date), 1e-12);
        }
    }
}

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testToXML()

void testToXML

(

QuantLib::ext::shared_ptr< analytics::ScenarioSimMarketParameters >

params

)

Definition at line 253 of file scenariosimmarket.cpp.

                                                                                   {
 
    BOOST_TEST_MESSAGE("Testing to XML...");
    XMLDocument outDoc;
    string testFile = "simtest.xml";
    XMLNode* simulationNode = params->toXML(outDoc);
 
    outDoc.appendNode(simulationNode);
    outDoc.toFile(testFile);
 
    QuantLib::ext::shared_ptr<analytics::ScenarioSimMarketParameters> newParams(new analytics::ScenarioSimMarketParameters());
    newParams->fromFile(testFile);
    BOOST_CHECK(*params == *newParams);
 
    newParams->baseCcy() = "JPY";
    BOOST_CHECK(*params != *newParams);
 
    remove("simtest.xml");
}

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BOOST_AUTO_TEST_CASE()

BOOST_AUTO_TEST_CASE

(

testScenarioSimMarket

)

Definition at line 277 of file scenariosimmarket.cpp.

                                            {
    BOOST_TEST_MESSAGE("Testing OREAnalytics ScenarioSimMarket...");
 
    SavedSettings backup;
 
    Date today(20, Jan, 2015);
    Settings::instance().evaluationDate() = today;
    QuantLib::ext::shared_ptr<ore::data::Market> initMarket = QuantLib::ext::make_shared<TestMarket>(today);
 
    // Empty scenario generator
    QuantLib::ext::shared_ptr<ore::analytics::ScenarioGenerator> scenarioGenerator;
 
    // build scenario
    QuantLib::ext::shared_ptr<analytics::ScenarioSimMarketParameters> parameters = scenarioParameters();
    convs();
    // build scenario sim market
    QuantLib::ext::shared_ptr<analytics::ScenarioSimMarket> simMarket(
        new analytics::ScenarioSimMarket(initMarket, parameters));
    simMarket->scenarioGenerator() = scenarioGenerator;
 
    // test
    testFxSpot(initMarket, simMarket, parameters);
    testDiscountCurve(initMarket, simMarket, parameters);
    testIndexCurve(initMarket, simMarket, parameters);
    testSwaptionVolCurve(initMarket, simMarket, parameters);
    testFxVolCurve(initMarket, simMarket, parameters);
    testDefaultCurve(initMarket, simMarket, parameters);
    testZeroInflationCurve(initMarket, simMarket, parameters);
    testCorrelationCurve(initMarket, simMarket, parameters);
    testToXML(parameters);
}

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