calendaradjustment.cpp File Reference

#include <algorithm>
#include <boost/test/unit_test.hpp>
#include <boost/test/data/test_case.hpp>
#include <ored/marketdata/csvloader.hpp>
#include <ored/utilities/calendaradjustmentconfig.hpp>
#include <ored/utilities/csvfilereader.hpp>
#include <ored/utilities/parsers.hpp>
#include <ored/utilities/to_string.hpp>
#include <oret/datapaths.hpp>
#include <oret/toplevelfixture.hpp>
#include <ql/time/date.hpp>
#include <string>

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Functions
	BOOST_AUTO_TEST_CASE (testCalendarAdjustmentRealCalendars)
	BOOST_AUTO_TEST_CASE (testCalendarAdjustment)
	BOOST_AUTO_TEST_CASE (testInvalidCalendarAdjustment)

Function Documentation

BOOST_AUTO_TEST_CASE() [1/3]

BOOST_AUTO_TEST_CASE

(

testCalendarAdjustmentRealCalendars

)

Definition at line 105 of file calendaradjustment.cpp.

                                                          {
    // loop over expected holidays, for each calendar call parseCalendar()
    // and check that the holidays match the expected ones
    for (auto expectedHolidays : loadExpectedHolidays()) {
        vector<Date> qcalHols;
        qcalHols = parseCalendar(expectedHolidays.calendarName).holidayList(startDate, endDate, false);
        BOOST_CHECK_EQUAL_COLLECTIONS(qcalHols.begin(), qcalHols.end(), expectedHolidays.holidays.begin(),
                                      expectedHolidays.holidays.end());
    }
}

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BOOST_AUTO_TEST_CASE() [2/3]

BOOST_AUTO_TEST_CASE

(

testCalendarAdjustment

)

Definition at line 116 of file calendaradjustment.cpp.

                                             {
    BOOST_TEST_MESSAGE("Testing calendar adjustments...");
 
    CalendarAdjustmentConfig cac;
    CalendarAdjustmentConfig cacad;
    BOOST_REQUIRE(cac.getCalendars().empty());
 
    // adding UK holiday not in Quantlib calendar
    cac.addHolidays("UK", Date(29, April, 2011));
    // Checking that we get it back
    // Note getCalenders get the quantlib name
    BOOST_REQUIRE(cac.getCalendars() == set<string>({"UK settlement"}));
 
    BOOST_REQUIRE(cac.getHolidays("UK") == set<Date>({Date(29, April, 2011)}));
    BOOST_REQUIRE(cac.getBusinessDays("UK").empty());
 
    cac.addBusinessDays("UK", Date(25, December, 2011));
    BOOST_REQUIRE(cac.getBusinessDays("UK") == set<Date>({Date(25, December, 2011)}));
    cac.addHolidays("UK", Date(25, December, 2011));
 
    cacad.addHolidays("JPY", Date(1, May, 2019));
    cac.append(cacad);
    set<string> expcal = {"Japan", "UK settlement"};
    set<string> res = {cac.getCalendars()};
    BOOST_CHECK_EQUAL_COLLECTIONS(res.begin(), res.end(), expcal.begin(), expcal.end());
    BOOST_REQUIRE(cac.getHolidays("JPY") == set<Date>({Date(1, May, 2019)}));
}

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BOOST_AUTO_TEST_CASE() [3/3]

BOOST_AUTO_TEST_CASE

(

testInvalidCalendarAdjustment

)

Definition at line 144 of file calendaradjustment.cpp.

                                                    {
    BOOST_TEST_MESSAGE("Testing that incorrect CalendarAdjustments are not accepted...");
 
    // we check that new calendars can't be declared using another new calendar as a base
    CalendarAdjustmentConfig calendarAdjustments_1;
    BOOST_CHECK_THROW(calendarAdjustments_1.fromFile(TEST_INPUT_FILE("invalid_calendaradjustments_1.xml")), QuantLib::Error);
}

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