ccyswapwithresets.cpp File Reference

#include <boost/make_shared.hpp>
#include <boost/test/unit_test.hpp>
#include <ored/marketdata/marketimpl.hpp>
#include <ored/portfolio/builders/swap.hpp>
#include <ored/portfolio/enginedata.hpp>
#include <ored/portfolio/portfolio.hpp>
#include <ored/portfolio/swap.hpp>
#include <ored/utilities/indexparser.hpp>
#include <ored/utilities/log.hpp>
#include <oret/toplevelfixture.hpp>
#include <ql/termstructures/yield/discountcurve.hpp>
#include <ql/time/calendars/target.hpp>
#include <ql/time/calendars/unitedstates.hpp>
#include <ql/time/daycounters/actual360.hpp>

Go to the source code of this file.

Functions
	BOOST_AUTO_TEST_CASE (testCcySwapWithResetsPrice)

Function Documentation

BOOST_AUTO_TEST_CASE()

BOOST_AUTO_TEST_CASE

(

testCcySwapWithResetsPrice

)

Definition at line 131 of file ccyswapwithresets.cpp.

                                                 {
 
    BOOST_TEST_MESSAGE("Testing CcySwapWithResets Price...");
 
    // Bloomberg CCYswap and CCYswapReset prices (in USD)
    Real npvCCYswap = -349.69;
    Real npvCCYswapReset = 0;
 
    // build market
    QuantLib::ext::shared_ptr<Market> market = QuantLib::ext::make_shared<TestMarket>();
    Settings::instance().evaluationDate() = market->asofDate();
 
    // test asof date
    Date today = market->asofDate();
    BOOST_CHECK_EQUAL(today, Date(22, Aug, 2016));
 
    // Test if EUR discount curve is empty
    Handle<YieldTermStructure> dts = market->discountCurve("EUR");
    QL_REQUIRE(!dts.empty(), "EUR discount curve not found");
 
    // Test EUR discount(today+3*Years)) against base value
    BOOST_CHECK_CLOSE(market->discountCurve("EUR")->discount(today + 3 * Years), 1.006005, 0.0001);
 
    // Test USD discount(today+3*Years)) against base value
    BOOST_CHECK_CLOSE(market->discountCurve("USD")->discount(today + 3 * Years), 0.96908, 0.0001);
 
    // Test EURUSD fx spot object against base value
    BOOST_CHECK_EQUAL(market->fxSpot("EURUSD")->value(), 1.1306);
 
    // envelope
    Envelope env("CP");
 
    // Start/End date
    Date startDate = today;
    Date endDate = today + 5 * Years;
 
    // date 2 string
    std::ostringstream oss;
    oss << io::iso_date(startDate);
    string start(oss.str());
    oss.str("");
    oss.clear();
    oss << io::iso_date(endDate);
    string end(oss.str());
 
    // Schedules
    string conv = "MF";
    string rule = "Forward";
    ScheduleData scheduleEUR(ScheduleRules(start, end, "6M", "TARGET", conv, conv, rule));
    ScheduleData scheduleUSD(ScheduleRules(start, end, "3M", "US", conv, conv, rule));
 
    // EUR Leg without and with Notional resets
    bool isPayerEUR = true;
    string indexEUR = "EUR-EURIBOR-6M";
    bool isInArrears = false;
    int days = 2;
    vector<Real> spreadEUR(1, 0.000261);
    string dc = "ACT/360";
    vector<Real> notionalEUR(1, 8833141.95);
    string paymentConvention = "F";
    bool notionalInitialXNL = true;
    bool notionalFinalXNL = true;
    bool notionalAmortizingXNL = false;
    string foreignCCY = "USD";
    Real foreignAmount = 10000000;
    string fxIndex = "FX-ECB-EUR-USD";
    auto legdataEUR = QuantLib::ext::make_shared<FloatingLegData>(indexEUR, days, isInArrears, spreadEUR);
    LegData legEUR1(legdataEUR, isPayerEUR, "EUR", scheduleEUR, dc, notionalEUR, vector<string>(), paymentConvention,
                    notionalInitialXNL, notionalFinalXNL, notionalAmortizingXNL, notionalFinalXNL, foreignCCY,
                    foreignAmount, fxIndex);
    LegData legEUR2(legdataEUR, isPayerEUR, "EUR", scheduleEUR, dc, notionalEUR, vector<string>(), paymentConvention,
                    notionalInitialXNL, notionalFinalXNL, notionalAmortizingXNL, false, foreignCCY, foreignAmount,
                    fxIndex);
 
    // USD Leg without notional resets
    bool isPayerUSD = false;
    string indexUSD = "USD-LIBOR-3M";
    vector<Real> spreadUSD(1, 0);
    vector<Real> notionalUSD(1, 10000000);
    auto legdataUSD = QuantLib::ext::make_shared<FloatingLegData>(indexUSD, days, isInArrears, spreadUSD);
    LegData legUSD(legdataUSD, isPayerUSD, "USD", scheduleUSD, dc, notionalUSD, vector<string>(), paymentConvention,
                   notionalInitialXNL, notionalFinalXNL, notionalAmortizingXNL);
 
    // Build swap trades
    QuantLib::ext::shared_ptr<Trade> swap1(new ore::data::Swap(env, legUSD, legEUR1));
    QuantLib::ext::shared_ptr<Trade> swap2(new ore::data::Swap(env, legUSD, legEUR2));
 
    // engine data and factory
    QuantLib::ext::shared_ptr<EngineData> engineData = QuantLib::ext::make_shared<EngineData>();
    engineData->model("CrossCurrencySwap") = "DiscountedCashflows";
    engineData->engine("CrossCurrencySwap") = "DiscountingCrossCurrencySwapEngine";
    QuantLib::ext::shared_ptr<EngineFactory> engineFactory = QuantLib::ext::make_shared<EngineFactory>(engineData, market);
 
    // build swaps and portfolio
    QuantLib::ext::shared_ptr<Portfolio> portfolio(new Portfolio());
    swap1->id() = "XCCY_Swap_EUR_USD";
    swap2->id() = "XCCY_Swap_EUR_USD_RESET";
 
    portfolio->add(swap1);
    portfolio->add(swap2);
    portfolio->build(engineFactory);
 
    // check CCYswap NPV
    BOOST_TEST_MESSAGE("CcySwap Price = " << swap1->instrument()->NPV() << " " << swap1->npvCurrency()
                                          << ". BBG Price = " << npvCCYswap << " USD");
    // check if difference between ore and bbg NPV does not exceed 250 USD (on 10M notional)
    BOOST_CHECK_CLOSE(std::abs(swap1->instrument()->NPV() - npvCCYswap), 250, 5);
 
    // check CCYswapReset NPV
    BOOST_TEST_MESSAGE("CcySwapReset Price = " << swap2->instrument()->NPV() << " " << swap2->npvCurrency()
                                               << ". BBG Price = " << npvCCYswapReset << " USD");
    // check if difference between ore and bbg NPV does not exceed 250 USD (on 10M notional)
    BOOST_CHECK_CLOSE(std::abs(swap2->instrument()->NPV() - npvCCYswapReset), 250, 5);
 
    // check if sum(XNL) on resetting leg is zero
    Real sumXNL = 0;
    const vector<Leg>& legs = swap2->legs();
    for (Size i = 3; i < legs.size(); i++) {
        const QuantLib::Leg& leg = legs[i];
        for (Size j = 0; j < leg.size(); j++) {
            QuantLib::ext::shared_ptr<QuantLib::CashFlow> ptrFlow = leg[j];
            sumXNL += ptrFlow->amount();
        }
    }
    BOOST_CHECK_EQUAL(sumXNL, 0);
}