cds.cpp File Reference

#include <boost/make_shared.hpp>
#include <boost/test/unit_test.hpp>
#include <boost/test/data/test_case.hpp>
#include <ored/configuration/curveconfigurations.hpp>
#include <ored/marketdata/csvloader.hpp>
#include <ored/marketdata/loader.hpp>
#include <ored/marketdata/marketimpl.hpp>
#include <ored/marketdata/todaysmarket.hpp>
#include <ored/portfolio/builders/creditdefaultswap.hpp>
#include <ored/portfolio/creditdefaultswap.hpp>
#include <ored/portfolio/enginedata.hpp>
#include <ored/portfolio/envelope.hpp>
#include <ored/portfolio/legdata.hpp>
#include <ored/portfolio/portfolio.hpp>
#include <ored/portfolio/schedule.hpp>
#include <ored/utilities/indexparser.hpp>
#include <oret/datapaths.hpp>
#include <oret/toplevelfixture.hpp>
#include <ql/termstructures/credit/flathazardrate.hpp>
#include <ql/termstructures/volatility/swaption/swaptionconstantvol.hpp>
#include <ql/termstructures/yield/flatforward.hpp>
#include <ql/time/calendars/target.hpp>
#include <ql/time/daycounters/actualactual.hpp>
#include <ql/time/daycounters/simpledaycounter.hpp>

Go to the source code of this file.

Functions
	BOOST_DATA_TEST_CASE (testCreditDefaultSwap, bdata::make(marketInputs) ^ bdata::make(tradeInputs) ^ bdata::make(expNpvs), mkt, trd, exp)
	BOOST_DATA_TEST_CASE_F (TopLevelFixture, testCreditDefaultSwapBuilding, bdata::make(trades), trade)
ostream &	operator<< (ostream &os, const UpfrontFiles &upfrontFiles)
	BOOST_DATA_TEST_CASE (testUpfrontDefaultCurveConsistency, bdata::make(upfrontFiles), files)
	BOOST_AUTO_TEST_CASE (testUpfrontCurveBuildFailsIfNoRunningSpread)
	BOOST_AUTO_TEST_CASE (testSimultaneousUsageCdsQuoteTypes)

Variables
UpfrontFiles	upfrontFiles [] = {{"market.txt", "curveconfig.xml"}, {"market_rs.txt", "curveconfig_rs.xml"}}

Function Documentation

BOOST_DATA_TEST_CASE() [1/2]

BOOST_DATA_TEST_CASE	(	testCreditDefaultSwap	,
		bdata::make(marketInputs) ^ bdata::make(tradeInputs) ^ bdata::make(expNpvs)	,
		mkt	,
		trd	,
		exp
	)

Definition at line 231 of file cds.cpp.

                                    {
 
    BOOST_CHECK_CLOSE(cdsNpv(mkt, trd), exp, 0.01);
}

Here is the call graph for this function:

BOOST_DATA_TEST_CASE_F()

BOOST_DATA_TEST_CASE_F	(	TopLevelFixture	,
		testCreditDefaultSwapBuilding	,
		bdata::make(trades)	,
		trade
	)

Definition at line 237 of file cds.cpp.

                                                                                                 {
 
    BOOST_TEST_MESSAGE("Test the building of various CDS trades from XML");
 
    Settings::instance().evaluationDate() = Date(3, Feb, 2016);
 
    // Read in the trade
    Portfolio p;
    string portfolioFile = "trades/" + trade + ".xml";
    p.fromFile(TEST_INPUT_FILE(portfolioFile));
    BOOST_REQUIRE_MESSAGE(p.size() == 1, "Expected portfolio to contain a single trade");
 
    // Use the test market
    QuantLib::ext::shared_ptr<Market> market = QuantLib::ext::make_shared<TestMarket>(0.02, 0.4, 0.05);
 
    // Engine data
    QuantLib::ext::shared_ptr<EngineData> ed = QuantLib::ext::make_shared<EngineData>();
    ed->model("CreditDefaultSwap") = "DiscountedCashflows";
    ed->engine("CreditDefaultSwap") = "MidPointCdsEngine";
 
    // Test that the trade builds and prices without error
    QuantLib::ext::shared_ptr<EngineFactory> engineFactory = QuantLib::ext::make_shared<EngineFactory>(ed, market);
    BOOST_CHECK_NO_THROW(p.build(engineFactory));
    Real npv;
    BOOST_CHECK_NO_THROW(npv = p.trades().begin()->second->instrument()->NPV());
    BOOST_TEST_MESSAGE("CDS NPV is: " << npv);
}

Here is the call graph for this function:

operator<<()

ostream & operator<<	(	ostream &	os,
		const UpfrontFiles &	upfrontFiles
	)

Definition at line 271 of file cds.cpp.

                                                                   {
    return os << "[" << upfrontFiles.market << "," << upfrontFiles.curveConfig << "]";
}

BOOST_DATA_TEST_CASE() [2/2]

BOOST_DATA_TEST_CASE	(	testUpfrontDefaultCurveConsistency	,
		bdata::make(upfrontFiles)	,
		files
	)

Definition at line 280 of file cds.cpp.

                                                                                         {
 
    BOOST_TEST_MESSAGE("Testing upfront default curve consistency ...");
 
    Date asof(6, Nov, 2020);
    Settings::instance().evaluationDate() = asof;
    string dir("upfront");
    Real tol = 0.0001;
 
    TodaysMarketFiles tmf;
    tmf.market = files.market;
    tmf.curveConfig = files.curveConfig;
 
    QuantLib::ext::shared_ptr<TodaysMarket> tm;
    BOOST_REQUIRE_NO_THROW(tm = createTodaysMarket(asof, dir, tmf));
 
    QuantLib::ext::shared_ptr<EngineData> data = QuantLib::ext::make_shared<EngineData>();
    data->fromFile(TEST_INPUT_FILE(string(dir + "/pricingengine.xml")));
    QuantLib::ext::shared_ptr<EngineFactory> ef = QuantLib::ext::make_shared<EngineFactory>(data, tm);
 
    Portfolio portfolio;
    portfolio.fromFile(TEST_INPUT_FILE(string(dir + "/portfolio.xml")));
    portfolio.build(ef);
 
    for (const auto& [tradeId, trade] : portfolio.trades()) {
        auto npv = trade->instrument()->NPV();
        BOOST_TEST_CONTEXT("NPV of trade " << tradeId << " is " << fixed << setprecision(12) << npv) {
            BOOST_CHECK_SMALL(trade->instrument()->NPV(), tol);
        }
    }
}

Here is the call graph for this function:

BOOST_AUTO_TEST_CASE() [1/2]

BOOST_AUTO_TEST_CASE

(

testUpfrontCurveBuildFailsIfNoRunningSpread

)

Definition at line 312 of file cds.cpp.

                                                                  {
 
    BOOST_TEST_MESSAGE("Testing upfront failure when no running spread ...");
 
    TodaysMarketFiles tmf;
    tmf.curveConfig = "curveconfig_no_rs.xml";
 
    Date asof(6, Nov, 2020);
    Settings::instance().evaluationDate() = Date(6, Nov, 2020);
    BOOST_CHECK_THROW(createTodaysMarket(asof, "upfront", tmf), QuantLib::Error);
}

BOOST_AUTO_TEST_CASE() [2/2]

BOOST_AUTO_TEST_CASE

(

testSimultaneousUsageCdsQuoteTypes

)

Definition at line 324 of file cds.cpp.

                                                         {
 
    BOOST_TEST_MESSAGE("Testing different CDS quote types can be used together ...");
 
    TodaysMarketFiles tmf;
    tmf.todaysMarket = "todaysmarket_all_cds_quote_types.xml";
 
    Date asof(6, Nov, 2020);
    Settings::instance().evaluationDate() = Date(6, Nov, 2020);
 
    // Check that todaysmarket instance is created without error.
    QuantLib::ext::shared_ptr<TodaysMarket> tm;
    BOOST_CHECK_NO_THROW(tm = createTodaysMarket(asof, "upfront", tmf));
 
    // Check that each of the three expected curves exist and give survival probability.
    vector<string> curveNames = {
        "RED:8B69AP|SNRFOR|USD|CR-UPFRONT",
        "RED:8B69AP|SNRFOR|USD|CR-PAR_SPREAD",
        "RED:8B69AP|SNRFOR|USD|CR-CONV_SPREAD",
    };
 
    for (const string& curveName : curveNames) {
        BOOST_TEST_CONTEXT("Checking default curve " << curveName) {
            Handle<DefaultProbabilityTermStructure> dpts;
            BOOST_CHECK_NO_THROW(dpts = tm->defaultCurve(curveName)->curve());
            BOOST_CHECK_NO_THROW(dpts->survivalProbability(1.0));
        }
    }
}

Variable Documentation

upfrontFiles

UpfrontFiles upfrontFiles[] = {{"market.txt", "curveconfig.xml"}, {"market_rs.txt", "curveconfig_rs.xml"}}

Definition at line 275 of file cds.cpp.