cdsindexoption.cpp File Reference

#include <oret/toplevelfixture.hpp>
#include <boost/test/unit_test.hpp>
#include <oret/datapaths.hpp>
#include <ored/portfolio/builders/indexcreditdefaultswap.hpp>
#include <ored/portfolio/builders/indexcreditdefaultswapoption.hpp>
#include <ored/portfolio/indexcreditdefaultswap.hpp>
#include <ored/portfolio/indexcreditdefaultswapoption.hpp>
#include <ored/marketdata/csvloader.hpp>
#include <ored/marketdata/todaysmarket.hpp>
#include <ored/portfolio/enginedata.hpp>
#include <ored/portfolio/enginefactory.hpp>
#include <ored/portfolio/portfolio.hpp>
#include <ored/portfolio/referencedata.hpp>

Go to the source code of this file.

Functions
	BOOST_AUTO_TEST_CASE (testSpreadStrikeNoDefaultsIndexCurve)
	BOOST_AUTO_TEST_CASE (testSpreadStrikeNoDefaultsUnderlyingCurves)
	BOOST_AUTO_TEST_CASE (testPriceStrikeNoDefaultsIndexCurve)
	BOOST_AUTO_TEST_CASE (testPriceStrikeNoDefaultsUnderlyingCurves)

Function Documentation

BOOST_AUTO_TEST_CASE() [1/4]

BOOST_AUTO_TEST_CASE

(

testSpreadStrikeNoDefaultsIndexCurve

)

Definition at line 127 of file cdsindexoption.cpp.

                                                           {
    BOOST_TEST_MESSAGE("Testing pricing for spread strike, no existing defaults, using index curve ...");
    checkNpvs(buildPortfolio(Date(22, Apr, 2021), "cdx_ig_36_v1_2021-04-22_index"), 6.5);
}

BOOST_AUTO_TEST_CASE() [2/4]

BOOST_AUTO_TEST_CASE

(

testSpreadStrikeNoDefaultsUnderlyingCurves

)

Definition at line 132 of file cdsindexoption.cpp.

                                                                 {
    BOOST_TEST_MESSAGE("Testing pricing for spread strike, no existing defaults, using underlying curves ...");
    checkNpvs(buildPortfolio(Date(22, Apr, 2021), "cdx_ig_36_v1_2021-04-22_underlyings"), 12.0);
}

BOOST_AUTO_TEST_CASE() [3/4]

BOOST_AUTO_TEST_CASE

(

testPriceStrikeNoDefaultsIndexCurve

)

Definition at line 137 of file cdsindexoption.cpp.

                                                          {
    BOOST_TEST_MESSAGE("Testing pricing for price strike, no existing defaults, using index curve ...");
    checkNpvs(buildPortfolio(Date(22, Apr, 2021), "cdx_hy_36_v1_2021-04-22_index"), 10, 0.105);
}

BOOST_AUTO_TEST_CASE() [4/4]

BOOST_AUTO_TEST_CASE

(

testPriceStrikeNoDefaultsUnderlyingCurves

)

Definition at line 144 of file cdsindexoption.cpp.

                                                                {
    BOOST_TEST_MESSAGE("Testing pricing for price strike, no existing defaults, using underlying curves ...");
    checkNpvs(buildPortfolio(Date(22, Apr, 2021), "cdx_hy_36_v1_2021-04-22_underlyings"), 20, 0.25);
}