compositewrapper.cpp File Reference

#include <boost/make_shared.hpp>
#include <boost/test/unit_test.hpp>
#include <ored/configuration/conventions.hpp>
#include <ored/marketdata/csvloader.hpp>
#include <ored/marketdata/todaysmarket.hpp>
#include <ored/portfolio/builders/fxbarrieroption.hpp>
#include <ored/portfolio/builders/fxdigitalbarrieroption.hpp>
#include <ored/portfolio/builders/fxdigitaloption.hpp>
#include <ored/portfolio/builders/fxdoublebarrieroption.hpp>
#include <ored/portfolio/builders/fxdoubletouchoption.hpp>
#include <ored/portfolio/builders/fxtouchoption.hpp>
#include <ored/portfolio/compositeinstrumentwrapper.hpp>
#include <ored/portfolio/enginefactory.hpp>
#include <ored/portfolio/fxbarrieroption.hpp>
#include <ored/portfolio/fxdigitalbarrieroption.hpp>
#include <ored/portfolio/fxdigitaloption.hpp>
#include <ored/portfolio/fxdoublebarrieroption.hpp>
#include <ored/portfolio/fxdoubletouchoption.hpp>
#include <ored/portfolio/fxkikobarrieroption.hpp>
#include <ored/portfolio/fxtouchoption.hpp>
#include <ored/portfolio/portfolio.hpp>
#include <ored/portfolio/tradefactory.hpp>
#include <oret/datapaths.hpp>
#include <oret/toplevelfixture.hpp>

Go to the source code of this file.

Functions
	BOOST_AUTO_TEST_CASE (testCompositeInstrumentWrapperPrice)

Function Documentation

BOOST_AUTO_TEST_CASE()

BOOST_AUTO_TEST_CASE

(

testCompositeInstrumentWrapperPrice

)

Definition at line 89 of file compositewrapper.cpp.

                                                          {
    CommonVars vars;
    QuantLib::ext::shared_ptr<CurveConfigurations> curveConfig = QuantLib::ext::make_shared<CurveConfigurations>();
    QuantLib::ext::shared_ptr<Conventions> conventions = QuantLib::ext::make_shared<Conventions>();
    QuantLib::ext::shared_ptr<TodaysMarketParameters> todaysMarketConfig = QuantLib::ext::make_shared<TodaysMarketParameters>();
    QuantLib::ext::shared_ptr<EngineData> pricingEngineConfig = QuantLib::ext::make_shared<EngineData>();
    QuantLib::ext::shared_ptr<Portfolio> portfolio = QuantLib::ext::make_shared<Portfolio>();
 
    loadFromXMLString(*curveConfig, vars.curveConfig);
    loadFromXMLString(*conventions, vars.conventions);
    InstrumentConventions::instance().setConventions(conventions);
 
    loadFromXMLString(*todaysMarketConfig, vars.todaysMarketConfig);
    loadFromXMLString(*pricingEngineConfig, vars.pricingEngineConfig);
 
    portfolio->fromXMLString(vars.portfolio);
 
    QuantLib::ext::shared_ptr<Market> market =
        QuantLib::ext::make_shared<TodaysMarket>(vars.asof, todaysMarketConfig, vars.loader, curveConfig, true);
    auto configurations = std::map<MarketContext, string>();
    QuantLib::ext::shared_ptr<EngineFactory> factory =
        QuantLib::ext::make_shared<EngineFactory>(pricingEngineConfig, market, configurations);
 
    BOOST_TEST_MESSAGE("number trades " << portfolio->size());
    portfolio->build(factory);
    BOOST_TEST_MESSAGE("number trades " << portfolio->size());
 
    Handle<Quote> fx = Handle<Quote>(QuantLib::ext::make_shared<SimpleQuote>(1.0));
    vector<QuantLib::ext::shared_ptr<InstrumentWrapper>> iw;
    std::vector<Handle<Quote>> fxRates;
 
    Real totalNPV = 0;
    for (const auto& [tradeId, trade] : portfolio->trades()) {
        Handle<Quote> fx = Handle<Quote>(QuantLib::ext::make_shared<SimpleQuote>(1.0));
        if (trade->npvCurrency() != "USD")
            fx = factory->market()->fxRate(trade->npvCurrency() + "USD");
        fxRates.push_back(fx);
        iw.push_back(trade->instrument());
        BOOST_TEST_MESSAGE("NPV " << iw.back()->NPV());
        BOOST_TEST_MESSAGE("FX " << fxRates.back()->value());
 
        totalNPV += iw.back()->NPV() * fxRates.back()->value();
    }
    QuantLib::ext::shared_ptr<InstrumentWrapper> instrument =
        QuantLib::ext::shared_ptr<InstrumentWrapper>(new ore::data::CompositeInstrumentWrapper(iw, fxRates, vars.asof));
 
    BOOST_TEST_MESSAGE(instrument->NPV());
 
    BOOST_CHECK_CLOSE(instrument->NPV(), totalNPV, 0.01);
}