equitymarketdata.cpp File Reference

#include <boost/test/unit_test.hpp>
#include <ored/configuration/curveconfigurations.hpp>
#include <ored/marketdata/marketdatumparser.hpp>
#include <ored/utilities/parsers.hpp>
#include <ored/utilities/xmlutils.hpp>
#include <oret/toplevelfixture.hpp>
#include <boost/algorithm/string.hpp>
#include <boost/assign/list_of.hpp>

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Functions
	BOOST_AUTO_TEST_CASE (testMarketDatumParser)
	BOOST_AUTO_TEST_CASE (testBadMarketDatumStrings)
	BOOST_AUTO_TEST_CASE (testEqCurveConfigLoad)
	BOOST_AUTO_TEST_CASE (testEqCurveConfigBadLoad)

Function Documentation

BOOST_AUTO_TEST_CASE() [1/4]

BOOST_AUTO_TEST_CASE

(

testMarketDatumParser

)

Definition at line 125 of file equitymarketdata.cpp.

                                            {
 
    BOOST_TEST_MESSAGE("Testing equity market data parsing...");
    std::vector<std::string> marketDataStrings = getMarketDataStrings();
    for (auto s : marketDataStrings) {
        std::vector<std::string> tokens;
        boost::trim(s);
        boost::split(tokens, s, boost::is_any_of(" "), boost::token_compress_on);
        Date quoteDate = ore::data::parseDate(tokens[0]);
        const string& key = tokens[1];
        Real value = ore::data::parseReal(tokens[2]);
 
        BOOST_CHECK_NO_THROW(ore::data::parseMarketDatum(quoteDate, key, value));
        QuantLib::ext::shared_ptr<ore::data::MarketDatum> md = ore::data::parseMarketDatum(quoteDate, key, value);
        BOOST_CHECK(md);
        BOOST_CHECK_EQUAL(md->name(), key);
        BOOST_CHECK_EQUAL(md->asofDate(), quoteDate);
        BOOST_CHECK_EQUAL(md->quote()->value(), value);
    }
}

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BOOST_AUTO_TEST_CASE() [2/4]

BOOST_AUTO_TEST_CASE

(

testBadMarketDatumStrings

)

Definition at line 146 of file equitymarketdata.cpp.

                                                {
 
    BOOST_TEST_MESSAGE("Testing equity market data parsing (bad strings)...");
    std::vector<std::string> marketDataStrings = getBadMarketDataStrings();
    for (auto s : marketDataStrings) {
        std::vector<std::string> tokens;
        boost::trim(s);
        boost::split(tokens, s, boost::is_any_of(" "), boost::token_compress_on);
        Date quoteDate = ore::data::parseDate(tokens[0]);
        const string& key = tokens[1];
        Real value = ore::data::parseReal(tokens[2]);
        BOOST_CHECK_THROW(ore::data::parseMarketDatum(quoteDate, key, value), QuantLib::Error);
    }
}

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BOOST_AUTO_TEST_CASE() [3/4]

BOOST_AUTO_TEST_CASE

(

testEqCurveConfigLoad

)

Definition at line 161 of file equitymarketdata.cpp.

                                            {
 
    BOOST_TEST_MESSAGE("Testing equity curve config load...");
    ore::data::XMLDocument testDoc;
    testDoc.fromXMLString(divYieldCurveConfigString);
    // check that the root node is as expected
    ore::data::XMLNode* node = testDoc.getFirstNode("CurveConfiguration");
    BOOST_CHECK_NO_THROW(ore::data::XMLUtils::checkNode(node, "CurveConfiguration"));
 
    ore::data::CurveConfigurations cc;
    BOOST_CHECK_NO_THROW(cc.fromXML(node));
    QuantLib::ext::shared_ptr<ore::data::EquityCurveConfig> ec = cc.equityCurveConfig("SP5");
    BOOST_CHECK(ec);
    BOOST_CHECK_EQUAL("SP5", ec->curveID());
    BOOST_CHECK_EQUAL("SP 500 equity price projection curve", 
        ec->curveDescription());
    BOOST_CHECK_EQUAL("USD", ec->currency());
    BOOST_CHECK_EQUAL("EQUITY/PRICE/SP5/USD", ec->equitySpotQuoteID());
    bool testType = (ec->type() == ore::data::EquityCurveConfig::Type::DividendYield);
    BOOST_CHECK(testType);
    //BOOST_CHECK_EQUAL(ore::data::EquityCurveConfig::Type::DividendYield, ec->type());
    BOOST_CHECK_EQUAL("A365", ec->dayCountID());
    vector<string> anticipatedQuotes = boost::assign::list_of
        ("EQUITY/PRICE/SP5/USD")
        ("EQUITY_DIVIDEND/RATE/SP5/USD/1M")
        ("EQUITY_DIVIDEND/RATE/SP5/USD/2016-09-15")
        ("EQUITY_DIVIDEND/RATE/SP5/USD/1Y")
        ("EQUITY_DIVIDEND/RATE/SP5/USD/2Y")
        ("EQUITY_DIVIDEND/RATE/SP5/USD/5Y");
    vector<string> actualQuotes = ec->quotes();
    BOOST_CHECK_EQUAL_COLLECTIONS(anticipatedQuotes.begin(), anticipatedQuotes.end(),
        actualQuotes.begin(), actualQuotes.end());
    BOOST_CHECK(!ec->extrapolation());
 
    // now test the toXML member function
    ore::data::XMLDocument testDumpDoc;
    BOOST_CHECK_NO_THROW(cc.toXML(testDumpDoc));
    // TODO - query the XML to ensure that the curve configuration objects have been dumped correctly
}

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BOOST_AUTO_TEST_CASE() [4/4]

BOOST_AUTO_TEST_CASE

(

testEqCurveConfigBadLoad

)

Definition at line 201 of file equitymarketdata.cpp.

                                               {
 
    BOOST_TEST_MESSAGE("Testing equity curve config load (bad input)...");
    ore::data::XMLDocument testBadDoc;
    testBadDoc.fromXMLString(eqBadConfigString);
    // check that the root node is as expected
    ore::data::XMLNode* badNode = testBadDoc.getFirstNode("CurveConfiguration");
    BOOST_CHECK_NO_THROW(ore::data::XMLUtils::checkNode(badNode, "CurveConfiguration"));
    ore::data::CurveConfigurations cc;    
    BOOST_CHECK_NO_THROW(cc.fromXML(badNode)); // the spot price is missing, but the correct behaviour is to log error and move on
    BOOST_CHECK_THROW(cc.equityCurveConfig("SP5Mini"), QuantLib::Error); // this checks that the XML throws when we try to load
}

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