fxdom.cpp File Reference

#include <boost/test/unit_test.hpp>
#include <ored/utilities/parsers.hpp>
#include <oret/toplevelfixture.hpp>

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Functions
	BOOST_AUTO_TEST_CASE (testFXDominance)

Function Documentation

BOOST_AUTO_TEST_CASE()

BOOST_AUTO_TEST_CASE

(

testFXDominance

)

Definition at line 30 of file fxdom.cpp.

                                      {
    BOOST_TEST_MESSAGE("Testing FXDominance...");
 
    // List of pairs - we split them up and try both ways
    const char* expectedPairs[] = {
        "EURUSD", "GBPUSD", "AUDUSD", "CADJPY", "AUDJPY", "EURNOK", "EURJPY", "EURSEK", "EURCHF", "EURNOK", "NOKJPY",
        "NOKSEK", "DKKSEK", "CNYJPY", "JPYIDR",
 
        // another longer list - might have duplicates
        "AUDCAD", "AUDCHF", "AUDJPY", "AUDNZD", "AUDUSD", "CADJPY", "CADMXN", "CADNOK", "CHFJPY", "EURAUD", "EURCAD",
        "EURCHF", "EURCZK", "EURDKK", "EURGBP", "EURHUF", "EURJPY", "EURKRW", "EURMXN", "EURNOK", "EURNZD", "EURPLN",
        "EURRUB", "EURSEK", "EURTRY", "EURUSD", "EURZAR", "GBPAUD", "GBPCAD", "GBPCHF", "GBPJPY", "GBPNOK", "GBPUSD",
        "JPYKRW", "MXNJPY", "NOKSEK", "NZDCAD", "NZDCHF", "NZDJPY", "NZDUSD", "TRYJPY", "USDCAD", "USDCHF", "USDCNH",
        "USDCZK", "USDDKK", "USDHKD", "USDHUF", "USDILS", "USDJPY", "USDMXN", "USDNOK", "USDOMR", "USDPLN", "USDRON",
        "USDRUB", "USDSEK", "USDSGD", "USDTHB", "USDTRY", "USDZAR",
 
        // XXX for unknown ccys
        "XXXJPY", "EURXXX", "USDXXX",
 
        // Some metals
        "XAUUSD", "XAGUSD", "XPTUSD", "XPDUSD", "XAUEUR", "XAGEUR", "XPTAUD"};
 
    for (unsigned i = 0; i < sizeof(expectedPairs) / sizeof(expectedPairs[0]); i++) {
        string expectedPair = expectedPairs[i];
        string s1 = expectedPair.substr(0, 3);
        string s2 = expectedPair.substr(3);
 
        BOOST_TEST_MESSAGE("Combining " << s1 << " and " << s2 << " expecting " << expectedPair);
        string pair = ore::data::fxDominance(s1, s2);
        BOOST_CHECK_EQUAL(pair, expectedPair);
 
        BOOST_TEST_MESSAGE("Combining " << s2 << " and " << s1 << " expecting " << expectedPair);
        pair = ore::data::fxDominance(s2, s1);
        BOOST_CHECK_EQUAL(pair, expectedPair);
    }
}

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