indices.cpp File Reference

#include <boost/test/unit_test.hpp>
#include <ored/configuration/conventions.hpp>
#include <ored/utilities/indexparser.hpp>
#include <oret/toplevelfixture.hpp>

Go to the source code of this file.

Functions
	BOOST_AUTO_TEST_CASE (testIborIndexParsing)
	BOOST_AUTO_TEST_CASE (testIborIndexParsingFails)
	BOOST_AUTO_TEST_CASE (testSwapIndexParsing)
	BOOST_AUTO_TEST_CASE (testInflationIndexParsing)

Function Documentation

BOOST_AUTO_TEST_CASE() [1/4]

BOOST_AUTO_TEST_CASE

(

testIborIndexParsing

)

Definition at line 386 of file indices.cpp.

                                           {
 
    BOOST_TEST_MESSAGE("Testing Ibor Index name parsing...");
 
    Size len = sizeof(index_data) / sizeof(index_data[0]);
    for (Size i = 0; i < len; ++i) {
        string str(ore::data::internalIndexName(index_data[i].str));
        string index_name(index_data[i].index_name);
        Period tenor(index_data[i].tenor);
 
        QuantLib::ext::shared_ptr<IborIndex> ibor;
        try {
            ibor = ore::data::parseIborIndex(str);
        } catch (std::exception& e) {
            BOOST_FAIL("Ibor Parser failed to parse \"" << str << "\" [exception:" << e.what() << "]");
        } catch (...) {
            BOOST_FAIL("Ibor Parser failed to parse \"" << str << "\" [unhandled]");
        }
        if (ibor) {
            BOOST_CHECK_EQUAL(ibor->name(), index_name);
            BOOST_CHECK_EQUAL(ibor->tenor(), tenor);
 
            BOOST_TEST_MESSAGE("Parsed \"" << str << "\" and got " << ibor->name());
        } else
            BOOST_FAIL("Ibor Parser(" << str << ") returned null pointer");
    }
}

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BOOST_AUTO_TEST_CASE() [2/4]

BOOST_AUTO_TEST_CASE

(

testIborIndexParsingFails

)

Definition at line 414 of file indices.cpp.

                                                {
 
    BOOST_TEST_MESSAGE("Testing Ibor Index parsing fails...");
 
    // Test invalid strings
    BOOST_CHECK_THROW(ore::data::parseIborIndex("EUR-EONIA-1M"), QuantLib::Error);
    BOOST_CHECK_THROW(ore::data::parseIborIndex("EUR-FALSE-6M"), QuantLib::Error);
    BOOST_CHECK_THROW(ore::data::parseIborIndex("It's a trap!"), QuantLib::Error);
}

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BOOST_AUTO_TEST_CASE() [3/4]

BOOST_AUTO_TEST_CASE

(

testSwapIndexParsing

)

Definition at line 424 of file indices.cpp.

                                           {
 
    BOOST_TEST_MESSAGE("Testing Swap Index name parsing...");
 
    Handle<YieldTermStructure> h; // dummy
 
    Size len = sizeof(swap_index_data) / sizeof(swap_index_data[0]);
 
    for (Size i = 0; i < len; ++i) {
        string str(swap_index_data[i].str);
        string index_name(swap_index_data[i].index_name);
        Period tenor(swap_index_data[i].tenor);
        ore::data::InstrumentConventions::instance().setConventions(convs());
        QuantLib::ext::shared_ptr<SwapIndex> swap;
        try {
            swap = ore::data::parseSwapIndex(str, h, h);
        } catch (std::exception& e) {
            BOOST_FAIL("Swap Parser failed to parse \"" << str << "\" [exception:" << e.what() << "]");
        } catch (...) {
            BOOST_FAIL("Swap Parser failed to parse \"" << str << "\" [unhandled]");
        }
        if (swap) {
            BOOST_CHECK_EQUAL(swap->name(), index_name);
            BOOST_CHECK_EQUAL(swap->tenor(), tenor);
 
            BOOST_TEST_MESSAGE("Parsed \"" << str << "\" and got " << swap->name());
        } else
            BOOST_FAIL("Swap Parser(" << str << ") returned null pointer");
    }
}

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BOOST_AUTO_TEST_CASE() [4/4]

BOOST_AUTO_TEST_CASE

(

testInflationIndexParsing

)

Definition at line 455 of file indices.cpp.

                                                {
 
    BOOST_TEST_MESSAGE("Testing Inflation Index name parsing...");
 
    Size len = sizeof(inflation_index_data) / sizeof(inflation_index_data[0]);
    for (Size i = 0; i < len; ++i) {
        string str(inflation_index_data[i].str);
        string index_name(inflation_index_data[i].index_name);
        Frequency frequency(inflation_index_data[i].frequency);
 
        QuantLib::ext::shared_ptr<ZeroInflationIndex> cpi;
        try {
            cpi = ore::data::parseZeroInflationIndex(str);
        } catch (std::exception& e) {
            BOOST_FAIL("Inflation Index Parser failed to parse \"" << str << "\" [exception:" << e.what() << "]");
        } catch (...) {
            BOOST_FAIL("Inflation Index Parser failed to parse \"" << str << "\" [unhandled]");
        }
        if (cpi) {
            BOOST_CHECK_EQUAL(cpi->name(), index_name);
            BOOST_CHECK_EQUAL(cpi->frequency(), frequency);
            // Frequency
            //Availability lag?
 
            BOOST_TEST_MESSAGE("Parsed \"" << str << "\" and got " << cpi->name());
        } else
            BOOST_FAIL("Inflation Index Parser(" << str << ") returned null pointer");
    }
}

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