basecorrelationcurve.cpp

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/*
 Copyright (C) 2020 Quaternion Risk Management Ltd
 All rights reserved.
 
 This file is part of ORE, a free-software/open-source library
 for transparent pricing and risk analysis - http://opensourcerisk.org
 
 ORE is free software: you can redistribute it and/or modify it
 under the terms of the Modified BSD License.  You should have received a
 copy of the license along with this program.
 The license is also available online at <http://opensourcerisk.org>
 
 This program is distributed on the basis that it will form a useful
 contribution to risk analytics and model standardisation, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
 FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
*/
 
// clang-format off
#include <boost/test/unit_test.hpp>
#include <boost/test/data/test_case.hpp>
// clang-format on
#include <oret/datapaths.hpp>
#include <oret/toplevelfixture.hpp>
 
#include <boost/make_shared.hpp>
 
#include <ored/configuration/curveconfigurations.hpp>
#include <ored/marketdata/csvloader.hpp>
#include <ored/marketdata/todaysmarket.hpp>
#include <ored/utilities/csvfilereader.hpp>
#include <ored/utilities/parsers.hpp>
 
using namespace std;
using namespace boost::unit_test_framework;
using namespace QuantLib;
using namespace QuantExt;
using namespace ore::data;
 
namespace bdata = boost::unit_test::data;
 
namespace {
 
QuantLib::ext::shared_ptr<TodaysMarket> createTodaysMarket(const Date& asof, const string& inputDir) {
 
    auto conventions = QuantLib::ext::make_shared<Conventions>();
    // conventions->fromFile(TEST_INPUT_FILE(string(inputDir + "/conventions.xml")));
    InstrumentConventions::instance().setConventions(conventions);
    
    auto curveConfigs = QuantLib::ext::make_shared<CurveConfigurations>();
    curveConfigs->fromFile(TEST_INPUT_FILE(string(inputDir + "/curveconfig.xml")));
 
    auto todaysMarketParameters = QuantLib::ext::make_shared<TodaysMarketParameters>();
    todaysMarketParameters->fromFile(TEST_INPUT_FILE(string(inputDir + "/todaysmarket.xml")));
 
    auto loader = QuantLib::ext::make_shared<CSVLoader>(TEST_INPUT_FILE(string(inputDir + "/market.txt")),
                                                TEST_INPUT_FILE(string(inputDir + "/fixings.txt")), false);
 
    return QuantLib::ext::make_shared<TodaysMarket>(asof, todaysMarketParameters, loader, curveConfigs);
}
 
}
 
BOOST_FIXTURE_TEST_SUITE(OREDataTestSuite, ore::test::TopLevelFixture)
 
BOOST_AUTO_TEST_SUITE(BaseCorrelationCurveTests)
 
// Sub-directories containing input data to test various base correlation curve and market data set-ups
vector<string> setups{
    "exp_terms_exp_dps_curve",
    "exp_terms_exp_dps_surface",
    "exp_terms_wc_dps_curve",
    "exp_terms_wc_dps_surface",
    "wc_terms_exp_dps_curve",
    "wc_terms_exp_dps_surface",
    "wc_terms_wc_dps_curve",
    "wc_terms_wc_dps_surface"
};
 
BOOST_DATA_TEST_CASE(testBaseCorrelationStructureBuilding, bdata::make(setups), setup) {
 
    BOOST_TEST_MESSAGE("Testing base correlation structure building using setup in " << setup);
 
    Date asof(19, Oct, 2020);
    Settings::instance().evaluationDate() = asof;
 
    auto todaysMarket = createTodaysMarket(asof, setup);
 
    // Get the built base correlation structure.
    auto bc = todaysMarket->baseCorrelation("BASE_CORR_TEST");
 
    // These are the values used in the test configurations.
    Calendar calendar = parseCalendar("US settlement");
    BusinessDayConvention bdc = Following;
 
    // Tolerance for comparison.
    Real tol = 1e-12;
 
    // Read in the expected results.
    string filename = setup + "/expected.csv";
    CSVFileReader reader(TEST_INPUT_FILE(filename), true, ",");
    BOOST_REQUIRE_EQUAL(reader.numberOfColumns(), 3);
 
    BOOST_TEST_MESSAGE("term,detachment,expected_bc,calculated_bc,difference");
    while (reader.next()) {
 
        // Get the term, detachment point and expected base correlation
        Period term = parsePeriod(reader.get(0));
        Real dp = parseReal(reader.get(1));
        Real expBc = parseReal(reader.get(2));
 
        // Check
        Date d = calendar.advance(asof, term, bdc);
        Real calcBc = bc->correlation(d, dp);
        Real difference = expBc - calcBc;
        BOOST_TEST_MESSAGE(term << "," << fixed << setprecision(12) << dp << "," <<
            expBc << "," << calcBc << "," << difference);
        BOOST_CHECK_SMALL(difference, tol);
    }
}
 
BOOST_AUTO_TEST_SUITE_END()
 
BOOST_AUTO_TEST_SUITE_END()