commoditycurve.cpp File Reference

#include <boost/make_shared.hpp>
#include <boost/test/unit_test.hpp>
#include <boost/test/data/test_case.hpp>
#include <oret/datapaths.hpp>
#include <oret/toplevelfixture.hpp>
#include <ql/math/comparison.hpp>
#include <ql/math/interpolations/linearinterpolation.hpp>
#include <ql/math/interpolations/loginterpolation.hpp>
#include <ql/time/daycounters/actualactual.hpp>
#include <ored/configuration/curveconfigurations.hpp>
#include <ored/marketdata/commoditycurve.hpp>
#include <ored/marketdata/csvloader.hpp>
#include <ored/marketdata/curvespec.hpp>
#include <ored/marketdata/loader.hpp>
#include <ored/marketdata/todaysmarket.hpp>
#include <ored/utilities/csvfilereader.hpp>
#include <ored/utilities/to_string.hpp>

Go to the source code of this file.

Functions
	BOOST_AUTO_TEST_CASE (testCommodityCurveTenorBasedOnTnPoints)
	BOOST_AUTO_TEST_CASE (testCommodityCurveFixedDatePoints)
	BOOST_DATA_TEST_CASE (testCommodityInterpolations, bdata::make(curveConfigFiles), curveConfigFile)
ostream &	operator<< (ostream &os, CommodityCurveTestCase testCase)
	BOOST_DATA_TEST_CASE (testCommodityCurveBuilding, bdata::make(commodityCurveTestCases), testCase)

Variables
vector< CommodityCurveTestCase >	commodityCurveTestCases

Function Documentation

BOOST_AUTO_TEST_CASE() [1/2]

BOOST_AUTO_TEST_CASE

(

testCommodityCurveTenorBasedOnTnPoints

)

Definition at line 139 of file commoditycurve.cpp.

                                                             {
 
    BOOST_TEST_MESSAGE("Testing commodity curve building with tenor based points quotes including ON and TN");
 
    QuantLib::ext::shared_ptr<CommodityCurve> curve = createCurve("tenor_based_on_tn_points");
    checkCurve(curve->commodityPriceCurve(), expectedCurve);
}

BOOST_AUTO_TEST_CASE() [2/2]

BOOST_AUTO_TEST_CASE

(

testCommodityCurveFixedDatePoints

)

Definition at line 147 of file commoditycurve.cpp.

                                                        {
 
    BOOST_TEST_MESSAGE("Testing commodity curve building with fixed date quotes");
 
    QuantLib::ext::shared_ptr<CommodityCurve> curve = createCurve("fixed_date_points");
    checkCurve(curve->commodityPriceCurve(), expectedCurve);
}

BOOST_DATA_TEST_CASE() [1/2]

BOOST_DATA_TEST_CASE	(	testCommodityInterpolations	,
		bdata::make(curveConfigFiles)	,
		curveConfigFile
	)

Definition at line 156 of file commoditycurve.cpp.

                                                                                                {
 
    BOOST_TEST_MESSAGE("Testing with configuration file: " << curveConfigFile);
 
    QuantLib::ext::shared_ptr<CommodityCurve> curve = createCurve("different_interpolations", curveConfigFile);
    checkCurve(curve->commodityPriceCurve(), expectedInterpCurvePillars);
 
    BOOST_REQUIRE(expectedInterpCurveOffPillars.count(curveConfigFile) == 1);
    for (Size i = 0; i < offPillarDates.size(); i++) {
        Real price = curve->commodityPriceCurve()->price(offPillarDates[i]);
        Real expPrice = expectedInterpCurveOffPillars.at(curveConfigFile)[i];
        BOOST_CHECK_CLOSE(price, expPrice, 1e-12);
    }
}

operator<<()

ostream & operator<<	(	ostream &	os,
		CommodityCurveTestCase	testCase
	)

Definition at line 196 of file commoditycurve.cpp.

                                                                  {
    return os << "[" << io::iso_date(testCase.asof) << "," << testCase.name << "," << testCase.curveName << "]";
}

BOOST_DATA_TEST_CASE() [2/2]

BOOST_DATA_TEST_CASE	(	testCommodityCurveBuilding	,
		bdata::make(commodityCurveTestCases)	,
		testCase
	)

Definition at line 200 of file commoditycurve.cpp.

                                                                                               {
 
    BOOST_TEST_MESSAGE("Testing commodity curve building " << testCase << "...");
 
    Settings::instance().evaluationDate() = testCase.asof;
    QuantLib::ext::shared_ptr<TodaysMarket> tm;
    BOOST_REQUIRE_NO_THROW(tm = createTodaysMarket(testCase.asof, testCase.name));
 
    auto pts = tm->commodityPriceCurve(testCase.curveName);
 
    for (const Date& d : pts->pillarDates()) {
        BOOST_TEST_MESSAGE(io::iso_date(d) << "," << fixed << setprecision(12) << pts->price(d));
    }
 
    // Tolerance for float comparison
    Real tol = 1e-12;
 
    // Read in the expected pillar results for the given date.
    vector<Date> expPillarDates;
    string filename = testCase.name + "/expected_" + to_string(io::iso_date(testCase.asof)) + ".csv";
    CSVFileReader reader(TEST_INPUT_FILE(filename), true, ",");
    BOOST_REQUIRE_EQUAL(reader.numberOfColumns(), 2);
 
    while (reader.next()) {
        // Get the expected expiry pillar date and price.
        Date expiry = parseDate(reader.get(0));
        Real price = parseReal(reader.get(1));
        expPillarDates.push_back(expiry);
 
        // Check the surface on the grid point.
        Real calcPrice = pts->price(expiry);
        BOOST_TEST_MESSAGE(io::iso_date(expiry) << "," << fixed << setprecision(12) << calcPrice);
        BOOST_CHECK_SMALL(price - calcPrice, tol);
    }
 
    vector<Date> calcPillarDates = pts->pillarDates();
    BOOST_CHECK_EQUAL_COLLECTIONS(expPillarDates.begin(), expPillarDates.end(),
        calcPillarDates.begin(), calcPillarDates.end());
 
    // Set up has flat extrapolation. Check it here.
    Real lastPrice = pts->price(calcPillarDates.back());
    Date extrapDate = calcPillarDates.back() + 1 * Years;
    Real extrapPrice = pts->price(extrapDate);
    BOOST_CHECK_SMALL(lastPrice - extrapPrice, tol);
}

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Variable Documentation

commodityCurveTestCases

vector<CommodityCurveTestCase> commodityCurveTestCases

Initial value:

= {
    {Date(30, Sep, 2019), "basis/wti_midland_cm", "NYMEX:FF"},
    {Date(30, Sep, 2019), "basis/wti_midland_tm", "NYMEX:WTT"},
    {Date(30, Sep, 2019), "basis/wti_midland_cm_base_ave", "NYMEX:FF"},
    {Date(30, Sep, 2019), "basis/houston_ship_channel", "ICE:HXS"},
    {Date(23, Jan, 2020), "basis/wti_midland_cm", "NYMEX:FF"},
    {Date(23, Jan, 2020), "basis/wti_midland_tm", "NYMEX:WTT"},
    {Date(23, Jan, 2020), "basis/wti_midland_cm_base_ave", "NYMEX:FF"},
    {Date(23, Jan, 2020), "basis/houston_ship_channel", "ICE:HXS"},
    {Date(27, Apr, 2020), "power/pjm_wh_rt_peak_linear_flat", "ICE:PDQ"},
    {Date(27, Apr, 2020), "power/pjm_wh_rt_peak_backward_flat", "ICE:PDQ"},
    {Date(27, Apr, 2020), "power/pjm_wh_rt_peak_linear_flat_switch_priority", "ICE:PDQ"}
}

Definition at line 181 of file commoditycurve.cpp.