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Fully annotated reference manual - version 1.8.12
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commodityvolcurveconfig.cpp File Reference
#include <boost/test/unit_test.hpp>
#include <oret/toplevelfixture.hpp>
#include <ored/configuration/commodityvolcurveconfig.hpp>

Go to the source code of this file.

Functions

 BOOST_AUTO_TEST_CASE (testParseConstantVolFromXml)
 
 BOOST_AUTO_TEST_CASE (testParseVolCurveFromXml)
 
 BOOST_AUTO_TEST_CASE (testParseVolSurfaceFromXml)
 

Function Documentation

◆ BOOST_AUTO_TEST_CASE() [1/3]

BOOST_AUTO_TEST_CASE ( testParseConstantVolFromXml  )

Definition at line 33 of file commodityvolcurveconfig.cpp.

33 {
34
35 BOOST_TEST_MESSAGE("Testing parsing of constant commodity vol curve configuration from XML");
36
37 // Create an XML string representation of the commodity volatility curve configuration
38 string configXml;
39 configXml.append("<CommodityVolatility>");
40 configXml.append(" <CurveId>GOLD_USD_VOLS</CurveId>");
41 configXml.append(" <CurveDescription/>");
42 configXml.append(" <Currency>USD</Currency>");
43 configXml.append(" <Constant>");
44 configXml.append(" <Quote>COMMODITY_OPTION/RATE_LNVOL/GOLD/USD/1Y/ATM/AtmFwd</Quote>");
45 configXml.append(" </Constant>");
46 configXml.append("</CommodityVolatility>");
47
48 // Create the XMLNode
49 XMLDocument doc;
50 doc.fromXMLString(configXml);
51 XMLNode* configNode = doc.getFirstNode("CommodityVolatility");
52
53 // Parse commodity volatility curve configuration from XML
54 CommodityVolatilityConfig config;
55 config.fromXML(configNode);
56
57 // Check fields
58 BOOST_CHECK_EQUAL(config.curveID(), "GOLD_USD_VOLS");
59 BOOST_CHECK_EQUAL(config.currency(), "USD");
60 // Check that we have a constant volatility config.
61 QuantLib::ext::shared_ptr<ConstantVolatilityConfig> vc;
62 for (auto v : config.volatilityConfig()) {
63 if ((vc = QuantLib::ext::dynamic_pointer_cast<ConstantVolatilityConfig>(v)))
64 break;
65 }
66 BOOST_CHECK(vc);
67 BOOST_CHECK_EQUAL(config.quotes().size(), 1);
68 BOOST_CHECK_EQUAL(config.quotes()[0], "COMMODITY_OPTION/RATE_LNVOL/GOLD/USD/1Y/ATM/AtmFwd");
69
70 // Check defaults (don't matter for constant config in any case)
71 BOOST_CHECK_EQUAL(config.dayCounter(), "A365");
72 BOOST_CHECK_EQUAL(config.calendar(), "NullCalendar");
73 BOOST_CHECK_EQUAL(config.futureConventionsId(), "");
74 BOOST_CHECK_EQUAL(config.optionExpiryRollDays(), 0);
75}
ore::data::CommodityVolatilityConfig
Commodity volatility configuration.
Definition: commodityvolcurveconfig.hpp:38
ore::data::CommodityVolatilityConfig::volatilityConfig
const std::vector< QuantLib::ext::shared_ptr< VolatilityConfig > > & volatilityConfig() const
Definition: commodityvolcurveconfig.cpp:73
ore::data::CommodityVolatilityConfig::futureConventionsId
const std::string & futureConventionsId() const
Definition: commodityvolcurveconfig.cpp:79
ore::data::CurveConfig::curveID
const string & curveID() const
Definition: curveconfig.hpp:54
ore::data::CurveConfig::quotes
virtual const vector< string > & quotes()
Return all the market quotes required for this config.
Definition: curveconfig.hpp:69
ore::data::XMLDocument
Small XML Document wrapper class.
Definition: xmlutils.hpp:65
ore::data::XMLDocument::fromXMLString
void fromXMLString(const string &xmlString)
load a document from a hard-coded string
Definition: xmlutils.cpp:103
ore::data::XMLDocument::getFirstNode
XMLNode * getFirstNode(const string &name) const
Definition: xmlutils.cpp:116
rapidxml::xml_node
XML Node.
Definition: xmlutils.hpp:43
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◆ BOOST_AUTO_TEST_CASE() [2/3]

BOOST_AUTO_TEST_CASE ( testParseVolCurveFromXml  )

Definition at line 77 of file commodityvolcurveconfig.cpp.

77 {
78
79 BOOST_TEST_MESSAGE("Testing parsing of commodity vol curve configuration from XML");
80
81 // Create an XML string representation of the commodity volatility curve configuration
82 string configXml;
83 configXml.append("<CommodityVolatility>");
84 configXml.append(" <CurveId>GOLD_USD_VOLS</CurveId>");
85 configXml.append(" <CurveDescription/>");
86 configXml.append(" <Currency>USD</Currency>");
87 configXml.append(" <Curve>");
88 configXml.append(" <Quotes>");
89 configXml.append(" <Quote>COMMODITY_OPTION/RATE_LNVOL/GOLD/USD/1Y/ATM/AtmFwd</Quote>");
90 configXml.append(" <Quote>COMMODITY_OPTION/RATE_LNVOL/GOLD/USD/5Y/ATM/AtmFwd</Quote>");
91 configXml.append(" <Quote>COMMODITY_OPTION/RATE_LNVOL/GOLD/USD/10Y/ATM/AtmFwd</Quote>");
92 configXml.append(" </Quotes>");
93 configXml.append(" <Interpolation>Linear</Interpolation>");
94 configXml.append(" <Extrapolation>Flat</Extrapolation>");
95 configXml.append(" </Curve>");
96 configXml.append("</CommodityVolatility>");
97
98 // Create the XMLNode
99 XMLDocument doc;
100 doc.fromXMLString(configXml);
101 XMLNode* configNode = doc.getFirstNode("CommodityVolatility");
102
103 // Parse commodity volatility curve configuration from XML
104 CommodityVolatilityConfig config;
105 config.fromXML(configNode);
106
107 // Expected vector of quotes
108 vector<string> quotes = {"COMMODITY_OPTION/RATE_LNVOL/GOLD/USD/1Y/ATM/AtmFwd",
109 "COMMODITY_OPTION/RATE_LNVOL/GOLD/USD/5Y/ATM/AtmFwd",
110 "COMMODITY_OPTION/RATE_LNVOL/GOLD/USD/10Y/ATM/AtmFwd"};
111
112 // Check fields
113 BOOST_CHECK_EQUAL(config.curveID(), "GOLD_USD_VOLS");
114 BOOST_CHECK_EQUAL(config.currency(), "USD");
115 // Check that we have a volatility curve config.
116 QuantLib::ext::shared_ptr<VolatilityCurveConfig> vc;
117 for (auto v : config.volatilityConfig()) {
118 if ((vc = QuantLib::ext::dynamic_pointer_cast<VolatilityCurveConfig>(v)))
119 break;
120 }
121
122 BOOST_REQUIRE(vc);
123 BOOST_CHECK_EQUAL(vc->interpolation(), "Linear");
124 BOOST_CHECK_EQUAL(vc->extrapolation(), "Flat");
125 BOOST_CHECK_EQUAL(config.quotes().size(), 3);
126 BOOST_CHECK_EQUAL_COLLECTIONS(quotes.begin(), quotes.end(), config.quotes().begin(), config.quotes().end());
127
128 // Check defaults
129 BOOST_CHECK_EQUAL(config.dayCounter(), "A365");
130 BOOST_CHECK_EQUAL(config.calendar(), "NullCalendar");
131 BOOST_CHECK_EQUAL(config.futureConventionsId(), "");
132 BOOST_CHECK_EQUAL(config.optionExpiryRollDays(), 0);
133
134 // Override defaults in turn and check
135
136 // Day counter
137 XMLUtils::addChild(doc, configNode, "DayCounter", "ACT");
138 config.fromXML(configNode);
139 BOOST_CHECK_EQUAL(config.dayCounter(), "ACT");
140
141 // Calendar
142 XMLUtils::addChild(doc, configNode, "Calendar", "TARGET");
143 config.fromXML(configNode);
144 BOOST_CHECK_EQUAL(config.calendar(), "TARGET");
145
146 // Future conventions Id
147 XMLUtils::addChild(doc, configNode, "FutureConventions", "NYMEX:CL");
148 config.fromXML(configNode);
149 BOOST_CHECK_EQUAL(config.futureConventionsId(), "NYMEX:CL");
150
151 // Option expiry roll days
152 XMLUtils::addChild(doc, configNode, "OptionExpiryRollDays", "2");
153 config.fromXML(configNode);
154 BOOST_CHECK_EQUAL(config.optionExpiryRollDays(), 2);
155}
ore::data::XMLUtils::addChild
static XMLNode * addChild(XMLDocument &doc, XMLNode *n, const string &name)
Definition: xmlutils.cpp:181
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◆ BOOST_AUTO_TEST_CASE() [3/3]

BOOST_AUTO_TEST_CASE ( testParseVolSurfaceFromXml  )

Definition at line 157 of file commodityvolcurveconfig.cpp.

157 {
158
159 BOOST_TEST_MESSAGE("Testing parsing of commodity vol surface configuration from XML");
160
161 // Create an XML string representation of the commodity volatility curve configuration
162 string configXml;
163 configXml.append("<CommodityVolatility>");
164 configXml.append(" <CurveId>WTI_USD_VOLS</CurveId>");
165 configXml.append(" <CurveDescription/>");
166 configXml.append(" <Currency>USD</Currency>");
167 configXml.append(" <StrikeSurface>");
168 configXml.append(" <Strikes>30.0,40.0,60.0</Strikes>");
169 configXml.append(" <Expiries>1Y,5Y,10Y</Expiries>");
170 configXml.append(" <TimeInterpolation>Linear</TimeInterpolation>");
171 configXml.append(" <StrikeInterpolation>Linear</StrikeInterpolation>");
172 configXml.append(" <Extrapolation>true</Extrapolation>");
173 configXml.append(" <TimeExtrapolation>Flat</TimeExtrapolation>");
174 configXml.append(" <StrikeExtrapolation>Flat</StrikeExtrapolation>");
175 configXml.append(" </StrikeSurface>");
176 configXml.append("</CommodityVolatility>");
177
178 // Create the XMLNode
179 XMLDocument doc;
180 doc.fromXMLString(configXml);
181 XMLNode* configNode = doc.getFirstNode("CommodityVolatility");
182
183 // Parse commodity volatility curve configuration from XML
184 CommodityVolatilityConfig config;
185 config.fromXML(configNode);
186
187 // Expected vector of quotes
188 vector<string> quotes = {"COMMODITY_OPTION/RATE_LNVOL/WTI_USD_VOLS/USD/1Y/30.0",
189 "COMMODITY_OPTION/RATE_LNVOL/WTI_USD_VOLS/USD/1Y/40.0",
190 "COMMODITY_OPTION/RATE_LNVOL/WTI_USD_VOLS/USD/1Y/60.0",
191 "COMMODITY_OPTION/RATE_LNVOL/WTI_USD_VOLS/USD/5Y/30.0",
192 "COMMODITY_OPTION/RATE_LNVOL/WTI_USD_VOLS/USD/5Y/40.0",
193 "COMMODITY_OPTION/RATE_LNVOL/WTI_USD_VOLS/USD/5Y/60.0",
194 "COMMODITY_OPTION/RATE_LNVOL/WTI_USD_VOLS/USD/10Y/30.0",
195 "COMMODITY_OPTION/RATE_LNVOL/WTI_USD_VOLS/USD/10Y/40.0",
196 "COMMODITY_OPTION/RATE_LNVOL/WTI_USD_VOLS/USD/10Y/60.0"};
197
198 // Check fields
199 BOOST_CHECK_EQUAL(config.curveID(), "WTI_USD_VOLS");
200 BOOST_CHECK_EQUAL(config.currency(), "USD");
201 // Check that we have a volatility strike surface config.
202 QuantLib::ext::shared_ptr<VolatilityStrikeSurfaceConfig> vc;
203 for (auto v : config.volatilityConfig()) {
204 if ((vc = QuantLib::ext::dynamic_pointer_cast<VolatilityStrikeSurfaceConfig>(v)))
205 break;
206 }
207 BOOST_REQUIRE(vc);
208 BOOST_CHECK_EQUAL(vc->timeInterpolation(), "Linear");
209 BOOST_CHECK_EQUAL(vc->strikeInterpolation(), "Linear");
210 BOOST_CHECK(vc->extrapolation());
211 BOOST_CHECK_EQUAL(vc->timeExtrapolation(), "Flat");
212 BOOST_CHECK_EQUAL(vc->strikeExtrapolation(), "Flat");
213 BOOST_CHECK_EQUAL(config.quotes().size(), 9);
214 BOOST_CHECK_EQUAL_COLLECTIONS(quotes.begin(), quotes.end(), config.quotes().begin(), config.quotes().end());
215
216 // Check defaults
217 BOOST_CHECK_EQUAL(config.dayCounter(), "A365");
218 BOOST_CHECK_EQUAL(config.calendar(), "NullCalendar");
219 BOOST_CHECK_EQUAL(config.futureConventionsId(), "");
220 BOOST_CHECK_EQUAL(config.optionExpiryRollDays(), 0);
221}
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