creditdefaultswapdata.cpp

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/*
 Copyright (C) 2019 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.
*/
 
#include <boost/test/unit_test.hpp>
#include <oret/toplevelfixture.hpp>
 
#include <ored/portfolio/creditdefaultswapdata.hpp>
#include <ored/utilities/to_string.hpp>
#include <ql/currencies/europe.hpp>
 
using namespace std;
using namespace boost::unit_test_framework;
using namespace QuantLib;
using namespace ore::data;
 
namespace {
 
LegData premiumLegData() {
 
    ScheduleData scheduleData(
        ScheduleRules("2019-10-02", "2024-12-20", "3M", "WeekendsOnly", "Following", "Unadjusted", "CDS2015"));
 
    auto fixedLegData = QuantLib::ext::make_shared<FixedLegData>(vector<Real>(1, 0.01));
 
    return LegData(fixedLegData, true, "EUR", scheduleData, "A360", vector<Real>(1, 1000000), vector<string>(),
                   "Following");
}
 
} // namespace
 
BOOST_FIXTURE_TEST_SUITE(OREDataTestSuite, ore::test::TopLevelFixture)
 
BOOST_AUTO_TEST_SUITE(CdsReferenceInformationTests)
 
BOOST_AUTO_TEST_CASE(testToFromXml) {
 
    BOOST_TEST_MESSAGE("Testing toXML and fromXml for CdsReferenceInformation");
 
    // Explicitly create a CdsReferenceInformation object
    string referenceEntityId = "RED:2H6677";
    CdsTier tier = CdsTier::SNRFOR;
    Currency currency = EURCurrency();
    CdsDocClause docClause = CdsDocClause::MM14;
    CdsReferenceInformation inRef(referenceEntityId, tier, currency, docClause);
 
    // Check the id() is as expected
    string expId = referenceEntityId + "|" + to_string(tier) + "|" + currency.code() + "|" + to_string(docClause);
    BOOST_CHECK_EQUAL(inRef.id(), expId);
 
    // Use toXml to serialise to string
    string xmlStr = inRef.toXMLString();
 
    // Use fromXml to populate empty CdsReferenceInformation object
    CdsReferenceInformation outRef;
    outRef.fromXMLString(xmlStr);
 
    // Check against the original object
    BOOST_CHECK_EQUAL(inRef.referenceEntityId(), outRef.referenceEntityId());
    BOOST_CHECK_EQUAL(inRef.tier(), outRef.tier());
    BOOST_CHECK_EQUAL(inRef.currency(), outRef.currency());
    BOOST_CHECK_EQUAL(inRef.docClause(), outRef.docClause());
    BOOST_CHECK_EQUAL(inRef.id(), outRef.id());
}
 
BOOST_AUTO_TEST_SUITE_END()
 
BOOST_AUTO_TEST_SUITE(CreditDefaultSwapDataTests)
 
BOOST_AUTO_TEST_CASE(testConstructionWithExplicitCreditCurveId) {
 
    // Construct with explicit credit curve ID
    string cdsCurveId = "RED:2H6677|SNRFOR|EUR|MM14";
    CreditDefaultSwapData cdsData("DB", cdsCurveId, premiumLegData());
 
    // Perform some checks
    BOOST_CHECK_EQUAL(cdsData.issuerId(), "DB");
    BOOST_CHECK(cdsData.settlesAccrual());
    BOOST_CHECK_EQUAL(cdsData.protectionPaymentTime(), QuantExt::CreditDefaultSwap::ProtectionPaymentTime::atDefault);
    BOOST_CHECK_EQUAL(cdsData.protectionStart(), Date());
    BOOST_CHECK_EQUAL(cdsData.upfrontDate(), Date());
    BOOST_CHECK_EQUAL(cdsData.upfrontFee(), Null<Real>());
    BOOST_CHECK_EQUAL(cdsData.recoveryRate(), Null<Real>());
    BOOST_CHECK(cdsData.referenceObligation().empty());
 
    // Check the credit curve Id and reference information are as expected
    BOOST_CHECK_EQUAL(cdsData.creditCurveId(), cdsCurveId);
    BOOST_CHECK(!cdsData.referenceInformation());
 
    // Use toXml to serialise to string
    string xmlStr = cdsData.toXMLString();
 
    // Use fromXml to populate empty CreditDefaultSwapData object
    CreditDefaultSwapData xmlCdsData;
    xmlCdsData.fromXMLString(xmlStr);
 
    // Check that the CreditDefaultSwapData object from XML is the same as the explicitly created one
    BOOST_CHECK_EQUAL(cdsData.issuerId(), xmlCdsData.issuerId());
    BOOST_CHECK_EQUAL(cdsData.settlesAccrual(), xmlCdsData.settlesAccrual());
    BOOST_CHECK_EQUAL(cdsData.protectionPaymentTime(), xmlCdsData.protectionPaymentTime());
    BOOST_CHECK_EQUAL(cdsData.protectionStart(), xmlCdsData.protectionStart());
    BOOST_CHECK_EQUAL(cdsData.upfrontDate(), xmlCdsData.upfrontDate());
    BOOST_CHECK_EQUAL(cdsData.upfrontFee(), xmlCdsData.upfrontFee());
    BOOST_CHECK_EQUAL(cdsData.recoveryRate(), xmlCdsData.recoveryRate());
    BOOST_CHECK_EQUAL(cdsData.referenceObligation(), xmlCdsData.referenceObligation());
    BOOST_CHECK_EQUAL(cdsData.creditCurveId(), xmlCdsData.creditCurveId());
    // The following check is removed because we initialize reference information from the curve id
    // where possible because it has 4 tokens serparated by |
    // BOOST_CHECK(!xmlCdsData.referenceInformation());
}
 
BOOST_AUTO_TEST_CASE(testConstructionWithCdsReferenceInformation) {
 
    // CdsReferenceInformation object
    string referenceEntityId = "RED:2H6677";
    CdsTier tier = CdsTier::SNRFOR;
    Currency currency = EURCurrency();
    CdsDocClause docClause = CdsDocClause::MM14;
    CdsReferenceInformation referenceInfo(referenceEntityId, tier, currency, docClause);
 
    // Construct with CDS reference information
    CreditDefaultSwapData cdsData("DB", referenceInfo, premiumLegData());
 
    // Perform some checks
    BOOST_CHECK_EQUAL(cdsData.issuerId(), "DB");
    BOOST_CHECK(cdsData.settlesAccrual());
    BOOST_CHECK_EQUAL(cdsData.protectionPaymentTime(), QuantExt::CreditDefaultSwap::ProtectionPaymentTime::atDefault);
    BOOST_CHECK_EQUAL(cdsData.protectionStart(), Date());
    BOOST_CHECK_EQUAL(cdsData.upfrontDate(), Date());
    BOOST_CHECK_EQUAL(cdsData.upfrontFee(), Null<Real>());
    BOOST_CHECK_EQUAL(cdsData.recoveryRate(), Null<Real>());
    BOOST_CHECK(cdsData.referenceObligation().empty());
 
    // Check the credit curve Id and reference information are as expected
    BOOST_CHECK_EQUAL(cdsData.creditCurveId(), referenceInfo.id());
    BOOST_CHECK(cdsData.referenceInformation());
    BOOST_CHECK_EQUAL(referenceInfo.referenceEntityId(), cdsData.referenceInformation()->referenceEntityId());
    BOOST_CHECK_EQUAL(referenceInfo.tier(), cdsData.referenceInformation()->tier());
    BOOST_CHECK_EQUAL(referenceInfo.currency(), cdsData.referenceInformation()->currency());
    BOOST_CHECK_EQUAL(referenceInfo.docClause(), cdsData.referenceInformation()->docClause());
    BOOST_CHECK_EQUAL(referenceInfo.id(), cdsData.referenceInformation()->id());
 
    // Use toXml to serialise to string
    string xmlStr = cdsData.toXMLString();
 
    // Use fromXml to populate empty CreditDefaultSwapData object
    CreditDefaultSwapData xmlCdsData;
    xmlCdsData.fromXMLString(xmlStr);
 
    // Check that the CreditDefaultSwapData object from XML is the same as the explicitly created one
    BOOST_CHECK_EQUAL(cdsData.issuerId(), xmlCdsData.issuerId());
    BOOST_CHECK_EQUAL(cdsData.settlesAccrual(), xmlCdsData.settlesAccrual());
    BOOST_CHECK_EQUAL(cdsData.protectionPaymentTime(), xmlCdsData.protectionPaymentTime());
    BOOST_CHECK_EQUAL(cdsData.protectionStart(), xmlCdsData.protectionStart());
    BOOST_CHECK_EQUAL(cdsData.upfrontDate(), xmlCdsData.upfrontDate());
    BOOST_CHECK_EQUAL(cdsData.upfrontFee(), xmlCdsData.upfrontFee());
    BOOST_CHECK_EQUAL(cdsData.recoveryRate(), xmlCdsData.recoveryRate());
    BOOST_CHECK_EQUAL(cdsData.referenceObligation(), xmlCdsData.referenceObligation());
    BOOST_CHECK_EQUAL(cdsData.creditCurveId(), xmlCdsData.creditCurveId());
    BOOST_CHECK(xmlCdsData.referenceInformation());
    BOOST_CHECK_EQUAL(referenceInfo.referenceEntityId(), xmlCdsData.referenceInformation()->referenceEntityId());
    BOOST_CHECK_EQUAL(referenceInfo.tier(), xmlCdsData.referenceInformation()->tier());
    BOOST_CHECK_EQUAL(referenceInfo.currency(), xmlCdsData.referenceInformation()->currency());
    BOOST_CHECK_EQUAL(referenceInfo.docClause(), xmlCdsData.referenceInformation()->docClause());
    BOOST_CHECK_EQUAL(referenceInfo.id(), xmlCdsData.referenceInformation()->id());
}
 
BOOST_AUTO_TEST_SUITE_END()
 
BOOST_AUTO_TEST_SUITE_END()