curveconfig.cpp File Reference

#include <boost/algorithm/string.hpp>
#include <boost/make_shared.hpp>
#include <boost/test/unit_test.hpp>
#include <boost/test/data/test_case.hpp>
#include <ored/configuration/basecorrelationcurveconfig.hpp>
#include <ored/configuration/capfloorvolcurveconfig.hpp>
#include <ored/configuration/cdsvolcurveconfig.hpp>
#include <ored/configuration/curveconfigurations.hpp>
#include <ored/configuration/defaultcurveconfig.hpp>
#include <ored/configuration/equitycurveconfig.hpp>
#include <ored/configuration/equityvolcurveconfig.hpp>
#include <ored/configuration/fxspotconfig.hpp>
#include <ored/configuration/fxvolcurveconfig.hpp>
#include <ored/configuration/inflationcurveconfig.hpp>
#include <ored/configuration/securityconfig.hpp>
#include <ored/configuration/swaptionvolcurveconfig.hpp>
#include <ored/configuration/yieldcurveconfig.hpp>
#include <ored/utilities/csvfilereader.hpp>
#include <ored/utilities/parsers.hpp>
#include <oret/datapaths.hpp>
#include <oret/fileutilities.hpp>
#include <oret/toplevelfixture.hpp>
#include <ql/time/calendar.hpp>
#include <ql/time/daycounter.hpp>

Go to the source code of this file.

Namespaces
namespace	boost
namespace	boost::test_tools
namespace	boost::test_tools::tt_detail

Functions
	BOOST_AUTO_TEST_CASE (testFromToXml)
	BOOST_AUTO_TEST_CASE (testCurveConfigQuotesAll)
	BOOST_DATA_TEST_CASE (testCurveConfigQuotesSimpleTodaysMarket, bdata::make(files), filePair)
	BOOST_AUTO_TEST_CASE (testCurveConfigQuotesTodaysMarketMultipleConfigs)
	BOOST_AUTO_TEST_CASE (testDiscountRatioSegmentFromXml)
	BOOST_AUTO_TEST_CASE (testDiscountRatioSegmentToXml)

Function Documentation

BOOST_AUTO_TEST_CASE() [1/5]

BOOST_AUTO_TEST_CASE

(

testFromToXml

)

Definition at line 120 of file curveconfig.cpp.

                                    {
 
    // Write the curve configurations to file
    string outputFile_1 = TEST_OUTPUT_FILE("curve_config_out_1.xml");
    curveConfigs.toFile(outputFile_1);
 
    // Read curve configurations from output file
    CurveConfigurations curveConfigsNew;
    curveConfigsNew.fromFile(outputFile_1);
    curveConfigsNew.parseAll();
 
    // Write curve configurations to file again
    string outputFile_2 = TEST_OUTPUT_FILE("curve_config_out_2.xml");
    curveConfigsNew.toFile(outputFile_2);
 
    // Compare contents of the output files
    BOOST_CHECK(compareFiles(outputFile_1, outputFile_2));
}

Here is the call graph for this function:

BOOST_AUTO_TEST_CASE() [2/5]

BOOST_AUTO_TEST_CASE

(

testCurveConfigQuotesAll

)

Definition at line 140 of file curveconfig.cpp.

                                               {
 
    // Ask the curve configurations object for all of its quotes
    set<string> quotes = curveConfigs.quotes();
 
    // Read the expected set of quotes from the file
    set<string> expectedQuotes = readQuotes(TEST_INPUT_FILE("expected_quotes_all.csv"));
 
    // Check that the quotes match the expected quotes
    BOOST_REQUIRE_EQUAL(quotes.size(), expectedQuotes.size());
    BOOST_CHECK_EQUAL_COLLECTIONS(quotes.begin(), quotes.end(), expectedQuotes.begin(), expectedQuotes.end());
}

BOOST_DATA_TEST_CASE()

BOOST_DATA_TEST_CASE	(	testCurveConfigQuotesSimpleTodaysMarket	,
		bdata::make(files)	,
		filePair
	)

Definition at line 154 of file curveconfig.cpp.

                                                                                          {
 
    BOOST_TEST_MESSAGE("Testing with todaysmarket file: " << filePair.first);
 
    // Read the simple, single default configuration, TodaysMarketParameters instance from file
    QuantLib::ext::shared_ptr<TodaysMarketParameters> tmp = QuantLib::ext::make_shared<TodaysMarketParameters>();
    tmp->fromFile(TEST_INPUT_FILE(filePair.first));
 
    // Ask the curve configurations object for its quotes, restricted by the TodaysMarketParameters instance
    set<string> quotes = curveConfigs.quotes(tmp, {Market::defaultConfiguration});
 
    // Read the expected set of quotes from the file
    set<string> expectedQuotes = readQuotes(TEST_INPUT_FILE(filePair.second));
 
    // Check that the quotes match the expected quotes
    BOOST_REQUIRE_EQUAL(quotes.size(), expectedQuotes.size());
    BOOST_CHECK_EQUAL_COLLECTIONS(quotes.begin(), quotes.end(), expectedQuotes.begin(), expectedQuotes.end());
}

BOOST_AUTO_TEST_CASE() [3/5]

BOOST_AUTO_TEST_CASE

(

testCurveConfigQuotesTodaysMarketMultipleConfigs

)

Definition at line 174 of file curveconfig.cpp.

                                                                       {
 
    // Read the TodaysMarketParameters instance, containing multiple configurations, from file
    QuantLib::ext::shared_ptr<TodaysMarketParameters> tmp = QuantLib::ext::make_shared<TodaysMarketParameters>();
    tmp->fromFile(TEST_INPUT_FILE("todays_market_multiple_configs.xml"));
 
    BOOST_REQUIRE_EQUAL(tmp->configurations().size(), 4);
 
    // Check the quotes for each configuration in turn
    for (const auto& kv : tmp->configurations()) {
 
        BOOST_TEST_MESSAGE("Checking quotes for configuration: " << kv.first);
 
        // Ask the curve configurations object for its quotes, restricted by the TodaysMarketParameters
        // instance and the configuration
        set<string> quotes = curveConfigs.quotes(tmp, {kv.first});
 
        // Read the expected set of quotes from the file
        set<string> expectedQuotes;
        if (kv.first == "collateral_inccy") {
            expectedQuotes = readQuotes(TEST_INPUT_FILE("expected_quotes_tmp_multiple_collateral_inccy.csv"));
        } else {
            expectedQuotes = readQuotes(TEST_INPUT_FILE("expected_quotes_tmp_multiple.csv"));
        }
 
        // Check that the quotes match the expected quotes
        BOOST_REQUIRE_EQUAL(quotes.size(), expectedQuotes.size());
        BOOST_CHECK_EQUAL_COLLECTIONS(quotes.begin(), quotes.end(), expectedQuotes.begin(), expectedQuotes.end());
    }
}

BOOST_AUTO_TEST_CASE() [4/5]

BOOST_AUTO_TEST_CASE

(

testDiscountRatioSegmentFromXml

)

Definition at line 206 of file curveconfig.cpp.

                                                      {
 
    // XML string
    string xml;
    xml.append("<DiscountRatio>");
    xml.append("  <Type>Discount Ratio</Type>");
    xml.append("  <BaseCurve currency=\"EUR\">EUR1D</BaseCurve>");
    xml.append("  <NumeratorCurve currency=\"BRL\">BRL-IN-USD</NumeratorCurve>");
    xml.append("  <DenominatorCurve currency=\"EUR\">EUR-IN-USD</DenominatorCurve>");
    xml.append("</DiscountRatio>");
 
    // XMLDocument from string
    XMLDocument doc;
    doc.fromXMLString(xml);
 
    // Populate empty segment from XML node
    DiscountRatioYieldCurveSegment seg;
    seg.fromXML(doc.getFirstNode(""));
 
    // Perform the checks
    BOOST_CHECK(seg.type() == YieldCurveSegment::Type::DiscountRatio);
    BOOST_CHECK_EQUAL(seg.typeID(), "Discount Ratio");
    BOOST_CHECK_EQUAL(seg.conventionsID(), "");
    BOOST_CHECK(seg.quotes().empty());
 
    BOOST_CHECK_EQUAL(seg.baseCurveId(), "EUR1D");
    BOOST_CHECK_EQUAL(seg.baseCurveCurrency(), "EUR");
    BOOST_CHECK_EQUAL(seg.numeratorCurveId(), "BRL-IN-USD");
    BOOST_CHECK_EQUAL(seg.numeratorCurveCurrency(), "BRL");
    BOOST_CHECK_EQUAL(seg.denominatorCurveId(), "EUR-IN-USD");
    BOOST_CHECK_EQUAL(seg.denominatorCurveCurrency(), "EUR");
}

Here is the call graph for this function:

BOOST_AUTO_TEST_CASE() [5/5]

BOOST_AUTO_TEST_CASE

(

testDiscountRatioSegmentToXml

)

Definition at line 240 of file curveconfig.cpp.

                                                    {
    // Create a discount ratio segment
    DiscountRatioYieldCurveSegment seg("Discount Ratio", "EUR1D", "EUR", "BRL-IN-USD", "BRL", "EUR-IN-USD", "EUR");
 
    // Create an XML document from the segment using toXML
    XMLDocument doc;
    doc.appendNode(seg.toXML(doc));
 
    // Create new segment using fromXML and check entries
    DiscountRatioYieldCurveSegment newSeg;
    BOOST_CHECK_NO_THROW(newSeg.fromXML(doc.getFirstNode("")));
    BOOST_CHECK(newSeg.type() == YieldCurveSegment::Type::DiscountRatio);
    BOOST_CHECK_EQUAL(newSeg.typeID(), "Discount Ratio");
    BOOST_CHECK_EQUAL(newSeg.conventionsID(), "");
    BOOST_CHECK(newSeg.quotes().empty());
 
    BOOST_CHECK_EQUAL(newSeg.baseCurveId(), "EUR1D");
    BOOST_CHECK_EQUAL(newSeg.baseCurveCurrency(), "EUR");
    BOOST_CHECK_EQUAL(newSeg.numeratorCurveId(), "BRL-IN-USD");
    BOOST_CHECK_EQUAL(newSeg.numeratorCurveCurrency(), "BRL");
    BOOST_CHECK_EQUAL(newSeg.denominatorCurveId(), "EUR-IN-USD");
    BOOST_CHECK_EQUAL(newSeg.denominatorCurveCurrency(), "EUR");
}

Here is the call graph for this function: