curveconfig.cpp

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/*
 Copyright (C) 2016 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/algorithm/string.hpp>
#include <boost/make_shared.hpp>
// clang-format off
#include <boost/test/unit_test.hpp>
#include <boost/test/data/test_case.hpp>
// clang-format on
#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>
 
using namespace QuantLib;
using namespace QuantExt;
using namespace boost::unit_test_framework;
using namespace std;
using namespace ore;
using namespace ore::data;
 
using ore::test::TopLevelFixture;
using std::ostream;
 
namespace bdata = boost::unit_test::data;
 
namespace {
 
// Suite level fixture that:
// - loads curve configurations
// - cleans up output files
class F : public TopLevelFixture {
public:
    CurveConfigurations curveConfigs;
 
    F() {
 
        // Clear previous output if any.
        clearOutput(TEST_OUTPUT_PATH);
 
        // Read curve configurations from file
        curveConfigs.fromFile(TEST_INPUT_FILE("curve_config.xml"));
        curveConfigs.parseAll();
    }
 
    ~F() {}
};
 
set<string> readQuotes(const string& filename) {
    // Read the quotes from the file
    CSVFileReader reader(filename, false, ",");
 
    // Insert the quotes in a set
    set<string> quotes;
    while (reader.next()) {
        quotes.insert(reader.get(0));
    }
 
    return quotes;
}
 
// Todays market input and expected quotes output file
vector<pair<string, string>> files = {
    make_pair("todays_market_only_ir.xml", "expected_quotes_only_ir.csv"),
    make_pair("todays_market_with_fx_vol_smile.xml", "expected_quotes_with_fx_vol_smile.csv"),
    make_pair("todays_market_with_fx_vol_smile_delta.xml", "expected_quotes_with_fx_vol_smile_delta.csv"),
    make_pair("todays_market_with_fx_vol_atm.xml", "expected_quotes_with_fx_vol_atm.csv"),
    make_pair("todays_market_single_config_gbp.xml", "expected_quotes_tmp_single_gbp.csv")};
 
} // namespace
 
// Needed for BOOST_DATA_TEST_CASE below as it writes out the string pair
// https://stackoverflow.com/a/33965517/1771882
namespace boost {
namespace test_tools {
namespace tt_detail {
template <> struct print_log_value<pair<string, string>> {
    void operator()(std::ostream& os, const pair<string, string>& p) { os << "[" << p.first << "," << p.second << "]"; }
};
} // namespace tt_detail
} // namespace test_tools
} // namespace boost
 
BOOST_FIXTURE_TEST_SUITE(OREDataTestSuite, TopLevelFixture)
 
BOOST_FIXTURE_TEST_SUITE(CurveConfigTest, F)
 
BOOST_AUTO_TEST_CASE(testFromToXml) {
 
    // 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));
}
 
// Testing curve config quotes method with no restrictions
BOOST_AUTO_TEST_CASE(testCurveConfigQuotesAll) {
 
    // 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());
}
 
// Testing curve config quotes method for various TodaysMarketParameters
BOOST_DATA_TEST_CASE(testCurveConfigQuotesSimpleTodaysMarket, bdata::make(files), filePair) {
 
    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());
}
 
// Testing curve config quotes method for a TodaysMarketParameters with multiple configurations
BOOST_AUTO_TEST_CASE(testCurveConfigQuotesTodaysMarketMultipleConfigs) {
 
    // 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());
    }
}
 
// Test fromXML for DiscountRatioYieldCurveSegment
BOOST_AUTO_TEST_CASE(testDiscountRatioSegmentFromXml) {
 
    // 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");
}
 
// Test toXML for DiscountRatioYieldCurveSegment
BOOST_AUTO_TEST_CASE(testDiscountRatioSegmentToXml) {
    // 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");
}
 
BOOST_AUTO_TEST_SUITE_END()
 
BOOST_AUTO_TEST_SUITE_END()