equityswap.cpp File Reference

#include <boost/make_shared.hpp>
#include <boost/test/unit_test.hpp>
#include <ored/marketdata/marketimpl.hpp>
#include <ored/portfolio/builders/swap.hpp>
#include <ored/portfolio/enginedata.hpp>
#include <ored/portfolio/portfolio.hpp>
#include <ored/portfolio/swap.hpp>
#include <ored/utilities/indexparser.hpp>
#include <oret/toplevelfixture.hpp>
#include <ql/cashflows/iborcoupon.hpp>
#include <ql/termstructures/yield/discountcurve.hpp>
#include <ql/termstructures/yield/flatforward.hpp>
#include <ql/time/calendars/unitedstates.hpp>
#include <ql/time/daycounters/actual365fixed.hpp>
#include <ql/time/daycounters/actualactual.hpp>
#include <qle/cashflows/equitycoupon.hpp>
#include <qle/indexes/equityindex.hpp>

Go to the source code of this file.

Functions
	BOOST_AUTO_TEST_CASE (testEquitySwapPriceReturn)
	BOOST_AUTO_TEST_CASE (testEquitySwapTotalReturn)
	BOOST_AUTO_TEST_CASE (testEquitySwapNotionalReset)

Function Documentation

BOOST_AUTO_TEST_CASE() [1/3]

BOOST_AUTO_TEST_CASE

(

testEquitySwapPriceReturn

)

Definition at line 185 of file equityswap.cpp.

                                                {
 
    BOOST_TEST_MESSAGE("Testing Equity Swap Price Return...");
 
    // build market
    QuantLib::ext::shared_ptr<TestMarket> market = QuantLib::ext::make_shared<TestMarket>();
    Date today = market->asofDate();
    Settings::instance().evaluationDate() = today;
 
    CommonVars vars;
    QuantLib::ext::shared_ptr<ore::data::Swap> eqSwap = vars.makeEquitySwap(EquityReturnType::Price);
 
    // engine data and factory
    QuantLib::ext::shared_ptr<EngineData> engineData = QuantLib::ext::make_shared<EngineData>();
    engineData->model("Swap") = "DiscountedCashflows";
    engineData->engine("Swap") = "DiscountingSwapEngine";
    QuantLib::ext::shared_ptr<EngineFactory> engineFactory = QuantLib::ext::make_shared<EngineFactory>(engineData, market);
 
    // build swaps and portfolio
    QuantLib::ext::shared_ptr<Portfolio> portfolio(new Portfolio());
    eqSwap->id() = "EQ_Swap";
 
    portfolio->add(eqSwap);
    portfolio->build(engineFactory);
 
    QuantLib::ext::shared_ptr<QuantLib::Swap> qlSwap = vars.qlEquitySwap(EquityReturnType::Price);
 
    auto dscEngine = QuantLib::ext::make_shared<DiscountingSwapEngine>(market->discountCurve("USD"));
    qlSwap->setPricingEngine(dscEngine);
    BOOST_TEST_MESSAGE("Leg 1 NPV: ORE = "
                       << QuantLib::ext::static_pointer_cast<QuantLib::Swap>(eqSwap->instrument()->qlInstrument())->legNPV(0)
                       << " QL = " << qlSwap->legNPV(0));
    BOOST_TEST_MESSAGE("Leg 2 NPV: ORE = "
                       << QuantLib::ext::static_pointer_cast<QuantLib::Swap>(eqSwap->instrument()->qlInstrument())->legNPV(1)
                       << " QL = " << qlSwap->legNPV(1));
    BOOST_CHECK_CLOSE(eqSwap->instrument()->NPV(), qlSwap->NPV(), 1E-8); // this is 1E-10 rel diff
}

BOOST_AUTO_TEST_CASE() [2/3]

BOOST_AUTO_TEST_CASE

(

testEquitySwapTotalReturn

)

Definition at line 223 of file equityswap.cpp.

                                                {
 
    BOOST_TEST_MESSAGE("Testing Equity Swap Total Return...");
 
    // build market
    QuantLib::ext::shared_ptr<TestMarket> market = QuantLib::ext::make_shared<TestMarket>();
    Date today = market->asofDate();
    Settings::instance().evaluationDate() = today;
 
    CommonVars vars;
    QuantLib::ext::shared_ptr<ore::data::Swap> eqSwap = vars.makeEquitySwap(EquityReturnType::Total);
 
    // engine data and factory
    QuantLib::ext::shared_ptr<EngineData> engineData = QuantLib::ext::make_shared<EngineData>();
    engineData->model("Swap") = "DiscountedCashflows";
    engineData->engine("Swap") = "DiscountingSwapEngine";
    QuantLib::ext::shared_ptr<EngineFactory> engineFactory = QuantLib::ext::make_shared<EngineFactory>(engineData, market);
 
    // build swaps and portfolio
    QuantLib::ext::shared_ptr<Portfolio> portfolio(new Portfolio());
    eqSwap->id() = "EQ_Swap";
 
    portfolio->add(eqSwap);
    portfolio->build(engineFactory);
 
    QuantLib::ext::shared_ptr<QuantLib::Swap> qlSwap = vars.qlEquitySwap(EquityReturnType::Total);
 
    auto dscEngine = QuantLib::ext::make_shared<DiscountingSwapEngine>(market->discountCurve("USD"));
    qlSwap->setPricingEngine(dscEngine);
    BOOST_TEST_MESSAGE("Leg 1 NPV: ORE = "
                       << QuantLib::ext::static_pointer_cast<QuantLib::Swap>(eqSwap->instrument()->qlInstrument())->legNPV(0)
                       << " QL = " << qlSwap->legNPV(0));
    BOOST_TEST_MESSAGE("Leg 2 NPV: ORE = "
                       << QuantLib::ext::static_pointer_cast<QuantLib::Swap>(eqSwap->instrument()->qlInstrument())->legNPV(1)
                       << " QL = " << qlSwap->legNPV(1));
    BOOST_CHECK_CLOSE(eqSwap->instrument()->NPV(), qlSwap->NPV(), 1E-8);
}

BOOST_AUTO_TEST_CASE() [3/3]

BOOST_AUTO_TEST_CASE

(

testEquitySwapNotionalReset

)

Definition at line 261 of file equityswap.cpp.

                                                  {
 
    BOOST_TEST_MESSAGE("Testing Equity Swap Notional Reset...");
 
    // build market
    QuantLib::ext::shared_ptr<TestMarket> market = QuantLib::ext::make_shared<TestMarket>();
    Date today = market->asofDate();
    // Move on 4 months so we during next period, check we can get a notional
    Settings::instance().evaluationDate() = today + Period(4, Months);
 
    CommonVars vars;
    QuantLib::ext::shared_ptr<ore::data::Swap> eqSwap = vars.makeEquitySwap(EquityReturnType::Total, true);
 
    // engine data and factory
    QuantLib::ext::shared_ptr<EngineData> engineData = QuantLib::ext::make_shared<EngineData>();
    engineData->model("Swap") = "DiscountedCashflows";
    engineData->engine("Swap") = "DiscountingSwapEngine";
    QuantLib::ext::shared_ptr<EngineFactory> engineFactory = QuantLib::ext::make_shared<EngineFactory>(engineData, market);
 
    // build swaps and portfolio
    QuantLib::ext::shared_ptr<Portfolio> portfolio(new Portfolio());
    eqSwap->id() = "EQ_Swap";
 
    portfolio->add(eqSwap);
    portfolio->build(engineFactory);
 
    QuantLib::ext::shared_ptr<QuantLib::Swap> qlSwap = vars.qlEquitySwap(EquityReturnType::Total, true);
 
    BOOST_TEST_MESSAGE("Initial notional = " << eqSwap->notional());
 
    // Add equity fixing after portfolio build, this allows us to test notional without fixing
    market->equityCurve("SP5")->addFixing(Date(18, October, 2016), 2100);
 
    auto dscEngine = QuantLib::ext::make_shared<DiscountingSwapEngine>(market->discountCurve("USD"));
    qlSwap->setPricingEngine(dscEngine);
    BOOST_TEST_MESSAGE("Leg 1 NPV: ORE = "
                       << QuantLib::ext::static_pointer_cast<QuantLib::Swap>(eqSwap->instrument()->qlInstrument())->legNPV(0)
                       << " QL = " << qlSwap->legNPV(0));
    BOOST_TEST_MESSAGE("Leg 2 NPV: ORE = "
                       << QuantLib::ext::static_pointer_cast<QuantLib::Swap>(eqSwap->instrument()->qlInstrument())->legNPV(1)
                       << " QL = " << qlSwap->legNPV(1));
    BOOST_CHECK_CLOSE(eqSwap->instrument()->NPV(), qlSwap->NPV(), 1E-8);
}