expiry.cpp File Reference

#include <boost/test/unit_test.hpp>
#include <ored/marketdata/expiry.hpp>
#include <oret/toplevelfixture.hpp>

Go to the source code of this file.

Functions
	BOOST_AUTO_TEST_CASE (testExpiryDate)
	BOOST_AUTO_TEST_CASE (testExpiryPeriod)
	BOOST_AUTO_TEST_CASE (testContinuationExpiry)

Function Documentation

BOOST_AUTO_TEST_CASE() [1/3]

BOOST_AUTO_TEST_CASE

(

testExpiryDate

)

Definition at line 31 of file expiry.cpp.

                                     {
 
    BOOST_TEST_MESSAGE("Testing expiry date...");
 
    Date inputDate(13, Jan, 2020);
 
    // Construct an ExpiryDate directly
    ExpiryDate expiry(inputDate);
    BOOST_CHECK_EQUAL(expiry.expiryDate(), inputDate);
 
    // Write ExpiryDate to string
    string strExpiry = expiry.toString();
 
    // Parse ExpiryDate from string
    QuantLib::ext::shared_ptr<Expiry> parsedExpiry;
    BOOST_REQUIRE_NO_THROW(parsedExpiry = parseExpiry(strExpiry));
 
    // Check that we get back an ExpiryDate
    QuantLib::ext::shared_ptr<ExpiryDate> castExpiry = QuantLib::ext::dynamic_pointer_cast<ExpiryDate>(parsedExpiry);
    BOOST_CHECK(castExpiry);
 
    // Check its members
    BOOST_CHECK_EQUAL(castExpiry->expiryDate(), inputDate);
}

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BOOST_AUTO_TEST_CASE() [2/3]

BOOST_AUTO_TEST_CASE

(

testExpiryPeriod

)

Definition at line 56 of file expiry.cpp.

                                       {
 
    BOOST_TEST_MESSAGE("Testing expiry period...");
 
    Period inputPeriod(3, Months);
 
    // Construct an ExpiryPeriod directly
    ExpiryPeriod expiry(inputPeriod);
    BOOST_CHECK_EQUAL(expiry.expiryPeriod(), inputPeriod);
 
    // Write ExpiryPeriod to string
    string strExpiry = expiry.toString();
 
    // Parse ExpiryPeriod from string
    QuantLib::ext::shared_ptr<Expiry> parsedExpiry;
    BOOST_REQUIRE_NO_THROW(parsedExpiry = parseExpiry(strExpiry));
 
    // Check that we get back an ExpiryDate
    QuantLib::ext::shared_ptr<ExpiryPeriod> castExpiry = QuantLib::ext::dynamic_pointer_cast<ExpiryPeriod>(parsedExpiry);
    BOOST_CHECK(castExpiry);
 
    // Check its members
    BOOST_CHECK_EQUAL(castExpiry->expiryPeriod(), inputPeriod);
}

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BOOST_AUTO_TEST_CASE() [3/3]

BOOST_AUTO_TEST_CASE

(

testContinuationExpiry

)

Definition at line 81 of file expiry.cpp.

                                             {
 
    BOOST_TEST_MESSAGE("Testing future continuation expiry...");
 
    Natural inputIndex = 2;
 
    // Construct a FutureContinuationExpiry directly
    FutureContinuationExpiry expiry(inputIndex);
    BOOST_CHECK_EQUAL(expiry.expiryIndex(), inputIndex);
 
    // Write FutureContinuationExpiry to string
    string strExpiry = expiry.toString();
 
    // Parse FutureContinuationExpiry from string
    QuantLib::ext::shared_ptr<Expiry> parsedExpiry;
    BOOST_REQUIRE_NO_THROW(parsedExpiry = parseExpiry(strExpiry));
 
    // Check that we get back a FutureContinuationExpiry
    QuantLib::ext::shared_ptr<FutureContinuationExpiry> castExpiry =
        QuantLib::ext::dynamic_pointer_cast<FutureContinuationExpiry>(parsedExpiry);
    BOOST_CHECK(castExpiry);
 
    // Check its members
    BOOST_CHECK_EQUAL(castExpiry->expiryIndex(), inputIndex);
}

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