fxswap.cpp File Reference

#include <boost/make_shared.hpp>
#include <boost/test/unit_test.hpp>
#include <ored/marketdata/marketimpl.hpp>
#include <ored/portfolio/enginedata.hpp>
#include <ored/portfolio/fxforward.hpp>
#include <ored/portfolio/fxoption.hpp>
#include <ored/portfolio/fxswap.hpp>
#include <oret/toplevelfixture.hpp>
#include <ql/termstructures/volatility/equityfx/blackconstantvol.hpp>
#include <ql/termstructures/yield/flatforward.hpp>
#include <ql/time/daycounters/actualactual.hpp>

Go to the source code of this file.

Functions
	BOOST_AUTO_TEST_CASE (testFXSwap)

Function Documentation

BOOST_AUTO_TEST_CASE()

BOOST_AUTO_TEST_CASE

(

testFXSwap

)

Definition at line 139 of file fxswap.cpp.

                                 {
 
    BOOST_TEST_MESSAGE("Testing FXSwap...");
 
    QuantLib::ext::shared_ptr<Market> market = QuantLib::ext::make_shared<TestMarket>();
 
    string nearDate = "2015-10-27";
    string farDate = "2015-11-03";
    string nearBoughtCurrency = "EUR";
    Real nearBoughtAmount = 224557621.490000;
    string nearSoldCurrency = "USD";
    Real nearSoldAmount = 250000000.000000;
    Real farBoughtAmount = 250018000.00;
    Real farSoldAmount = 224552207.77;
 
    test(nearDate, farDate, nearBoughtCurrency, nearBoughtAmount, nearSoldCurrency, nearSoldAmount, farBoughtAmount,
         farSoldAmount, market);
 
    nearDate = "2015-07-14";
    farDate = "2015-11-16";
    nearBoughtCurrency = "CHF";
    nearBoughtAmount = 97000000;
    nearSoldCurrency = "USD";
    nearSoldAmount = 103718911.06;
    farBoughtAmount = 103923787.150000;
    farSoldAmount = 96737000.000000;
 
    test(nearDate, farDate, nearBoughtCurrency, nearBoughtAmount, nearSoldCurrency, nearSoldAmount, farBoughtAmount,
         farSoldAmount, market);
 
    nearDate = "2015-08-04";
    farDate = "2015-11-30";
    nearBoughtCurrency = "GBP";
    nearBoughtAmount = 100227439.19;
    nearSoldCurrency = "USD";
    nearSoldAmount = 156000000;
    farBoughtAmount = 156148000.000000;
    farSoldAmount = 100400372.110000;
 
    test(nearDate, farDate, nearBoughtCurrency, nearBoughtAmount, nearSoldCurrency, nearSoldAmount, farBoughtAmount,
         farSoldAmount, market);
}