fxtriangulation.cpp File Reference

#include <boost/make_shared.hpp>
#include <boost/test/unit_test.hpp>
#include <ored/marketdata/fxtriangulation.hpp>
#include <oret/toplevelfixture.hpp>
#include <ql/quotes/simplequote.hpp>

Go to the source code of this file.

Functions
	BOOST_AUTO_TEST_CASE (testDataLoaded)
	BOOST_AUTO_TEST_CASE (testUnity)
	BOOST_AUTO_TEST_CASE (testValues)
	BOOST_AUTO_TEST_CASE (testMoreThanOneStep)
	BOOST_AUTO_TEST_CASE (testBadInputsThrow)

Function Documentation

BOOST_AUTO_TEST_CASE() [1/5]

BOOST_AUTO_TEST_CASE

(

testDataLoaded

)

Definition at line 81 of file fxtriangulation.cpp.

                                     {
    for (const auto& p : fxtData()) {
        BOOST_CHECK_EQUAL(fx.getQuote(p.first)->value(), p.second);
    }
}

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BOOST_AUTO_TEST_CASE() [2/5]

BOOST_AUTO_TEST_CASE

(

testUnity

)

Definition at line 87 of file fxtriangulation.cpp.

                                {
    BOOST_CHECK_EQUAL(fx.getQuote("EUREUR")->value(), 1.0);
    BOOST_CHECK_EQUAL(fx.getQuote("USDUSD")->value(), 1.0);
}

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BOOST_AUTO_TEST_CASE() [3/5]

BOOST_AUTO_TEST_CASE

(

testValues

)

Definition at line 92 of file fxtriangulation.cpp.

                                 {
 
    // Tolerance for comparisons
    Real tol = 1e-12;
 
    // Check inverse
    BOOST_CHECK_CLOSE(fx.getQuote("USDEUR")->value(), 1.0 / 1.0861, tol);
    BOOST_CHECK_CLOSE(fx.getQuote("JPYEUR")->value(), 1.0 / 128.51, tol);
 
    // Check Triangulation
    BOOST_CHECK_CLOSE(fx.getQuote("USDJPY")->value(), 128.51 / 1.0861, tol);
    BOOST_CHECK_CLOSE(fx.getQuote("JPYUSD")->value(), 1.0861 / 128.51, tol);
    BOOST_CHECK_CLOSE(fx.getQuote("USDGBP")->value(), 0.74519 / 1.0861, tol);
    BOOST_CHECK_CLOSE(fx.getQuote("GBPUSD")->value(), 1.0861 / 0.74519, tol);
    BOOST_CHECK_CLOSE(fx.getQuote("NOKSEK")->value(), 9.2640 / 9.6810, tol);
 
    // Check Triangulation where the EUR quote is reversed
    BOOST_CHECK_CLOSE(fx.getQuote("ZZZUSD")->value(), 3.141 * 1.0861, tol);
    BOOST_CHECK_CLOSE(fx.getQuote("USDZZZ")->value(), 1 / (3.141 * 1.0861), tol);
}

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BOOST_AUTO_TEST_CASE() [4/5]

BOOST_AUTO_TEST_CASE

(

testMoreThanOneStep

)

Definition at line 113 of file fxtriangulation.cpp.

                                          {
 
    // Larger tolerance for multiple steps
    Real tol = 1e-8;
 
    BOOST_CHECK_CLOSE(fx.getQuote("USDNZD")->value(), 1.6450 / 1.0861, tol);
}

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BOOST_AUTO_TEST_CASE() [5/5]

BOOST_AUTO_TEST_CASE

(

testBadInputsThrow

)

Definition at line 121 of file fxtriangulation.cpp.

                                         {
    BOOST_CHECK_THROW(fx.getQuote("BadInput"), QuantLib::Error);
    BOOST_CHECK_THROW(fx.getQuote(""), QuantLib::Error);
    BOOST_CHECK_THROW(fx.getQuote("MXNZAR"), QuantLib::Error);
}

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