legdata.cpp File Reference

#include <boost/test/unit_test.hpp>
#include <ored/portfolio/legdata.hpp>
#include <oret/toplevelfixture.hpp>
#include <boost/make_shared.hpp>

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Functions
	BOOST_AUTO_TEST_CASE (testLegDataNotionals)
	BOOST_AUTO_TEST_CASE (testLegDataCashflows)

Function Documentation

BOOST_AUTO_TEST_CASE() [1/2]

BOOST_AUTO_TEST_CASE

(

testLegDataNotionals

)

Definition at line 33 of file legdata.cpp.

                                           {
 
    BOOST_TEST_MESSAGE("Testing LegData Notionals...");
 
    vector<double> notionals = {100, 200, 300};
    vector<string> dates = {"", "2015-01-01", "2016-01-01"};
 
    ScheduleRules sr("2014-06-01", "2016-12-01", "6M", "TARGET", "F", "F", "Forward");
    Schedule s = makeSchedule(sr);
    BOOST_CHECK_EQUAL(s.size(), 6UL);
 
    vector<double> notionalsOut = buildScheduledVector(notionals, dates, s);
 
    // Expect 100, 100, 200, 200, 300
    BOOST_CHECK_EQUAL(notionalsOut.size(), 5UL);
    BOOST_CHECK_EQUAL(notionalsOut[0], 100);
    BOOST_CHECK_EQUAL(notionalsOut[1], 100);
    BOOST_CHECK_EQUAL(notionalsOut[2], 200);
    BOOST_CHECK_EQUAL(notionalsOut[3], 200);
    BOOST_CHECK_EQUAL(notionalsOut[4], 300);
 
    // Now check single value
    notionals = vector<double>(1, 123);
    notionalsOut = buildScheduledVector(notionals, {}, s);
    BOOST_CHECK_EQUAL(notionalsOut.size(), 1UL);
    BOOST_CHECK_EQUAL(notionalsOut[0], 123);
 
    // Now check long value with no "dates" is unaffected
    notionals = {0, 1, 2, 3, 4, 5, 6, 7, 8, 9};
    notionalsOut = buildScheduledVector(notionals, {}, s);
    BOOST_CHECK_EQUAL(notionalsOut.size(), 10UL);
    for (Size i = 0; i < notionalsOut.size(); i++) {
        BOOST_CHECK_EQUAL(notionalsOut[i], (double)i);
    }
}

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BOOST_AUTO_TEST_CASE() [2/2]

BOOST_AUTO_TEST_CASE

(

testLegDataCashflows

)

Definition at line 69 of file legdata.cpp.

                                           {
 
    BOOST_TEST_MESSAGE("Testing LegData Cashflows...");
 
    vector<double> amounts = {1000000, 2000000, 3000000};
    vector<string> dates = {"2015-01-01", "2016-01-01", "2017-01-01"};
 
    LegData legData(QuantLib::ext::make_shared<CashflowData>(amounts, dates), true, "EUR");
    Leg leg = makeSimpleLeg(legData);
 
    // Expect 100000, 200000, 300000
    BOOST_CHECK_EQUAL(leg.size(), 3);
 
    BOOST_CHECK_EQUAL(leg[0]->amount(), 1000000);
    BOOST_CHECK_EQUAL(leg[1]->amount(), 2000000);
    BOOST_CHECK_EQUAL(leg[2]->amount(), 3000000);
 
    BOOST_CHECK_EQUAL(leg[0]->date(), parseDate("2015-01-01"));
    BOOST_CHECK_EQUAL(leg[1]->date(), parseDate("2016-01-01"));
    BOOST_CHECK_EQUAL(leg[2]->date(), parseDate("2017-01-01"));
}

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