optionpaymentdata.cpp File Reference

#include <boost/test/unit_test.hpp>
#include <oret/datapaths.hpp>
#include <oret/toplevelfixture.hpp>
#include <ored/portfolio/optionpaymentdata.hpp>
#include <ql/time/calendars/unitedstates.hpp>

Go to the source code of this file.

Functions
	BOOST_AUTO_TEST_CASE (testDefaultConstruction)
	BOOST_AUTO_TEST_CASE (testDatesBasedConstruction)
	BOOST_AUTO_TEST_CASE (testDatesBasedFromXml)
	BOOST_AUTO_TEST_CASE (testDatesBasedToXml)
	BOOST_AUTO_TEST_CASE (testRulesBasedConstruction)
	BOOST_AUTO_TEST_CASE (testRulesBasedFromXml)
	BOOST_AUTO_TEST_CASE (testRulesBasedToXml)

Function Documentation

BOOST_AUTO_TEST_CASE() [1/7]

BOOST_AUTO_TEST_CASE

(

testDefaultConstruction

)

Definition at line 35 of file optionpaymentdata.cpp.

                                              {
 
    BOOST_TEST_MESSAGE("Testing default construction...");
 
    OptionPaymentData opd;
 
    BOOST_CHECK(!opd.rulesBased());
    BOOST_CHECK(opd.dates().empty());
    BOOST_CHECK_EQUAL(opd.lag(), 0);
    BOOST_CHECK_EQUAL(opd.calendar(), Calendar());
    BOOST_CHECK_EQUAL(opd.convention(), Following);
    BOOST_CHECK_EQUAL(opd.relativeTo(), OptionPaymentData::RelativeTo::Expiry);
}

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BOOST_AUTO_TEST_CASE() [2/7]

BOOST_AUTO_TEST_CASE

(

testDatesBasedConstruction

)

Definition at line 49 of file optionpaymentdata.cpp.

                                                 {
 
    BOOST_TEST_MESSAGE("Testing dates based construction...");
 
    vector<string> strDates{"2020-06-08", "2020-09-08"};
    OptionPaymentData opd(strDates);
 
    vector<Date> expDates{Date(8, Jun, 2020), Date(8, Sep, 2020)};
    BOOST_CHECK(!opd.rulesBased());
    BOOST_CHECK_EQUAL_COLLECTIONS(opd.dates().begin(), opd.dates().end(), expDates.begin(), expDates.end());
    BOOST_CHECK_EQUAL(opd.lag(), 0);
    BOOST_CHECK_EQUAL(opd.calendar(), Calendar());
    BOOST_CHECK_EQUAL(opd.convention(), Following);
    BOOST_CHECK_EQUAL(opd.relativeTo(), OptionPaymentData::RelativeTo::Expiry);
}

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BOOST_AUTO_TEST_CASE() [3/7]

BOOST_AUTO_TEST_CASE

(

testDatesBasedFromXml

)

Definition at line 65 of file optionpaymentdata.cpp.

                                            {
 
    BOOST_TEST_MESSAGE("Testing dates based fromXML...");
 
    // XML input
    string xml;
    xml.append("<PaymentData>");
    xml.append("  <Dates>");
    xml.append("    <Date>2020-06-08</Date>");
    xml.append("    <Date>2020-09-08</Date>");
    xml.append("  </Dates>");
    xml.append("</PaymentData>");
 
    // Load OptionPaymentData from XML
    OptionPaymentData opd;
    opd.fromXMLString(xml);
 
    // Check is as expected.
    vector<Date> expDates{Date(8, Jun, 2020), Date(8, Sep, 2020)};
    BOOST_CHECK(!opd.rulesBased());
    BOOST_CHECK_EQUAL_COLLECTIONS(opd.dates().begin(), opd.dates().end(), expDates.begin(), expDates.end());
    BOOST_CHECK_EQUAL(opd.lag(), 0);
    BOOST_CHECK_EQUAL(opd.calendar(), Calendar());
    BOOST_CHECK_EQUAL(opd.convention(), Following);
    BOOST_CHECK_EQUAL(opd.relativeTo(), OptionPaymentData::RelativeTo::Expiry);
}

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BOOST_AUTO_TEST_CASE() [4/7]

BOOST_AUTO_TEST_CASE

(

testDatesBasedToXml

)

Definition at line 92 of file optionpaymentdata.cpp.

                                          {
 
    BOOST_TEST_MESSAGE("Testing dates based toXML...");
 
    // Construct explicitly
    vector<string> strDates{"2020-06-08", "2020-09-08"};
    OptionPaymentData inOpd(strDates);
 
    // Write to XML and read the result from XML to populate new object
    OptionPaymentData outOpd;
    outOpd.fromXMLString(inOpd.toXMLString());
 
    // Check is as expected.
    BOOST_CHECK(!outOpd.rulesBased());
    BOOST_CHECK_EQUAL_COLLECTIONS(outOpd.dates().begin(), outOpd.dates().end(), inOpd.dates().begin(),
                                  inOpd.dates().end());
    BOOST_CHECK_EQUAL(outOpd.lag(), 0);
    BOOST_CHECK_EQUAL(outOpd.calendar(), Calendar());
    BOOST_CHECK_EQUAL(outOpd.convention(), Following);
    BOOST_CHECK_EQUAL(outOpd.relativeTo(), OptionPaymentData::RelativeTo::Expiry);
}

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BOOST_AUTO_TEST_CASE() [5/7]

BOOST_AUTO_TEST_CASE

(

testRulesBasedConstruction

)

Definition at line 114 of file optionpaymentdata.cpp.

                                                 {
 
    BOOST_TEST_MESSAGE("Testing rules based construction...");
 
    OptionPaymentData opd("5", "USD", "Following", "Exercise");
 
    BOOST_CHECK(opd.rulesBased());
    BOOST_CHECK(opd.dates().empty());
    BOOST_CHECK_EQUAL(opd.lag(), 5);
    BOOST_CHECK_EQUAL(opd.calendar(), UnitedStates(UnitedStates::Settlement));
    BOOST_CHECK_EQUAL(opd.convention(), Following);
    BOOST_CHECK_EQUAL(opd.relativeTo(), OptionPaymentData::RelativeTo::Exercise);
}

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BOOST_AUTO_TEST_CASE() [6/7]

BOOST_AUTO_TEST_CASE

(

testRulesBasedFromXml

)

Definition at line 128 of file optionpaymentdata.cpp.

                                            {
 
    BOOST_TEST_MESSAGE("Testing rules based fromXML...");
 
    // XML input
    string xml;
    xml.append("<PaymentData>");
    xml.append("  <Rules>");
    xml.append("    <Lag>3</Lag>");
    xml.append("    <Calendar>US</Calendar>");
    xml.append("    <Convention>ModifiedFollowing</Convention>");
    xml.append("    <RelativeTo>Expiry</RelativeTo>");
    xml.append("  </Rules>");
    xml.append("</PaymentData>");
 
    // Load OptionPaymentData from XML
    OptionPaymentData opd;
    opd.fromXMLString(xml);
 
    // Check is as expected.
    BOOST_CHECK(opd.rulesBased());
    BOOST_CHECK(opd.dates().empty());
    BOOST_CHECK_EQUAL(opd.lag(), 3);
    BOOST_CHECK_EQUAL(opd.calendar(), UnitedStates(UnitedStates::Settlement));
    BOOST_CHECK_EQUAL(opd.convention(), ModifiedFollowing);
    BOOST_CHECK_EQUAL(opd.relativeTo(), OptionPaymentData::RelativeTo::Expiry);
}

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BOOST_AUTO_TEST_CASE() [7/7]

BOOST_AUTO_TEST_CASE

(

testRulesBasedToXml

)

Definition at line 156 of file optionpaymentdata.cpp.

                                          {
 
    BOOST_TEST_MESSAGE("Testing rules based toXML...");
 
    // Construct explicitly
    OptionPaymentData inOpd("3", "USD", "ModifiedFollowing", "Exercise");
 
    // Write to XML and read the result from XML to populate new object
    OptionPaymentData outOpd;
    outOpd.fromXMLString(inOpd.toXMLString());
 
    // Check is as expected.
    BOOST_CHECK(outOpd.rulesBased());
    BOOST_CHECK(outOpd.dates().empty());
    BOOST_CHECK_EQUAL(outOpd.lag(), 3);
    BOOST_CHECK_EQUAL(outOpd.calendar(), UnitedStates(UnitedStates::Settlement));
    BOOST_CHECK_EQUAL(outOpd.convention(), ModifiedFollowing);
    BOOST_CHECK_EQUAL(outOpd.relativeTo(), OptionPaymentData::RelativeTo::Exercise);
}

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