strike.cpp File Reference

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

Go to the source code of this file.

Functions
	BOOST_AUTO_TEST_CASE (testAbsoluteStrike)
	BOOST_AUTO_TEST_CASE (testDeltaStrike)
	BOOST_AUTO_TEST_CASE (testAtmStrikeNoDelta)
	BOOST_AUTO_TEST_CASE (testAtmStrikeNoDeltaEquality)
	BOOST_AUTO_TEST_CASE (testAtmStrikeWithDelta)
	BOOST_AUTO_TEST_CASE (testMoneynessStrike)
	BOOST_AUTO_TEST_CASE (testAtmStrikeExceptions)

Function Documentation

BOOST_AUTO_TEST_CASE() [1/7]

BOOST_AUTO_TEST_CASE

(

testAbsoluteStrike

)

Definition at line 32 of file strike.cpp.

                                         {
 
    BOOST_TEST_MESSAGE("Testing absolute strike...");
 
    Real inputStrike = 2.0;
    Real tolerance = 1e-12;
 
    // Construct an AbsoluteStrike directly
    AbsoluteStrike strike(inputStrike);
    BOOST_CHECK_CLOSE(strike.strike(), inputStrike, tolerance);
 
    // Write AbsoluteStrike to string
    string strStrike = strike.toString();
 
    // Parse AbsoluteStrike from string
    QuantLib::ext::shared_ptr<BaseStrike> parsedStrike;
    BOOST_REQUIRE_NO_THROW(parsedStrike = parseBaseStrike(strStrike));
 
    // Check that we get back an AbsoluteStrike
    QuantLib::ext::shared_ptr<AbsoluteStrike> castStrike = QuantLib::ext::dynamic_pointer_cast<AbsoluteStrike>(parsedStrike);
    BOOST_CHECK(castStrike);
 
    // Check its members
    BOOST_CHECK_CLOSE(castStrike->strike(), inputStrike, tolerance);
}

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BOOST_AUTO_TEST_CASE() [2/7]

BOOST_AUTO_TEST_CASE

(

testDeltaStrike

)

Definition at line 58 of file strike.cpp.

                                      {
 
    BOOST_TEST_MESSAGE("Testing delta strike...");
 
    DeltaVolQuote::DeltaType inputDeltaType = DeltaVolQuote::Spot;
    Option::Type inputOptionType = Option::Call;
    Real inputDelta = 0.25;
    Real tolerance = 1e-12;
 
    // Construct a DeltaStrike directly
    DeltaStrike strike(inputDeltaType, inputOptionType, inputDelta);
    BOOST_CHECK_EQUAL(strike.deltaType(), inputDeltaType);
    BOOST_CHECK_EQUAL(strike.optionType(), inputOptionType);
    BOOST_CHECK_CLOSE(strike.delta(), inputDelta, tolerance);
 
    // Write DeltaStrike to string
    string strStrike = strike.toString();
 
    // Parse DeltaStrike from string
    QuantLib::ext::shared_ptr<BaseStrike> parsedStrike;
    BOOST_REQUIRE_NO_THROW(parsedStrike = parseBaseStrike(strStrike));
 
    // Check that we get back a DeltaStrike
    QuantLib::ext::shared_ptr<DeltaStrike> castStrike = QuantLib::ext::dynamic_pointer_cast<DeltaStrike>(parsedStrike);
    BOOST_CHECK(castStrike);
 
    // Check its members
    BOOST_CHECK_EQUAL(castStrike->deltaType(), inputDeltaType);
    BOOST_CHECK_EQUAL(castStrike->optionType(), inputOptionType);
    BOOST_CHECK_CLOSE(castStrike->delta(), inputDelta, tolerance);
}

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BOOST_AUTO_TEST_CASE() [3/7]

BOOST_AUTO_TEST_CASE

(

testAtmStrikeNoDelta

)

Definition at line 90 of file strike.cpp.

                                           {
 
    BOOST_TEST_MESSAGE("Testing ATM strike without delta...");
 
    DeltaVolQuote::AtmType inputAtmType = DeltaVolQuote::AtmFwd;
 
    // Construct an AtmStrike directly
    AtmStrike strike(inputAtmType);
    BOOST_CHECK_EQUAL(strike.atmType(), inputAtmType);
    BOOST_CHECK(!strike.deltaType());
 
    // Write AtmStrike to string
    string strStrike = strike.toString();
 
    // Parse AtmStrike from string
    QuantLib::ext::shared_ptr<BaseStrike> parsedStrike;
    BOOST_REQUIRE_NO_THROW(parsedStrike = parseBaseStrike(strStrike));
 
    // Check that we get back an AtmStrike
    QuantLib::ext::shared_ptr<AtmStrike> castStrike = QuantLib::ext::dynamic_pointer_cast<AtmStrike>(parsedStrike);
    BOOST_CHECK(castStrike);
 
    // Check its members
    BOOST_CHECK_EQUAL(castStrike->atmType(), inputAtmType);
    BOOST_CHECK(!castStrike->deltaType());
}

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BOOST_AUTO_TEST_CASE() [4/7]

BOOST_AUTO_TEST_CASE

(

testAtmStrikeNoDeltaEquality

)

Definition at line 117 of file strike.cpp.

                                                   {
 
     BOOST_TEST_MESSAGE("Testing equality operator for two ATM strikes without delta...");
     // Checks for failure in operator== if delta type is not given
 
     DeltaVolQuote::AtmType atmType = DeltaVolQuote::AtmFwd;
     boost::optional<DeltaVolQuote::DeltaType> atmDeltaType;
 
     vector<QuantLib::ext::shared_ptr<BaseStrike>> strikes;
     strikes.push_back(QuantLib::ext::make_shared<AtmStrike>(atmType, atmDeltaType));
     strikes.push_back(QuantLib::ext::make_shared<AtmStrike>(DeltaVolQuote::AtmFwd));
     BOOST_CHECK(*strikes[0] == *strikes[1]);
}

BOOST_AUTO_TEST_CASE() [5/7]

BOOST_AUTO_TEST_CASE

(

testAtmStrikeWithDelta

)

Definition at line 131 of file strike.cpp.

                                             {
 
    BOOST_TEST_MESSAGE("Testing ATM strike with delta...");
 
    DeltaVolQuote::AtmType inputAtmType = DeltaVolQuote::AtmDeltaNeutral;
    DeltaVolQuote::DeltaType inputDeltaType = DeltaVolQuote::Fwd;
 
    // Construct an AtmStrike directly
    AtmStrike strike(inputAtmType, inputDeltaType);
    BOOST_CHECK_EQUAL(strike.atmType(), inputAtmType);
    BOOST_CHECK(strike.deltaType());
    BOOST_CHECK_EQUAL(*strike.deltaType(), inputDeltaType);
 
    // Write AtmStrike to string
    string strStrike = strike.toString();
 
    // Parse AtmStrike from string
    QuantLib::ext::shared_ptr<BaseStrike> parsedStrike;
    BOOST_REQUIRE_NO_THROW(parsedStrike = parseBaseStrike(strStrike));
 
    // Check that we get back an AtmStrike
    QuantLib::ext::shared_ptr<AtmStrike> castStrike = QuantLib::ext::dynamic_pointer_cast<AtmStrike>(parsedStrike);
    BOOST_CHECK(castStrike);
 
    // Check its members
    BOOST_CHECK_EQUAL(castStrike->atmType(), inputAtmType);
    BOOST_CHECK(castStrike->deltaType());
    BOOST_CHECK_EQUAL(*castStrike->deltaType(), inputDeltaType);
}

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BOOST_AUTO_TEST_CASE() [6/7]

BOOST_AUTO_TEST_CASE

(

testMoneynessStrike

)

Definition at line 161 of file strike.cpp.

                                          {
 
    BOOST_TEST_MESSAGE("Testing moneyness strike ...");
 
    MoneynessStrike::Type inputMoneynessType = MoneynessStrike::Type::Forward;
    Real inputMoneyness = 1.10;
    Real tolerance = 1e-12;
 
    // Construct an MoneynessStrike directly
    MoneynessStrike strike(inputMoneynessType, inputMoneyness);
    BOOST_CHECK_EQUAL(strike.type(), inputMoneynessType);
    BOOST_CHECK_CLOSE(strike.moneyness(), inputMoneyness, tolerance);
 
    // Write MoneynessStrike to string
    string strStrike = strike.toString();
 
    // Parse MoneynessStrike from string
    QuantLib::ext::shared_ptr<BaseStrike> parsedStrike;
    BOOST_REQUIRE_NO_THROW(parsedStrike = parseBaseStrike(strStrike));
 
    // Check that we get back an MoneynessStrike
    QuantLib::ext::shared_ptr<MoneynessStrike> castStrike = QuantLib::ext::dynamic_pointer_cast<MoneynessStrike>(parsedStrike);
    BOOST_CHECK(castStrike);
 
    // Check its members
    BOOST_CHECK_EQUAL(castStrike->type(), inputMoneynessType);
    BOOST_CHECK_CLOSE(castStrike->moneyness(), inputMoneyness, tolerance);
}

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BOOST_AUTO_TEST_CASE() [7/7]

BOOST_AUTO_TEST_CASE

(

testAtmStrikeExceptions

)

Definition at line 190 of file strike.cpp.

                                              {
 
    DeltaVolQuote::AtmType atmType = DeltaVolQuote::AtmNull;
    BOOST_CHECK_THROW(AtmStrike tmp(atmType), Error);
 
    atmType = DeltaVolQuote::AtmDeltaNeutral;
    BOOST_CHECK_THROW(AtmStrike tmp(atmType), Error);
 
    atmType = DeltaVolQuote::AtmSpot;
    DeltaVolQuote::DeltaType deltaType = DeltaVolQuote::Spot;
    BOOST_CHECK_THROW(AtmStrike tmp(atmType, deltaType), Error);
 
    atmType = DeltaVolQuote::AtmPutCall50;
    BOOST_CHECK_THROW(AtmStrike tmp(atmType, deltaType), Error);
}