zerocouponswap.cpp File Reference

#include <boost/make_shared.hpp>
#include <boost/test/unit_test.hpp>
#include <ored/marketdata/marketimpl.hpp>
#include <ored/portfolio/builders/swap.hpp>
#include <ored/portfolio/enginedata.hpp>
#include <ored/portfolio/portfolio.hpp>
#include <ored/portfolio/swap.hpp>
#include <ored/utilities/indexparser.hpp>
#include <ored/utilities/log.hpp>
#include <oret/toplevelfixture.hpp>
#include <ql/cashflows/iborcoupon.hpp>
#include <ql/indexes/inflation/ukrpi.hpp>
#include <ql/termstructures/yield/discountcurve.hpp>
#include <ql/time/calendars/unitedkingdom.hpp>
#include <ql/time/daycounters/actual365fixed.hpp>
#include <ql/time/daycounters/actualactual.hpp>
#include <qle/time/yearcounter.hpp>

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Functions
	BOOST_AUTO_TEST_CASE (testZeroCouponSwapPrice)

Function Documentation

BOOST_AUTO_TEST_CASE()

BOOST_AUTO_TEST_CASE

(

testZeroCouponSwapPrice

)

Definition at line 114 of file zerocouponswap.cpp.

                                              {
 
    BOOST_TEST_MESSAGE("Testing Zero Coupon Swap Price...");
 
    // build market
    Date today(28, August, 2018);
    Settings::instance().evaluationDate() = today;
    QuantLib::ext::shared_ptr<TestMarket> market = QuantLib::ext::make_shared<TestMarket>();
    Date marketDate = market->asofDate();
    BOOST_CHECK_EQUAL(today, marketDate);
    Settings::instance().evaluationDate() = marketDate;
 
    // Test if GBP discount curve is empty
    Handle<YieldTermStructure> dts = market->discountCurve("GBP");
    QL_REQUIRE(!dts.empty(), "GBP discount curve not found");
    BOOST_CHECK_CLOSE(market->discountCurve("GBP")->discount(today + 1 * Years), 0.9914, 0.0001);
 
    // Test if GBP Libor curve is empty
    Handle<IborIndex> iis = market->iborIndex("GBP-LIBOR-6M");
    QL_REQUIRE(!iis.empty(), "GBP LIBOR 6M ibor Index not found");
    BOOST_TEST_MESSAGE(
        "CPISwap: Projected Libor fixing: " << market->iborIndex("GBP-LIBOR-6M")->forecastFixing(today + 1 * Years));
 
    // envelope
    Envelope env("CP");
 
    // Start/End date
    Size years = 5;
    Date startDate = today;
    Date endDate = today + years * Years;
 
    // date 2 string
    std::ostringstream oss;
    oss << io::iso_date(startDate);
    string start(oss.str());
    oss.str("");
    oss.clear();
    oss << io::iso_date(endDate);
    string end(oss.str());
 
    // Leg variables
    vector<Real> notional(1, 1000000);
    string paymentConvention = "MF";
    Real rate = 0.02;
    vector<Real> rates;
    rates.push_back(rate);
 
    // Schedule
    string conv = "MF";
    string rule = "Zero";
    ScheduleData scheduleData(ScheduleRules(start, end, "5y", "UK", conv, conv, rule));
    Schedule schedule = makeSchedule(scheduleData);
    BOOST_CHECK_EQUAL(schedule.dates().size(), 2);
 
    // GBP Libor Leg
    bool isPayerLibor = true;
    string indexLibor = "GBP-LIBOR-6M";
    LegData leg(QuantLib::ext::make_shared<ZeroCouponFixedLegData>(rates), isPayerLibor, "GBP", scheduleData, "Year", notional,
                vector<string>(), paymentConvention);
 
    // Build swap trades
    vector<LegData> legData;
    legData.push_back(leg);
    QuantLib::ext::shared_ptr<Trade> swap(new ore::data::Swap(env, legData));
 
    // engine data and factory
    QuantLib::ext::shared_ptr<EngineData> engineData = QuantLib::ext::make_shared<EngineData>();
    engineData->model("Swap") = "DiscountedCashflows";
    engineData->engine("Swap") = "DiscountingSwapEngine";
    QuantLib::ext::shared_ptr<EngineFactory> engineFactory = QuantLib::ext::make_shared<EngineFactory>(engineData, market);
 
    // build swaps and portfolio
    QuantLib::ext::shared_ptr<Portfolio> portfolio(new Portfolio());
    swap->id() = "Swap";
 
    portfolio->add(swap);
    portfolio->build(engineFactory);
 
    Date maturity = schedule.endDate();
    Date fixedPayDate = schedule.calendar().adjust(maturity, parseBusinessDayConvention(paymentConvention));
    Real df = market->discountCurve("GBP")->discount(fixedPayDate);
    Real expectedNPV = -1 * notional.back() * (pow(1.0 + rate, years) - 1.0) * df;
    BOOST_CHECK_CLOSE(swap->instrument()->NPV(), expectedNPV, 1E-8); // this is 1E-10 rel diff
}

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