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Fully annotated reference manual - version 1.8.12
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Functions
cashflow.cpp File Reference
#include "toplevelfixture.hpp"
#include <boost/make_shared.hpp>
#include <boost/test/unit_test.hpp>
#include <ql/currencies/all.hpp>
#include <ql/indexes/indexmanager.hpp>
#include <ql/quotes/simplequote.hpp>
#include <ql/termstructures/yield/flatforward.hpp>
#include <ql/time/calendars/target.hpp>
#include <ql/time/daycounters/actualactual.hpp>
#include <qle/cashflows/equitycoupon.hpp>
#include <qle/cashflows/equitycouponpricer.hpp>
#include <qle/cashflows/fxlinkedcashflow.hpp>

Go to the source code of this file.

Functions

 BOOST_AUTO_TEST_CASE (testFXLinkedCashFlow)
 
 BOOST_AUTO_TEST_CASE (testEquityCoupon)
 

Function Documentation

◆ BOOST_AUTO_TEST_CASE() [1/2]

BOOST_AUTO_TEST_CASE ( testFXLinkedCashFlow  )

Definition at line 41 of file cashflow.cpp.

41 {
42
43 BOOST_TEST_MESSAGE("Testing FX Linked CashFlow");
44
45 // Test today = 5 Jan 2016
46 Settings::instance().evaluationDate() = Date(5, Jan, 2016);
47 Date today = Settings::instance().evaluationDate();
48
49 Date cfDate1(5, Jan, 2015); // historical
50 Date cfDate2(5, Jan, 2016); // today
51 Date cfDate3(5, Jan, 2017); // future
52
53 Real foreignAmount = 1000000; // 1M
54 QuantLib::ext::shared_ptr<SimpleQuote> sq = QuantLib::ext::make_shared<SimpleQuote>(123.45);
55 Handle<Quote> spot(sq);
56 DayCounter dc = ActualActual(ActualActual::ISDA);
57 Calendar cal = TARGET();
58 Handle<YieldTermStructure> domYTS(QuantLib::ext::shared_ptr<YieldTermStructure>(new FlatForward(0, cal, 0.005, dc))); // JPY
59 Handle<YieldTermStructure> forYTS(QuantLib::ext::shared_ptr<YieldTermStructure>(new FlatForward(0, cal, 0.03, dc))); // USD
60 // TODO foreign/domestic vs source/target
61 QuantLib::ext::shared_ptr<FxIndex> fxIndex =
62 QuantLib::ext::make_shared<FxIndex>("FX::USDJPY", 0, USDCurrency(), JPYCurrency(), TARGET(), spot, domYTS, forYTS);
63
64 FXLinkedCashFlow fxlcf1(cfDate1, cfDate1, foreignAmount, fxIndex);
65 FXLinkedCashFlow fxlcf2(cfDate2, cfDate2, foreignAmount, fxIndex);
66 FXLinkedCashFlow fxlcf3(cfDate3, cfDate3, foreignAmount, fxIndex);
67
68 // Add historical and todays fixing
69 fxIndex->addFixing(cfDate1, 112.0);
70 fxIndex->addFixing(cfDate2, sq->value());
71
72 BOOST_TEST_MESSAGE("Check historical flow is correct");
73 BOOST_CHECK_CLOSE(fxlcf1.amount(), 112000000.0, 1e-10);
74
75 BOOST_TEST_MESSAGE("Check todays flow is correct");
76 BOOST_CHECK_CLOSE(fxlcf2.amount(), 123450000.0, 1e-10);
77
78 BOOST_TEST_MESSAGE("Check future (expected) flow is correct");
79 Real fwd = sq->value() * domYTS->discount(cfDate3) / forYTS->discount(cfDate3);
80 BOOST_CHECK_CLOSE(fxlcf3.amount(), foreignAmount * fwd, 1e-10);
81
82 // Now move forward in time, check historical value is still correct
83 Settings::instance().evaluationDate() = Date(1, Feb, 2016);
84 sq->setValue(150.0);
85 domYTS->update();
86 forYTS->update();
87 BOOST_CHECK_CLOSE(fxlcf1.amount(), 112000000.0, 1e-10);
88
89 // check forward quote is still valid
90 fwd = sq->value() * domYTS->discount(cfDate3) / forYTS->discount(cfDate3);
91 BOOST_CHECK_CLOSE(fxlcf3.amount(), foreignAmount * fwd, 1e-10);
92
93 // reset
94 Settings::instance().evaluationDate() = today;
95}
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◆ BOOST_AUTO_TEST_CASE() [2/2]

BOOST_AUTO_TEST_CASE ( testEquityCoupon  )

Definition at line 97 of file cashflow.cpp.

97 {
98
99 BOOST_TEST_MESSAGE("Testing Equity Coupon");
100
101 // Test today = 5 Jan 2016
102 Settings::instance().evaluationDate() = Date(5, Jan, 2016);
103 Date today = Settings::instance().evaluationDate();
104
105 Date cfDate1(4, Dec, 2015);
106 Date cfDate2(5, Apr, 2016); // future
107 Date fixingDate1(31, Dec, 2015);
108 Date fixingDate2(1, Apr, 2016);
109
110 Real nominal = 1000000; // 1M - in USD
111 string eqName = "SP5";
112 QuantLib::ext::shared_ptr<SimpleQuote> sq = QuantLib::ext::make_shared<SimpleQuote>(2100);
113 Handle<Quote> spot(sq);
114 DayCounter dc = ActualActual(ActualActual::ISDA);
115 Calendar cal = TARGET();
116 Currency ccy = USDCurrency();
117 Natural fixingLag = 2;
118 Real divFactor = 1.0;
119 Handle<YieldTermStructure> dividend(
120 QuantLib::ext::shared_ptr<YieldTermStructure>(new FlatForward(0, cal, 0.01, dc))); // Dividend Curve
121 Handle<YieldTermStructure> equityforecast(
122 QuantLib::ext::shared_ptr<YieldTermStructure>(new FlatForward(0, cal, 0.02, dc))); // Equity Forecast Curve
123
124 QuantLib::ext::shared_ptr<EquityIndex2> eqIndex =
125 QuantLib::ext::make_shared<EquityIndex2>(eqName, cal, ccy, spot, equityforecast, dividend);
126
127 eqIndex->addFixing(cfDate1, 2000);
128 eqIndex->addFixing(fixingDate1, 1980);
129
130 // Price Return coupon
131 EquityCoupon eq1(cfDate2, nominal, today, cfDate2, 0, eqIndex, dc, EquityReturnType::Price);
132 // Total Return Coupon
133 EquityCoupon eq2(cfDate2, nominal, today, cfDate2, 0, eqIndex, dc, EquityReturnType::Total, divFactor);
134 // historical starting coupon
135 EquityCoupon eq3(cfDate2, nominal, cfDate1, cfDate2, 0, eqIndex, dc, EquityReturnType::Price);
136 // Total Return Coupon with fixing lag
137 EquityCoupon eq4(cfDate2, nominal, today, cfDate2, fixingLag, eqIndex, dc, EquityReturnType::Total);
138
139 // Fx Index, coupon and underlying have different currency
140 Handle<YieldTermStructure> domYTS(QuantLib::ext::shared_ptr<YieldTermStructure>(new FlatForward(0, cal, 0.01, dc))); // EUR
141 Handle<YieldTermStructure> forYTS(QuantLib::ext::shared_ptr<YieldTermStructure>(new FlatForward(0, cal, 0.02, dc))); // USD
142 Handle<Quote> fxSpot(QuantLib::ext::make_shared<SimpleQuote>(1.1));
143 QuantLib::ext::shared_ptr<FxIndex> fxIndex =
144 QuantLib::ext::make_shared<FxIndex>("FX::EURUSD", 2, EURCurrency(), USDCurrency(), TARGET(), fxSpot, domYTS, forYTS);
145 // Add historical and todays fixing
146 fxIndex->addFixing(cfDate1, 1.09);
147
148 // Total return coupon with underlying in different ccy - Base ccy EUR, and underlying SP5 in USD
149 EquityCoupon eq5(cfDate2, nominal, today, cfDate2, 0, eqIndex, dc, EquityReturnType::Total, 1.0, false,
150 Null<Real>(), Null<Real>(), Date(), Date(), Date(), Date(), Date(), fxIndex);
151
152 QuantLib::ext::shared_ptr<EquityCouponPricer> pricer1(new EquityCouponPricer());
153 QuantLib::ext::shared_ptr<EquityCouponPricer> pricer2(new EquityCouponPricer());
154 QuantLib::ext::shared_ptr<EquityCouponPricer> pricer3(new EquityCouponPricer());
155 QuantLib::ext::shared_ptr<EquityCouponPricer> pricer4(new EquityCouponPricer());
156 QuantLib::ext::shared_ptr<EquityCouponPricer> pricer5(new EquityCouponPricer());
157 eq1.setPricer(pricer1);
158 eq2.setPricer(pricer2);
159 eq3.setPricer(pricer3);
160 eq4.setPricer(pricer4);
161 eq5.setPricer(pricer5);
162
163 // Price Return coupon
164 Time dt = dc.yearFraction(today, cfDate2);
165 Real forward = spot->value() * std::exp((0.02 - 0.01) * dt);
166 Real expectedAmount = nominal * (forward - spot->value()) / spot->value();
167 BOOST_TEST_MESSAGE("Check Price Return is correct.");
168 BOOST_CHECK_CLOSE(eq1.amount(), expectedAmount, 1e-10);
169
170 // Total Return Coupon
171 forward = spot->value() * std::exp((0.02 - 0.01) * dt);
172 Real div = spot->value() * std::exp((0.02) * dt) - forward;
173 expectedAmount = nominal * (forward + divFactor * div - spot->value()) / spot->value();
174 BOOST_TEST_MESSAGE("Check Total Return is correct");
175 BOOST_CHECK_CLOSE(eq2.amount(), expectedAmount, 1e-10);
176
177 // Historical starting Price Return coupon
178 forward = spot->value() * std::exp((0.02 - 0.01) * dt);
179 expectedAmount = nominal * (forward - eqIndex->fixing(cfDate1)) / eqIndex->fixing(cfDate1);
180 BOOST_TEST_MESSAGE("Check Historical starting Price Return is correct.");
181 BOOST_CHECK_CLOSE(eq3.amount(), expectedAmount, 1e-10);
182
183 // Total Return Coupon with fixing lag
184 dt = dc.yearFraction(today, fixingDate2);
185 forward = spot->value() * std::exp(0.02 * dt);
186 expectedAmount = nominal * (forward - eqIndex->fixing(fixingDate1)) / eqIndex->fixing(fixingDate1);
187 BOOST_TEST_MESSAGE("Check Total Return fixing lag handling is correct.");
188 BOOST_CHECK_CLOSE(eq4.amount(), expectedAmount, 1e-10);
189
190 // Total return coupon with underlying in different ccy
191 dt = dc.yearFraction(today, cfDate2);
192 forward = spot->value() * std::exp((0.02 - 0.01) * dt);
193 div = spot->value() * std::exp((0.02) * dt) - forward;
194 expectedAmount =
195 nominal * ((forward + div) * fxIndex->fixing(cfDate2) - spot->value() * 1.1) / (spot->value() * 1.1);
196 BOOST_TEST_MESSAGE("Check Total Return with underlying in different ccy handling is correct.");
197 BOOST_CHECK_CLOSE(eq5.amount(), expectedAmount, 1e-10);
198}
QuantExt::EquityCouponPricer
Pricer for equity coupons.
Definition: equitycouponpricer.hpp:36
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