cpileg.cpp File Reference

#include "toplevelfixture.hpp"
#include <boost/test/unit_test.hpp>
#include <ql/indexes/inflation/ukrpi.hpp>
#include <ql/termstructures/yield/flatforward.hpp>
#include <ql/time/calendars/all.hpp>
#include <ql/time/daycounters/actualactual.hpp>
#include <qle/cashflows/cpicoupon.hpp>

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Functions
	BOOST_AUTO_TEST_CASE (testCpiLegPaymentLag)

Function Documentation

BOOST_AUTO_TEST_CASE()

BOOST_AUTO_TEST_CASE

(

testCpiLegPaymentLag

)

Definition at line 34 of file cpileg.cpp.

                                           {
 
    BOOST_TEST_MESSAGE("Testing QuantExt::CPILeg for payment lag...");
 
    Date evaluationDate(6, October, 2023);
    Settings::instance().evaluationDate() = evaluationDate;
    Calendar calendar = WeekendsOnly();
    DayCounter dayCounter = ActualActual(ActualActual::ISDA);
 
    Date startDate(6, October, 2023);
    Date endDate(6, October, 2026);
    Schedule fixedSchedule = MakeSchedule()
                                 .from(startDate)
                                 .to(endDate)
                                 .withTenor(Period(6, Months))
                                 .withCalendar(calendar)
                                 .withConvention(ModifiedFollowing)
                                 .backwards();
 
    auto flatYts = ext::shared_ptr<YieldTermStructure>(new FlatForward(evaluationDate, 0.025, dayCounter));
    RelinkableHandle<YieldTermStructure> yTS(flatYts);
 
    auto ukrpi = ext::make_shared<UKRPI>();
    Leg cpiLeg = QuantExt::CPILeg(fixedSchedule, ukrpi, yTS, 100, Period(3, Months))
                     .withNotionals(1e6)
                     .withFixedRates(0.01)
                     .withPaymentCalendar(calendar)
                     .withPaymentLag(2);
 
    for (auto& coupon : cpiLeg) {
        if (auto cpiCoupon = ext::dynamic_pointer_cast<CPICoupon>(coupon))
            // The setup leg will have six regular coupons
            BOOST_CHECK_EQUAL(cpiCoupon->date(), cpiCoupon->accrualEndDate() + 2 * Days);
        else if (auto cpiNotionalCashflow = ext::dynamic_pointer_cast<CPICashFlow>(coupon))
            // and one of these flows
            BOOST_CHECK_EQUAL(cpiNotionalCashflow->date(), fixedSchedule.endDate() + 2 * Days);
    }
}

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