dategeneration.cpp File Reference

#include "toplevelfixture.hpp"
#include <boost/test/unit_test.hpp>
#include <ql/time/calendars/target.hpp>
#include <qle/calendars/belgium.hpp>
#include <ql/time/schedule.hpp>

Go to the source code of this file.

Namespaces
namespace	check

Functions
void	checkDates (const Schedule &s, const std::vector< Date > &expected)
void	checkDay (const Schedule &s, Weekday w)
	BOOST_AUTO_TEST_CASE (testThirdThursday)
	BOOST_AUTO_TEST_CASE (testThirdFriday)
	BOOST_AUTO_TEST_CASE (testMondayAfterThirdFriday)
	BOOST_AUTO_TEST_CASE (testTuesdayAfterThirdFriday)

Function Documentation

BOOST_AUTO_TEST_CASE() [1/4]

BOOST_AUTO_TEST_CASE

(

testThirdThursday

)

Definition at line 60 of file dategeneration.cpp.

                                        {
 
    BOOST_TEST_MESSAGE("Testing ThirdThursday DateGeneration rule");
 
    std::vector<Date> expectedDates;
 
    expectedDates.push_back(Date(12, December, 2016));
    expectedDates.push_back(Date(16, March, 2017));
    expectedDates.push_back(Date(15, June, 2017));
    expectedDates.push_back(Date(21, September, 2017));
    expectedDates.push_back(Date(21, December, 2017));
    expectedDates.push_back(Date(15, March, 2018));
    expectedDates.push_back(Date(21, June, 2018));
    expectedDates.push_back(Date(20, September, 2018));
    expectedDates.push_back(Date(12, December, 2018));
 
    Schedule s =
        MakeSchedule().from(Date(12, December, 2016))
                      .to(Date(12, December, 2016) + Period(2, Years))
                      .withCalendar(TARGET())
                      .withTenor(3*Months)
                      .withConvention(ModifiedFollowing)
                      .withTerminationDateConvention(Unadjusted)
                      .withRule(DateGeneration::ThirdThursday);
 
    check::checkDates(s, expectedDates);
    check::checkDay(s, Thursday);
}

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BOOST_AUTO_TEST_CASE() [2/4]

BOOST_AUTO_TEST_CASE

(

testThirdFriday

)

Definition at line 89 of file dategeneration.cpp.

                                      {
 
    BOOST_TEST_MESSAGE("Testing ThirdFriday DateGeneration rule");
 
    std::vector<Date> expectedDates;
 
    expectedDates.push_back(Date(12, December, 2016));
    expectedDates.push_back(Date(17, March, 2017));
    expectedDates.push_back(Date(16, June, 2017));
    expectedDates.push_back(Date(15, September, 2017));
    expectedDates.push_back(Date(15, December, 2017));
    expectedDates.push_back(Date(16, March, 2018));
    expectedDates.push_back(Date(15, June, 2018));
    expectedDates.push_back(Date(21, September, 2018));
    expectedDates.push_back(Date(12, December, 2018));
 
    Schedule s =
        MakeSchedule().from(Date(12, December, 2016))
                      .to(Date(12, December, 2016) + Period(2, Years))
                      .withCalendar(TARGET())
                      .withTenor(3*Months)
                      .withConvention(ModifiedFollowing)
                      .withTerminationDateConvention(Unadjusted)
                      .withRule(DateGeneration::ThirdFriday);
 
    check::checkDates(s, expectedDates);
    check::checkDay(s, Friday);
}

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BOOST_AUTO_TEST_CASE() [3/4]

BOOST_AUTO_TEST_CASE

(

testMondayAfterThirdFriday

)

Definition at line 118 of file dategeneration.cpp.

                                                 {
 
    BOOST_TEST_MESSAGE("Testing MondayAfterThirdFriday DateGeneration rule");
 
    std::vector<Date> expectedDates;
 
    expectedDates.push_back(Date(12, December, 2016));
    expectedDates.push_back(Date(20, March, 2017));
    expectedDates.push_back(Date(19, June, 2017));
    expectedDates.push_back(Date(18, September, 2017));
    expectedDates.push_back(Date(18, December, 2017));
    expectedDates.push_back(Date(19, March, 2018));
    expectedDates.push_back(Date(18, June, 2018));
    expectedDates.push_back(Date(24, September, 2018));
    expectedDates.push_back(Date(12, December, 2018));
 
    Schedule s =
        MakeSchedule().from(Date(12, December, 2016))
                      .to(Date(12, December, 2016) + Period(2, Years))
                      .withCalendar(TARGET())
                      .withTenor(3*Months)
                      .withConvention(ModifiedFollowing)
                      .withTerminationDateConvention(Unadjusted)
                      .withRule(DateGeneration::MondayAfterThirdFriday);
 
    check::checkDates(s, expectedDates);
    check::checkDay(s, Monday);
}

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BOOST_AUTO_TEST_CASE() [4/4]

BOOST_AUTO_TEST_CASE

(

testTuesdayAfterThirdFriday

)

Definition at line 147 of file dategeneration.cpp.

                                                  {
 
    BOOST_TEST_MESSAGE("Testing TuesdayAfterThirdFriday DateGeneration rule");
 
    std::vector<Date> expectedDates;
 
    expectedDates.push_back(Date(12, December, 2016));
    expectedDates.push_back(Date(21, March, 2017));
    expectedDates.push_back(Date(20, June, 2017));
    expectedDates.push_back(Date(19, September, 2017));
    expectedDates.push_back(Date(19, December, 2017));
    expectedDates.push_back(Date(20, March, 2018));
    expectedDates.push_back(Date(19, June, 2018));
    expectedDates.push_back(Date(25, September, 2018));
    expectedDates.push_back(Date(12, December, 2018));
 
    Schedule s =
        MakeSchedule().from(Date(12, December, 2016))
                      .to(Date(12, December, 2016) + Period(2, Years))
                      .withCalendar(TARGET())
                      .withTenor(3*Months)
                      .withConvention(ModifiedFollowing)
                      .withTerminationDateConvention(Unadjusted)
                      .withRule(DateGeneration::TuesdayAfterThirdFriday);
 
    check::checkDates(s, expectedDates);
    check::checkDay(s, Tuesday);
}

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