pricecurve.cpp File Reference

#include "toplevelfixture.hpp"
#include <boost/assign/list_of.hpp>
#include <boost/make_shared.hpp>
#include <boost/test/unit_test.hpp>
#include <ql/currencies/america.hpp>
#include <ql/math/interpolations/all.hpp>
#include <ql/quotes/simplequote.hpp>
#include <ql/time/daycounters/actual365fixed.hpp>
#include <qle/termstructures/pricecurve.hpp>

Go to the source code of this file.

Functions
	BOOST_AUTO_TEST_CASE (testPeriodsAndPricesCurve)
	BOOST_AUTO_TEST_CASE (testPeriodsAndQuotesCurve)
	BOOST_AUTO_TEST_CASE (testDatesAndPricesCurve)
	BOOST_AUTO_TEST_CASE (testDatesAndQuotesCurve)
	BOOST_AUTO_TEST_CASE (testNoTimeZeroWorks)
	BOOST_AUTO_TEST_CASE (testNegativeTimeRequestThrows)

Function Documentation

BOOST_AUTO_TEST_CASE() [1/6]

BOOST_AUTO_TEST_CASE

(

testPeriodsAndPricesCurve

)

Definition at line 185 of file pricecurve.cpp.

                                                {
 
    BOOST_TEST_MESSAGE("Testing interpolated price curve built from periods and prices");
 
    CommonData td;
 
    // Look at the first test date
    Settings::instance().evaluationDate() = td.testDates[0];
 
    // Create a linearly interpolated price curve
    InterpolatedPriceCurve<Linear> priceCurve(td.curveTenors, td.prices, td.curveDayCounter, td.currency);
 
    // Common checks on curve
    commonChecks(td, priceCurve, false);
 
    // Create a loglinearly interpolated price curve
    InterpolatedPriceCurve<LogLinear> logPriceCurve(td.curveTenors, td.prices, td.curveDayCounter, td.currency);
 
    // Common checks on curve
    commonChecks(td, logPriceCurve, true);
 
    // Check linearly interpolated price curve after moving reference date
    Settings::instance().evaluationDate() = td.testDates[1];
 
    // Check curve reference date is now second test date
    BOOST_CHECK_EQUAL(priceCurve.referenceDate(), td.testDates[1]);
 
    // Requesting price by time should give the same results as previously
    // Requesting by date should give new results (floating reference date curve)
    for (Size i = 0; i < td.interpolationTimes.size(); i++) {
        BOOST_CHECK_CLOSE(td.baseExpInterpResults[i], priceCurve.price(td.interpolationTimes[i], td.extrapolate),
                          td.tolerance);
        BOOST_CHECK_CLOSE(td.afterExpInterpResults[i], priceCurve.price(td.interpolationDates[i], td.extrapolate),
                          td.tolerance);
    }
}

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BOOST_AUTO_TEST_CASE() [2/6]

BOOST_AUTO_TEST_CASE

(

testPeriodsAndQuotesCurve

)

Definition at line 222 of file pricecurve.cpp.

                                                {
 
    BOOST_TEST_MESSAGE("Testing interpolated price curve built from periods and quotes");
 
    CommonData td;
 
    // Look at the first test date
    Settings::instance().evaluationDate() = td.testDates[0];
 
    // Create a linearly interpolated price curve
    InterpolatedPriceCurve<Linear> priceCurve(td.curveTenors, td.quotes, td.curveDayCounter, td.currency);
 
    // Common checks on curve
    commonChecks(td, priceCurve, false);
 
    // Create a loglinearly interpolated price curve
    InterpolatedPriceCurve<LogLinear> logPriceCurve(td.curveTenors, td.quotes, td.curveDayCounter, td.currency);
 
    // Common checks on curve
    commonChecks(td, logPriceCurve, true);
 
    // Check linearly interpolated price curve after moving reference date
    Settings::instance().evaluationDate() = td.testDates[1];
 
    // Check curve reference date is now second test date
    BOOST_CHECK_EQUAL(priceCurve.referenceDate(), td.testDates[1]);
 
    // Requesting price by time should give the same results as previously
    // Requesting by date should give new results (floating reference date curve)
    for (Size i = 0; i < td.interpolationTimes.size(); i++) {
        BOOST_CHECK_CLOSE(td.baseExpInterpResults[i], priceCurve.price(td.interpolationTimes[i], td.extrapolate),
                          td.tolerance);
        BOOST_CHECK_CLOSE(td.afterExpInterpResults[i], priceCurve.price(td.interpolationDates[i], td.extrapolate),
                          td.tolerance);
    }
 
    // Update quotes and check interpolations again (on this second test date)
    td.updateQuotes();
    for (Size i = 0; i < td.interpolationTimes.size(); i++) {
        BOOST_CHECK_CLOSE(td.baseNewInterpResults[i], priceCurve.price(td.interpolationTimes[i], td.extrapolate),
                          td.tolerance);
        BOOST_CHECK_CLOSE(td.afterNewInterpResults[i], priceCurve.price(td.interpolationDates[i], td.extrapolate),
                          td.tolerance);
    }
 
    // Move date back to first test date
    Settings::instance().evaluationDate() = td.testDates[0];
 
    // Check interpolations again with the new quotes
    for (Size i = 0; i < td.interpolationTimes.size(); i++) {
        BOOST_CHECK_CLOSE(td.baseNewInterpResults[i], priceCurve.price(td.interpolationTimes[i], td.extrapolate),
                          td.tolerance);
        BOOST_CHECK_CLOSE(td.baseNewInterpResults[i], priceCurve.price(td.interpolationDates[i], td.extrapolate),
                          td.tolerance);
    }
}

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BOOST_AUTO_TEST_CASE() [3/6]

BOOST_AUTO_TEST_CASE

(

testDatesAndPricesCurve

)

Definition at line 279 of file pricecurve.cpp.

                                              {
 
    BOOST_TEST_MESSAGE("Testing interpolated price curve built from dates and prices");
 
    CommonData td;
 
    // Look at the first test date
    Settings::instance().evaluationDate() = td.testDates[0];
 
    // Create a linearly interpolated price curve
    vector<Date> dates = td.dates(0);
    InterpolatedPriceCurve<Linear> priceCurve(dates[0], dates, td.prices, td.curveDayCounter, td.currency);
 
    // Common checks on curve
    commonChecks(td, priceCurve, false);
 
    // Create a loglinearly interpolated price curve
    InterpolatedPriceCurve<LogLinear> logPriceCurve(dates[0], dates, td.prices, td.curveDayCounter, td.currency);
 
    // Common checks on curve
    commonChecks(td, logPriceCurve, true);
 
    // Check linearly interpolated price curve after moving reference date
    Settings::instance().evaluationDate() = td.testDates[1];
 
    // Check curve reference date is still first test date
    BOOST_CHECK_EQUAL(priceCurve.referenceDate(), td.testDates[0]);
 
    // Requesting price by time or date should give the same results as previously
    // because this is a fixed reference date curve
    for (Size i = 0; i < td.interpolationTimes.size(); i++) {
        BOOST_CHECK_CLOSE(td.baseExpInterpResults[i], priceCurve.price(td.interpolationTimes[i], td.extrapolate),
                          td.tolerance);
        BOOST_CHECK_CLOSE(td.baseExpInterpResults[i], priceCurve.price(td.interpolationDates[i], td.extrapolate),
                          td.tolerance);
    }
}

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BOOST_AUTO_TEST_CASE() [4/6]

BOOST_AUTO_TEST_CASE

(

testDatesAndQuotesCurve

)

Definition at line 317 of file pricecurve.cpp.

                                              {
 
    BOOST_TEST_MESSAGE("Testing interpolated price curve built from dates and quotes");
 
    CommonData td;
 
    // Look at the first test date
    Settings::instance().evaluationDate() = td.testDates[0];
 
    // Create a linearly interpolated price curve
    vector<Date> dates = td.dates(0);
    InterpolatedPriceCurve<Linear> priceCurve(dates[0], dates, td.quotes, td.curveDayCounter, td.currency);
 
    // Common checks on curve
    commonChecks(td, priceCurve, false);
 
    // Create a loglinearly interpolated price curve
    InterpolatedPriceCurve<LogLinear> logPriceCurve(dates[0], dates, td.quotes, td.curveDayCounter, td.currency);
 
    // Common checks on curve
    commonChecks(td, logPriceCurve, true);
 
    // Check linearly interpolated price curve after moving reference date
    Settings::instance().evaluationDate() = td.testDates[1];
 
    // Check curve reference date is still first test date
    BOOST_CHECK_EQUAL(priceCurve.referenceDate(), td.testDates[0]);
 
    // Requesting price by time or date should give the same results as previously
    // because this is a fixed reference date curve
    for (Size i = 0; i < td.interpolationTimes.size(); i++) {
        BOOST_CHECK_CLOSE(td.baseExpInterpResults[i], priceCurve.price(td.interpolationTimes[i], td.extrapolate),
                          td.tolerance);
        BOOST_CHECK_CLOSE(td.baseExpInterpResults[i], priceCurve.price(td.interpolationDates[i], td.extrapolate),
                          td.tolerance);
    }
 
    // Update quotes and check the new interpolated values
    td.updateQuotes();
    for (Size i = 0; i < td.interpolationTimes.size(); i++) {
        BOOST_CHECK_CLOSE(td.baseNewInterpResults[i], priceCurve.price(td.interpolationTimes[i], td.extrapolate),
                          td.tolerance);
        BOOST_CHECK_CLOSE(td.baseNewInterpResults[i], priceCurve.price(td.interpolationDates[i], td.extrapolate),
                          td.tolerance);
    }
}

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BOOST_AUTO_TEST_CASE() [5/6]

BOOST_AUTO_TEST_CASE

(

testNoTimeZeroWorks

)

Definition at line 364 of file pricecurve.cpp.

                                          {
 
    BOOST_TEST_MESSAGE("Test building with periods without a time 0 works with extrapolation on");
 
    CommonData td;
 
    // Look at the first test date
    Settings::instance().evaluationDate() = td.testDates[0];
 
    // Create the price curve after removing the time 0 pillar
    vector<Period> tenors = td.curveTenors;
    tenors.erase(tenors.begin());
    td.prices.erase(td.prices.begin());
    InterpolatedPriceCurve<Linear> priceCurve(tenors, td.prices, td.curveDayCounter, td.currency);
 
    // Check requests for prices between first curve time ~0.5 and 0
    BOOST_CHECK_CLOSE(15.1391304347826, priceCurve.price(0.25, td.extrapolate), td.tolerance);
    BOOST_CHECK_CLOSE(13.5521739130435, priceCurve.price(0.0, td.extrapolate), td.tolerance);
 
    // Test log-linear interpolation also
    InterpolatedPriceCurve<LogLinear> logPriceCurve(tenors, td.prices, td.curveDayCounter, td.currency);
    BOOST_CHECK_CLOSE(15.331307232214800, logPriceCurve.price(0.25, td.extrapolate), td.tolerance);
    BOOST_CHECK_CLOSE(14.054688467053400, logPriceCurve.price(0.0, td.extrapolate), td.tolerance);
 
    // Test that an exception is thrown when extrapolation is off
    BOOST_CHECK_THROW(priceCurve.price(0.25, false), QuantLib::Error);
}

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BOOST_AUTO_TEST_CASE() [6/6]

BOOST_AUTO_TEST_CASE

(

testNegativeTimeRequestThrows

)

Definition at line 392 of file pricecurve.cpp.

                                                    {
 
    BOOST_TEST_MESSAGE("Test that requesting a price at a time before zero throws");
 
    CommonData td;
 
    // Look at the first test date
    Date today = td.testDates[0];
    Settings::instance().evaluationDate() = today;
 
    // Create the price curve
    InterpolatedPriceCurve<Linear> priceCurve(td.curveTenors, td.prices, td.curveDayCounter, td.currency);
 
    // Check requests for prices at times < 0
    Time t = -0.5;
    Date d = today - 1 * Weeks;
    BOOST_CHECK_THROW(priceCurve.price(t, td.extrapolate), QuantLib::Error);
    BOOST_CHECK_THROW(priceCurve.price(d, td.extrapolate), QuantLib::Error);
 
    // Update evaluation date and request on today should throw similarly
    Settings::instance().evaluationDate() = today + 1 * Weeks;
    BOOST_CHECK_THROW(priceCurve.price(today, td.extrapolate), QuantLib::Error);
}

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