ratehelpers.cpp File Reference

#include "toplevelfixture.hpp"
#include <boost/test/unit_test.hpp>
#include <ql/indexes/ibor/usdlibor.hpp>
#include <ql/termstructures/yield/flatforward.hpp>
#include <ql/termstructures/yield/piecewiseyieldcurve.hpp>
#include <qle/termstructures/tenorbasisswaphelper.hpp>
#include <boost/make_shared.hpp>

Go to the source code of this file.

Functions
	BOOST_AUTO_TEST_CASE (testTenorBasisSwapHelperLastRelevantDate)
	BOOST_AUTO_TEST_CASE (testTenorBasisSwapHelperDegenerateSchedule)

Function Documentation

BOOST_AUTO_TEST_CASE() [1/2]

BOOST_AUTO_TEST_CASE

(

testTenorBasisSwapHelperLastRelevantDate

)

Definition at line 36 of file ratehelpers.cpp.

                                                               {
 
    BOOST_TEST_MESSAGE("Testing QuantExt::TenorBasisSwapHelper last relevant date (regression test case)...");
 
    SavedSettings backup;
    Settings::instance().evaluationDate() = Date(8, Dec, 2016);
    Date today = Settings::instance().evaluationDate();
 
    Handle<YieldTermStructure> flat6m(
        QuantLib::ext::make_shared<FlatForward>(today, Handle<Quote>(QuantLib::ext::make_shared<SimpleQuote>(0.02)), Actual365Fixed()));
    QuantLib::ext::shared_ptr<IborIndex> usdLibor6m = QuantLib::ext::make_shared<USDLibor>(6 * Months, flat6m);
    QuantLib::ext::shared_ptr<IborIndex> usdLibor1m = QuantLib::ext::make_shared<USDLibor>(1 * Months);
 
    QuantLib::ext::shared_ptr<RateHelper> helper = QuantLib::ext::make_shared<QuantExt::TenorBasisSwapHelper>(
        Handle<Quote>(QuantLib::ext::make_shared<SimpleQuote>(0.0)), 30 * Years, usdLibor6m, usdLibor1m, Handle<YieldTermStructure>(), true, false, 6 * Months);
 
    PiecewiseYieldCurve<Discount, LogLinear> curve(today, std::vector<QuantLib::ext::shared_ptr<RateHelper> >(1, helper),
                                                   Actual365Fixed());
    BOOST_CHECK_NO_THROW(curve.discount(1.0));
}

BOOST_AUTO_TEST_CASE() [2/2]

BOOST_AUTO_TEST_CASE

(

testTenorBasisSwapHelperDegenerateSchedule

)

Definition at line 57 of file ratehelpers.cpp.

                                                                 {
 
    BOOST_TEST_MESSAGE("Testing QuantExt::TenorBasisSwapHelper degenerate schedule (regression test case)...");
 
    SavedSettings backup;
    Settings::instance().evaluationDate() = Date(28, Dec, 2016);
    Date today = Settings::instance().evaluationDate();
 
    Handle<YieldTermStructure> flat6m(
        QuantLib::ext::make_shared<FlatForward>(today, Handle<Quote>(QuantLib::ext::make_shared<SimpleQuote>(0.02)), Actual365Fixed()));
    QuantLib::ext::shared_ptr<IborIndex> usdLibor6m = QuantLib::ext::make_shared<USDLibor>(6 * Months, flat6m);
    QuantLib::ext::shared_ptr<IborIndex> usdLibor3m = QuantLib::ext::make_shared<USDLibor>(3 * Months);
 
    QuantLib::ext::shared_ptr<RateHelper> helper = QuantLib::ext::make_shared<QuantExt::TenorBasisSwapHelper>(
        Handle<Quote>(QuantLib::ext::make_shared<SimpleQuote>(0.0)), 18 * Months, usdLibor6m, usdLibor3m, Handle<YieldTermStructure>(), true, false, 6 * Months);
 
    PiecewiseYieldCurve<Discount, LogLinear> curve(today, std::vector<QuantLib::ext::shared_ptr<RateHelper> >(1, helper),
                                                   Actual365Fixed());
    BOOST_CHECK_NO_THROW(curve.discount(1.0));
}