staticallycorrectedyieldtermstructure.cpp File Reference

#include "toplevelfixture.hpp"
#include "utilities.hpp"
#include <boost/test/unit_test.hpp>
#include <qle/termstructures/staticallycorrectedyieldtermstructure.hpp>
#include <ql/quotes/simplequote.hpp>
#include <ql/termstructures/yield/flatforward.hpp>
#include <ql/time/calendars/nullcalendar.hpp>
#include <boost/make_shared.hpp>

Go to the source code of this file.

Functions
	BOOST_AUTO_TEST_CASE (testCorrectedYts)

Function Documentation

BOOST_AUTO_TEST_CASE()

BOOST_AUTO_TEST_CASE

(

testCorrectedYts

)

Definition at line 39 of file staticallycorrectedyieldtermstructure.cpp.

                                       {
 
    SavedSettings backup;
 
    Date refDate(18, Feb, 2016);
    Settings::instance().evaluationDate() = refDate;
 
    QuantLib::ext::shared_ptr<SimpleQuote> q = QuantLib::ext::make_shared<SimpleQuote>(0.02);
    Handle<Quote> hq(q);
    Handle<YieldTermStructure> floating(QuantLib::ext::make_shared<FlatForward>(0, NullCalendar(), hq, Actual365Fixed()));
 
    Handle<YieldTermStructure> source(QuantLib::ext::make_shared<FlatForward>(refDate, 0.02, Actual365Fixed()));
    Handle<YieldTermStructure> target(QuantLib::ext::make_shared<FlatForward>(refDate, 0.03, Actual365Fixed()));
 
    // we can not test the flavours of roll down with flat
    // termstructures, todo add tests with non-flat ts for this
 
    Handle<YieldTermStructure> corrected1(
        QuantLib::ext::make_shared<StaticallyCorrectedYieldTermStructure>(floating, source, target, ConstantDiscounts));
    Handle<YieldTermStructure> corrected2(
        QuantLib::ext::make_shared<StaticallyCorrectedYieldTermStructure>(floating, source, target, ForwardForward));
 
    Real tol = 1.0E-12;
 
    BOOST_CHECK_MESSAGE(std::fabs(target->discount(1.0) - corrected1->discount(1.0)) < tol,
                        "can not verify corrected1 df ("
                            << corrected1->discount(1.0) << ") against target df (" << target->discount(1.0)
                            << ") on eval date " << Settings::instance().evaluationDate() << ", difference is "
                            << (corrected1->discount(1.0) - target->discount(1.0)) << ", tolerance is " << tol);
    BOOST_CHECK_MESSAGE(std::fabs(target->discount(1.0) - corrected2->discount(1.0)) < tol,
                        "can not verify corrected2 df ("
                            << corrected2->discount(1.0) << ") against target df (" << target->discount(1.0)
                            << ") on eval date " << Settings::instance().evaluationDate() << ", difference is "
                            << (corrected2->discount(1.0) - target->discount(1.0)) << ", tolerance is " << tol);
 
    // move market data
    q->setValue(0.03);
 
    BOOST_CHECK_MESSAGE(std::fabs(floating->discount(1.0) * target->discount(1.0) / source->discount(1.0) -
                                  corrected1->discount(1.0)) < tol,
                        "can not verify corrected1 df ("
                            << corrected1->discount(1.0) << ") against expected df ("
                            << floating->discount(1.0) * target->discount(1.0) / source->discount(1.0)
                            << ") on eval date " << Settings::instance().evaluationDate() << ", difference is "
                            << (corrected1->discount(1.0) -
                                floating->discount(1.0) * target->discount(1.0) / source->discount(1.0))
                            << ", tolerance is " << tol);
    BOOST_CHECK_MESSAGE(std::fabs(floating->discount(1.0) * target->discount(1.0) / source->discount(1.0) -
                                  corrected2->discount(1.0)) < tol,
                        "can not verify corrected2 df ("
                            << corrected2->discount(1.0) << ") against expected df ("
                            << floating->discount(1.0) * target->discount(1.0) / source->discount(1.0)
                            << ") on eval date " << Settings::instance().evaluationDate() << ", difference is "
                            << (corrected2->discount(1.0) -
                                floating->discount(1.0) * target->discount(1.0) / source->discount(1.0))
                            << ", tolerance is " << tol);
 
    // move forward in time
    Settings::instance().evaluationDate() = Date(18, Feb, 2022);
    Real t = Actual365Fixed().yearFraction(refDate, Settings::instance().evaluationDate());
 
    BOOST_CHECK_MESSAGE(std::fabs(floating->discount(1.0) * target->discount(1.0) / source->discount(1.0) -
                                  corrected1->discount(1.0)) < tol,
                        "can not verify corrected1 df ("
                            << corrected1->discount(1.0) << ") against expected df ("
                            << floating->discount(1.0) * target->discount(1.0) / source->discount(1.0)
                            << ") on eval date " << Settings::instance().evaluationDate() << ", difference is "
                            << (corrected1->discount(1.0) -
                                floating->discount(1.0) * target->discount(1.0) / source->discount(1.0))
                            << ", tolerance is " << tol);
    BOOST_CHECK_MESSAGE(std::fabs(floating->discount(1.0) * target->discount(t + 1.0) * source->discount(t) /
                                      (target->discount(t) * source->discount(t + 1.0)) -
                                  corrected2->discount(1.0)) < tol,
                        "can not verify corrected2 df ("
                            << corrected2->discount(1.0) << ") against expected df ("
                            << floating->discount(1.0) * target->discount(t + 1.0) * source->discount(t) /
                                   (target->discount(t) * source->discount(t + 1.0))
                            << ") on eval date " << Settings::instance().evaluationDate() << ", difference is "
                            << floating->discount(1.0) * target->discount(t + 1.0) * source->discount(t) /
                                       (target->discount(t) * source->discount(t + 1.0)) -
                                   corrected2->discount(1.0)
                            << ", tolerance is " << tol);
}