survivalprobabilitycurve.cpp File Reference

#include "toplevelfixture.hpp"
#include <boost/test/unit_test.hpp>
#include <ql/math/interpolations/loginterpolation.hpp>
#include <ql/quotes/simplequote.hpp>
#include <ql/termstructures/credit/interpolatedsurvivalprobabilitycurve.hpp>
#include <ql/termstructures/defaulttermstructure.hpp>
#include <ql/termstructures/interpolatedcurve.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/time/calendars/nullcalendar.hpp>
#include <ql/time/daycounters/actualactual.hpp>
#include <qle/termstructures/survivalprobabilitycurve.hpp>

Go to the source code of this file.

Functions
	BOOST_AUTO_TEST_CASE (testSurvivalProbabilityCurve)

Function Documentation

BOOST_AUTO_TEST_CASE()

BOOST_AUTO_TEST_CASE

(

testSurvivalProbabilityCurve

)

Definition at line 39 of file survivalprobabilitycurve.cpp.

                                                   {
 
    BOOST_TEST_MESSAGE("Testing QuantExt::SurvivalProbabilityCurve...");
 
    Settings::instance().evaluationDate() = Date(1, Dec, 2015);
    Date today = Settings::instance().evaluationDate();
 
    vector<Date> dates;
    vector<Real> times;
    vector<Probability> sps;
    vector<Handle<Quote> > quotes;
    vector<QuantLib::ext::shared_ptr<SimpleQuote> > simpleQuotes;
 
    Size numYears = 30;
    int startYear = 2015;
    DayCounter dc = ActualActual(ActualActual::ISDA);
    Calendar cal = NullCalendar();
 
    for (Size i = 0; i < numYears; i++) {
 
        // rate
        Real rate = 0.01 + i * 0.001;
        // 1 year apart
        dates.push_back(Date(1, Dec, startYear + i));
        Time t = dc.yearFraction(today, dates.back());
        times.push_back(t);
 
        // set up Quote of SurvivalProbabilities
        Probability sp = ::exp(-rate * t);
 
        QuantLib::ext::shared_ptr<SimpleQuote> q(new SimpleQuote(sp));
        simpleQuotes.push_back(q);
        Handle<Quote> qh(q);
        quotes.push_back(qh);
        sps.push_back(sp);
    }
 
    // Test against the QL curve
    QuantLib::ext::shared_ptr<DefaultProbabilityTermStructure> dtsBase;
    dtsBase = QuantLib::ext::shared_ptr<DefaultProbabilityTermStructure>(
        new QuantLib::InterpolatedSurvivalProbabilityCurve<Linear>(dates, sps, dc, cal));
    dtsBase->enableExtrapolation();
 
    QuantLib::ext::shared_ptr<DefaultProbabilityTermStructure> dtsTest(
        new QuantExt::SurvivalProbabilityCurve<Linear>(dates, quotes, dc, cal));
 
    // now check that they give the same survivalProbabilities (including extrapolation)
    for (Time t = 0.1; t < numYears + 10.0; t += 0.1) {
        BOOST_CHECK_CLOSE(dtsBase->survivalProbability(t, true), dtsTest->survivalProbability(t, true), 1e-12);
    }
 
    for (Size i = 0; i < numYears; i++) {
        Probability sp = sps[i] + 0.1;
        simpleQuotes[i]->setValue(sp);
    }
    // now check that they no longer match
    for (Time t = 0.1; t < numYears + 10.0; t += 0.1) {
        BOOST_CHECK_PREDICATE(std::not_equal_to<Probability>(),
                              (dtsBase->survivalProbability(t, true))(dtsTest->survivalProbability(t, true)));
    }
}