commodityforward.cpp File Reference

#include "toplevelfixture.hpp"
#include <boost/test/unit_test.hpp>
#include <ql/currencies/america.hpp>
#include <ql/settings.hpp>
#include <ql/time/calendars/nullcalendar.hpp>
#include <qle/instruments/commodityforward.hpp>

Go to the source code of this file.

Functions
	BOOST_AUTO_TEST_CASE (testConstructor)
	BOOST_AUTO_TEST_CASE (testIsExpired)
	BOOST_AUTO_TEST_CASE (testIsExpiredCashSettledMaturityEqualsPayment)
	BOOST_AUTO_TEST_CASE (testIsExpiredCashSettledPaymentGtMaturity)
	BOOST_AUTO_TEST_CASE (testNegativeQuantityThrows)
	BOOST_AUTO_TEST_CASE (testNegativeStrikeThrows)
	BOOST_AUTO_TEST_CASE (testPaymentDateLtMaturityCashSettledThrows)
	BOOST_AUTO_TEST_CASE (testNonNullPaymentDatePhysicallySettledThrows)

Function Documentation

BOOST_AUTO_TEST_CASE() [1/8]

BOOST_AUTO_TEST_CASE

(

testConstructor

)

Definition at line 56 of file commodityforward.cpp.

                                      {
 
    BOOST_TEST_MESSAGE("Testing commodity forward constructor");
 
    CommonData td;
 
    CommodityForward forward(td.index, td.currency, td.position, td.quantity, td.maturity, td.strike);
 
    BOOST_CHECK_EQUAL(forward.index()->name(), td.index->name());
    BOOST_CHECK_EQUAL(forward.currency(), td.currency);
    BOOST_CHECK_EQUAL(forward.position(), td.position);
    BOOST_CHECK_EQUAL(forward.quantity(), td.quantity);
    BOOST_CHECK_EQUAL(forward.maturityDate(), td.maturity);
    BOOST_CHECK_EQUAL(forward.strike(), td.strike);
}

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BOOST_AUTO_TEST_CASE() [2/8]

BOOST_AUTO_TEST_CASE

(

testIsExpired

)

Definition at line 72 of file commodityforward.cpp.

                                    {
 
    BOOST_TEST_MESSAGE("Testing commodity forward expiry logic");
 
    CommonData td;
 
    CommodityForward forward(td.index, td.currency, td.position, td.quantity, td.maturity, td.strike);
 
    Settings::instance().evaluationDate() = td.maturity - 1 * Days;
    Settings::instance().includeReferenceDateEvents() = true;
    BOOST_CHECK_EQUAL(forward.isExpired(), false);
 
    Settings::instance().evaluationDate() = td.maturity;
    BOOST_CHECK_EQUAL(forward.isExpired(), false);
 
    Settings::instance().includeReferenceDateEvents() = false;
    BOOST_CHECK_EQUAL(forward.isExpired(), true);
}

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BOOST_AUTO_TEST_CASE() [3/8]

BOOST_AUTO_TEST_CASE

(

testIsExpiredCashSettledMaturityEqualsPayment

)

Definition at line 91 of file commodityforward.cpp.

                                                                    {
 
    BOOST_TEST_MESSAGE("Testing commodity forward expiry logic for cash-settled forward" <<
        " with payment equal to maturity");
 
    CommonData td;
 
    CommodityForward forward(td.index, td.currency, td.position, td.quantity, td.maturity, td.strike, false);
 
    Settings::instance().evaluationDate() = td.maturity - 1 * Days;
    Settings::instance().includeReferenceDateEvents() = true;
    BOOST_CHECK_EQUAL(forward.isExpired(), false);
 
    Settings::instance().evaluationDate() = td.maturity;
    BOOST_CHECK_EQUAL(forward.isExpired(), false);
 
    Settings::instance().includeReferenceDateEvents() = false;
    BOOST_CHECK_EQUAL(forward.isExpired(), true);
}

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BOOST_AUTO_TEST_CASE() [4/8]

BOOST_AUTO_TEST_CASE

(

testIsExpiredCashSettledPaymentGtMaturity

)

Definition at line 111 of file commodityforward.cpp.

                                                                {
 
    BOOST_TEST_MESSAGE("Testing commodity forward expiry logic for cash-settled forward" <<
        " with payment date strictly greater than maturity date.");
 
    CommonData td;
 
    Date payment(21, Feb, 2019);
    CommodityForward forward(td.index, td.currency, td.position, td.quantity, td.maturity, td.strike,
        false, payment);
 
    // Check not expired right up to payment date when includeReferenceDateEvents is true.
    Settings::instance().includeReferenceDateEvents() = true;
    Date tmpDate = td.maturity - 1 * Days;
    while (tmpDate <= payment) {
        Settings::instance().evaluationDate() = tmpDate;
        BOOST_CHECK_EQUAL(forward.isExpired(), false);
        tmpDate++;
    }
 
    // Is expired if we set includeReferenceDateEvents to false.
    Settings::instance().includeReferenceDateEvents() = false;
    BOOST_CHECK_EQUAL(forward.isExpired(), true);
 
    // Is expired always when valuation date is greater than payment.
    Settings::instance().evaluationDate() = payment + 1 * Days;
    BOOST_CHECK_EQUAL(forward.isExpired(), true);
    Settings::instance().includeReferenceDateEvents() = true;
    BOOST_CHECK_EQUAL(forward.isExpired(), true);
 
}

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BOOST_AUTO_TEST_CASE() [5/8]

BOOST_AUTO_TEST_CASE

(

testNegativeQuantityThrows

)

Definition at line 143 of file commodityforward.cpp.

                                                 {
 
    BOOST_TEST_MESSAGE("Test that using a negative quantity in the constructor causes an exception");
 
    CommonData td;
 
    BOOST_CHECK_THROW(CommodityForward(td.index, td.currency, td.position, -10.0, td.maturity, td.strike),
                      QuantLib::Error);
}

BOOST_AUTO_TEST_CASE() [6/8]

BOOST_AUTO_TEST_CASE

(

testNegativeStrikeThrows

)

Definition at line 153 of file commodityforward.cpp.

                                               {
 
    BOOST_TEST_MESSAGE("Test that using a negative strike in the constructor causes an exception");
 
    CommonData td;
 
    BOOST_CHECK_THROW(CommodityForward(td.index, td.currency, td.position, td.quantity, td.maturity, -50.0),
                      QuantLib::Error);
}

BOOST_AUTO_TEST_CASE() [7/8]

BOOST_AUTO_TEST_CASE

(

testPaymentDateLtMaturityCashSettledThrows

)

Definition at line 163 of file commodityforward.cpp.

                                                                 {
 
    BOOST_TEST_MESSAGE("Test that using a payment date less than maturity for cash settled causes an exception");
 
    CommonData td;
 
    BOOST_CHECK_THROW(CommodityForward(td.index, td.currency, td.position, td.quantity, td.maturity, -50.0,
        false, td.maturity - 1 * Days), QuantLib::Error);
}

BOOST_AUTO_TEST_CASE() [8/8]

BOOST_AUTO_TEST_CASE

(

testNonNullPaymentDatePhysicallySettledThrows

)

Definition at line 173 of file commodityforward.cpp.

                                                                    {
 
    BOOST_TEST_MESSAGE("Test that using a payment date for physically settled causes an exception");
 
    CommonData td;
 
    BOOST_CHECK_THROW(CommodityForward(td.index, td.currency, td.position, td.quantity, td.maturity, -50.0,
        true, td.maturity + 2 * Days), QuantLib::Error);
}