crossccybasismtmresetswap.cpp File Reference

#include "toplevelfixture.hpp"
#include <boost/make_shared.hpp>
#include <boost/test/unit_test.hpp>
#include <ql/cashflows/couponpricer.hpp>
#include <ql/cashflows/floatingratecoupon.hpp>
#include <ql/currencies/all.hpp>
#include <ql/indexes/ibor/gbplibor.hpp>
#include <ql/indexes/ibor/usdlibor.hpp>
#include <ql/quotes/simplequote.hpp>
#include <ql/termstructures/yield/discountcurve.hpp>
#include <ql/time/calendars/all.hpp>
#include <ql/time/daycounters/actual360.hpp>
#include <ql/types.hpp>
#include <qle/instruments/crossccybasismtmresetswap.hpp>
#include <qle/pricingengines/crossccyswapengine.hpp>

Go to the source code of this file.

Functions
	BOOST_AUTO_TEST_CASE (testSwapPricing)

Function Documentation

BOOST_AUTO_TEST_CASE()

BOOST_AUTO_TEST_CASE

(

testSwapPricing

)

Definition at line 321 of file crossccybasismtmresetswap.cpp.

                                      {
 
    BOOST_TEST_MESSAGE("Test cross currency MtM resetting swap pricing against known results");
 
    SavedSettings backup;
    Settings::instance().evaluationDate() = Date(11, Sep, 2018);
 
    // Create swap
    Rate spotFx = 1;
    Spread spread = 0;
    QuantLib::ext::shared_ptr<CrossCcyBasisMtMResetSwap> swap = makeTestSwap(spotFx, spread);
 
    // Attach pricing engine
    Handle<Quote> fxSpotQuote = Handle<Quote>(QuantLib::ext::make_shared<SimpleQuote>(spotFx));
    QuantLib::ext::shared_ptr<PricingEngine> engine = QuantLib::ext::make_shared<CrossCcySwapEngine>(
        USDCurrency(), USDDiscountCurve(), GBPCurrency(), GBPDiscountCurve(), fxSpotQuote);
 
    swap->setPricingEngine(engine);
 
    // Check values
    Real tol = 0.01;
 
    BOOST_CHECK_SMALL(swap->NPV(), tol);
 
    Real expBps = -4670.170509677384; // cached value
    BOOST_CHECK_SMALL(swap->legBPS(0) - expBps, tol);
}