crossccyfixfloatswap.cpp File Reference

#include "toplevelfixture.hpp"
#include <boost/make_shared.hpp>
#include <boost/test/unit_test.hpp>
#include <ql/currencies/all.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/crossccyfixfloatswap.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 248 of file crossccyfixfloatswap.cpp.

                                      {
 
    BOOST_TEST_MESSAGE("Test cross currency fix float swap pricing against known results");
 
    SavedSettings backup;
 
    Settings::instance().evaluationDate() = Date(11, Sep, 2018);
 
    // Create swap, USD 3M Libor vs TRY annual fixed
    Rate spotFx = 6.4304;
    Rate rate = 0.249;
    Spread spread = 0.0;
    QuantLib::ext::shared_ptr<CrossCcyFixFloatSwap> swap = makeTestSwap(spotFx, rate, spread);
 
    // Attach pricing engine
    Handle<Quote> fxSpotQuote = Handle<Quote>(QuantLib::ext::make_shared<SimpleQuote>(1.0 / spotFx));
    QuantLib::ext::shared_ptr<PricingEngine> engine = QuantLib::ext::make_shared<CrossCcySwapEngine>(
        USDCurrency(), usdDiscountCurve(), TRYCurrency(), tryDiscountCurve(), fxSpotQuote);
    swap->setPricingEngine(engine);
 
    // Check values
    Real usdTolerance = 0.01;
 
    Real expNpv = 129777.91;
    BOOST_CHECK_SMALL(swap->NPV() - expNpv, usdTolerance);
 
    Real expPayLegNpv = -12286.45;
    Real expPayLegBps = -2628.39;
    BOOST_CHECK_SMALL(swap->legNPV(0) - expPayLegNpv, usdTolerance);
    BOOST_CHECK_SMALL(swap->legBPS(0) - expPayLegBps, usdTolerance);
    BOOST_CHECK_SMALL(swap->inCcyLegNPV(0) - expPayLegNpv * spotFx, usdTolerance * spotFx);
    BOOST_CHECK_SMALL(swap->inCcyLegBPS(0) - expPayLegBps * spotFx, usdTolerance * spotFx);
 
    Real expRecLegNpv = 142064.36;
    Real expRecLegBps = 4735.03;
    BOOST_CHECK_SMALL(swap->legNPV(1) - expRecLegNpv, usdTolerance);
    BOOST_CHECK_SMALL(swap->legBPS(1) - expRecLegBps, usdTolerance);
    BOOST_CHECK_SMALL(swap->inCcyLegNPV(1) - expRecLegNpv, usdTolerance);
    BOOST_CHECK_SMALL(swap->inCcyLegBPS(1) - expRecLegBps, usdTolerance);
 
    BOOST_CHECK_SMALL(0.253937551076 - swap->fairFixedRate(), 1e-10);
    BOOST_CHECK_SMALL(-0.002740802104 - swap->fairSpread(), 1e-10);
}