deposit.cpp File Reference

#include "toplevelfixture.hpp"
#include <boost/test/unit_test.hpp>
#include <ql/termstructures/yield/piecewiseyieldcurve.hpp>
#include <ql/termstructures/yield/ratehelpers.hpp>
#include <ql/time/calendars/target.hpp>
#include <ql/time/daycounters/actual360.hpp>
#include <qle/pricingengines/depositengine.hpp>
#include <boost/make_shared.hpp>

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Functions
	BOOST_AUTO_TEST_CASE (testRepricing)

Function Documentation

BOOST_AUTO_TEST_CASE()

BOOST_AUTO_TEST_CASE

(

testRepricing

)

Definition at line 37 of file deposit.cpp.

                                    {
 
    BOOST_TEST_MESSAGE("Testing Repricing of a Deposit on a depo curve...");
 
    SavedSettings backup;
 
    Date refDate = Date(8, Dec, 2016);
    Settings::instance().evaluationDate() = refDate;
 
    std::vector<QuantLib::ext::shared_ptr<RateHelper> > helper;
    helper.push_back(QuantLib::ext::make_shared<DepositRateHelper>(Handle<Quote>(QuantLib::ext::make_shared<SimpleQuote>(0.02)),
                                                           7 * Months, 2, TARGET(), ModifiedFollowing, false,
                                                           Actual360()));
 
    Handle<YieldTermStructure> curve(
        QuantLib::ext::make_shared<PiecewiseYieldCurve<Discount, LogLinear> >(refDate, helper, Actual365Fixed()));
 
    QuantLib::ext::shared_ptr<PricingEngine> engine = QuantLib::ext::make_shared<DepositEngine>(curve);
 
    Deposit depo(100.0, 0.02, 7 * Months, 2, TARGET(), ModifiedFollowing, false, Actual360(), refDate, true, 0 * Days);
    depo.setPricingEngine(engine);
 
    Real tol = 1.0E-8;
    BOOST_CHECK_MESSAGE(std::abs(depo.NPV()) <= tol,
                        "Deposit NPV(" << depo.NPV() << ") could not be verified, expected 0.0");
 
    BOOST_CHECK_MESSAGE(std::abs(depo.fairRate() - 0.02) <= tol,
                        "Deposit fair rate (" << depo.fairRate() << ") could not be verified, expected 0.02");
}

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