discountingcurrencyswapenginedeltagamma.cpp File Reference

#include "toplevelfixture.hpp"
#include <boost/test/unit_test.hpp>
#include <qle/pricingengines/discountingcurrencyswapengine.hpp>
#include <qle/pricingengines/discountingcurrencyswapenginedeltagamma.hpp>
#include <ql/cashflows/iborcoupon.hpp>
#include <ql/indexes/ibor/euribor.hpp>
#include <ql/indexes/ibor/usdlibor.hpp>
#include <ql/math/matrix.hpp>
#include <ql/quotes/simplequote.hpp>
#include <ql/termstructures/yield/flatforward.hpp>
#include <ql/termstructures/yield/piecewisezerospreadedtermstructure.hpp>
#include <ql/time/calendars/target.hpp>
#include <ql/time/calendars/unitedstates.hpp>
#include <boost/make_shared.hpp>

Go to the source code of this file.

Functions
	BOOST_AUTO_TEST_CASE (testNpvDeltasGammas)

Function Documentation

BOOST_AUTO_TEST_CASE()

BOOST_AUTO_TEST_CASE

(

testNpvDeltasGammas

)

Definition at line 428 of file discountingcurrencyswapenginedeltagamma.cpp.

                                          {
 
    TestData d;
 
    std::vector<Handle<YieldTermStructure>> discountCurves;
    discountCurves.push_back(d.discountCurve);
    discountCurves.push_back(d.discountCurveFor);
    std::vector<Handle<Quote>> fx;
    fx.push_back(Handle<Quote>(QuantLib::ext::make_shared<SimpleQuote>(1.00)));
    fx.push_back(Handle<Quote>(d.fxQuote));
    std::vector<Currency> currencies;
    currencies.push_back(EURCurrency());
    currencies.push_back(USDCurrency());
 
    QuantLib::ext::shared_ptr<PricingEngine> engine0 =
        QuantLib::ext::make_shared<DiscountingCurrencySwapEngine>(discountCurves, fx, currencies, EURCurrency());
    QuantLib::ext::shared_ptr<PricingEngine> engine = QuantLib::ext::make_shared<DiscountingCurrencySwapEngineDeltaGamma>(
        discountCurves, fx, currencies, EURCurrency(), d.pillarTimes, true, true);
 
    performTest(d, engine0, engine, false, 0.0, "payer, zero spread");
    performTest(d, engine0, engine, true, 0.0, "receiver, zero spread");
    performTest(d, engine0, engine, false, 0.01, "payer, positive spread");
    performTest(d, engine0, engine, true, 0.01, "receiver, positive spread");
    performTest(d, engine0, engine, false, -0.01, "payer, negative spread");
    performTest(d, engine0, engine, true, -0.01, "receiver, negative spread");
 
    BOOST_CHECK(true);
}