payment.cpp File Reference

#include "toplevelfixture.hpp"
#include <boost/test/unit_test.hpp>
#include <ql/currencies/europe.hpp>
#include <ql/quotes/simplequote.hpp>
#include <ql/termstructures/yield/flatforward.hpp>
#include <ql/time/calendars/target.hpp>
#include <ql/time/daycounters/actualactual.hpp>
#include <qle/instruments/payment.hpp>
#include <qle/pricingengines/paymentdiscountingengine.hpp>
#include <boost/make_shared.hpp>

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Functions
	BOOST_AUTO_TEST_CASE (testDomesicPayment)
	BOOST_AUTO_TEST_CASE (testForeignPayment)

Function Documentation

BOOST_AUTO_TEST_CASE() [1/2]

BOOST_AUTO_TEST_CASE

(

testDomesicPayment

)

Definition at line 39 of file payment.cpp.

                                         {
 
    BOOST_TEST_MESSAGE("Testing Domestic Payment NPV...");
 
    SavedSettings backup;
 
    Date refDate = Date(8, Dec, 2016);
    Settings::instance().evaluationDate() = refDate;
    Date paymentDate = refDate + 10 * Years;
    Payment payment(100.0, EURCurrency(), paymentDate);
    BOOST_CHECK_EQUAL(payment.cashFlow()->amount(), 100.0);
    Handle<YieldTermStructure> yts(QuantLib::ext::make_shared<FlatForward>(0, TARGET(), 0.03, ActualActual(ActualActual::ISDA)));
    QuantLib::ext::shared_ptr<PricingEngine> engine = QuantLib::ext::make_shared<PaymentDiscountingEngine>(yts);
    payment.setPricingEngine(engine);
 
    Real expectedNpv = 100.0 * yts->discount(paymentDate);
 
    BOOST_CHECK_SMALL(payment.NPV() - expectedNpv, 0.000001);
}

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BOOST_AUTO_TEST_CASE() [2/2]

BOOST_AUTO_TEST_CASE

(

testForeignPayment

)

Definition at line 59 of file payment.cpp.

                                         {
 
    BOOST_TEST_MESSAGE("Testing Foreign Payment NPV...");
 
    SavedSettings backup;
 
    Date refDate = Date(8, Dec, 2016);
    Settings::instance().evaluationDate() = refDate;
    Date paymentDate = refDate + 10 * Years;
    Payment payment(100.0, EURCurrency(), paymentDate);
    Handle<YieldTermStructure> yts(QuantLib::ext::make_shared<FlatForward>(0, TARGET(), 0.03, ActualActual(ActualActual::ISDA)));
    Handle<Quote> fx(QuantLib::ext::make_shared<SimpleQuote>(0.789));
    QuantLib::ext::shared_ptr<PricingEngine> engine = QuantLib::ext::make_shared<PaymentDiscountingEngine>(yts, fx);
    payment.setPricingEngine(engine);
 
    Real expectedNpv = 100.0 * yts->discount(paymentDate) * fx->value();
 
    BOOST_CHECK_SMALL(payment.NPV() - expectedNpv, 0.000001);
}