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Fully annotated reference manual - version 1.8.12
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stoplightbounds.cpp File Reference
#include "toplevelfixture.hpp"
#include <boost/test/unit_test.hpp>
#include <boost/make_shared.hpp>
#include <qle/math/stoplightbounds.hpp>

Go to the source code of this file.

Functions

 BOOST_AUTO_TEST_CASE (testSinglePortfolioAgainstReferenceResults)
 
 BOOST_AUTO_TEST_CASE (testMultiplePortfoliosAgainstReferenceResults)
 
 BOOST_AUTO_TEST_CASE (testIidBoundsAgainstReferenceResults)
 
 BOOST_AUTO_TEST_CASE (testGenerateStopLightBoundTable, *boost::unit_test::disabled())
 

Function Documentation

◆ BOOST_AUTO_TEST_CASE() [1/4]

BOOST_AUTO_TEST_CASE ( testSinglePortfolioAgainstReferenceResults  )

Definition at line 36 of file stoplightbounds.cpp.

36 {
37 BOOST_TEST_MESSAGE("Testing single portfolio stoplight bounds against reference results");
38
39 std::vector<Real> psl = {0.95, 0.9999};
40
41 // in general an even higher number of samples may be required to match all the reference results
42 Size samples = 5000000;
43 Size seed = 42;
44 Real p = 0.99;
45 Size days = 10;
46
47 static const std::vector<Size> obs = {200, 300, 500}; // avoid too long running time
48
49 BOOST_TEST_MESSAGE(
50 "Observations MaxExceed Green (computed/expected) MaxExceedences Amber (computed/expected)");
51
52 for (Size i = 0; i < obs.size(); ++i) {
53 auto b = stopLightBounds(psl, obs[i], days, p, 1, Matrix(1, 1, 1.0), samples, seed);
54 auto tab = stopLightBoundsTabulated(psl, obs[i], days, p);
55 BOOST_TEST_MESSAGE(std::right << std::setw(10) << obs[i] << std::setw(28)
56 << (std::to_string(b[0]) + " / " + std::to_string(tab[0])) << std::setw(38)
57 << (std::to_string(b[1]) + " / " + std::to_string(tab[1])));
58 BOOST_CHECK_EQUAL(b[0], tab[0]);
59 BOOST_CHECK_EQUAL(b[1], tab[1]);
60 }
61} // testSinglePortfolioAgainstReferenceResults
QuantExt::stopLightBoundsTabulated
std::vector< Size > stopLightBoundsTabulated(const std::vector< Real > &stopLightP, const Size observations, const Size numberOfDays, const Real p)
Definition: stoplightbounds.cpp:153
QuantExt::stopLightBounds
std::vector< Size > stopLightBounds(const std::vector< Real > &stopLightP, const Size observations, const Size numberOfDays, const Real p, const Size numberOfPortfolios, const Matrix &correlation, const Size samples, const Size seed, const SalvagingAlgorithm::Type salvaging, const Size exceptions, Real *cumProb)
Definition: stoplightbounds.cpp:171
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◆ BOOST_AUTO_TEST_CASE() [2/4]

BOOST_AUTO_TEST_CASE ( testMultiplePortfoliosAgainstReferenceResults  )

Definition at line 63 of file stoplightbounds.cpp.

63 {
64 BOOST_TEST_MESSAGE("Testing multiple portfolios stoplight bounds against reference results");
65
66 // see ISDA SIMM Backtesting Report, 14Feb17, section 15.3
67 static const std::vector<Size> tab = {19, 51};
68
69 std::vector<Real> psl = {0.95, 0.9999};
70
71 Size samples = 1500000;
72 Size seed = 42;
73 Real p = 0.99;
74 Size days = 10;
75 Size portfolios = 3;
76 Matrix correlation(3, 3);
77
78 for (Size i = 0; i < 3; ++i) {
79 for (Size j = 0; j < 3; ++j) {
80 correlation[i][j] = i == j ? 1.0 : 0.5;
81 }
82 }
83
84 static const std::vector<Size> obs = {250};
85
86 BOOST_TEST_MESSAGE(
87 "Observations MaxExceed Green (computed/expected) MaxExceedences Amber (computed/expected)");
88
89 for (Size i = 0; i < obs.size(); ++i) {
90 auto b = stopLightBounds(psl, obs[i], days, p, portfolios, correlation, samples, seed);
91 BOOST_TEST_MESSAGE(std::right << std::setw(10) << obs[i] << std::setw(28)
92 << (std::to_string(b[0]) + " / " + std::to_string(tab[0])) << std::setw(38)
93 << (std::to_string(b[1]) + " / " + std::to_string(tab[1])));
94 BOOST_CHECK_EQUAL(b[0], tab[0]);
95 BOOST_CHECK_EQUAL(b[1], tab[1]);
96 }
97} // testMultiplePortfoliosAgainstReferenceResults
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◆ BOOST_AUTO_TEST_CASE() [3/4]

BOOST_AUTO_TEST_CASE ( testIidBoundsAgainstReferenceResults  )

Definition at line 99 of file stoplightbounds.cpp.

99 {
100 BOOST_TEST_MESSAGE("Testing iid bounds against reference results");
101 /* see SUPERVISORY FRAMEWORK FOR THE USE OF "BACKTESTING" IN CONJUNCTION WITH THE
102 INTERNAL MODELS APPROACH TO MARKET RISK CAPITAL REQUIREMENTS,
103 Basle Committee on Banking Supervision January 1996
104 http://www.bis.org/publ/bcbs22.pdf */
105 auto bounds = stopLightBounds({0.95, 0.9999}, 250, 0.99);
106 BOOST_CHECK_EQUAL(bounds[0], 4);
107 BOOST_CHECK_EQUAL(bounds[1], 9);
108 Real cumProb = 0.0;
109 std::vector<Real> exp = {0.0811, 0.2858, 0.5432, 0.7581, 0.8922, 0.9588, 0.9863, 0.9960, 0.9989, 0.9997, 0.9999};
110 for (Size i = 0; i <= 10; ++i) {
111 stopLightBounds({0.95, 0.99}, 250, 0.99, i, &cumProb);
112 BOOST_CHECK_SMALL(cumProb - exp[i], 0.0001);
113 }
114} // testIidBoundsAgainstReferenceResults
QuantExt::exp
CompiledFormula exp(CompiledFormula x)
Definition: compiledformula.cpp:151
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◆ BOOST_AUTO_TEST_CASE() [4/4]

BOOST_AUTO_TEST_CASE ( testGenerateStopLightBoundTable  ,
*  boost::unit_test::disabled() 
)

Definition at line 118 of file stoplightbounds.cpp.

118 {
119 BOOST_TEST_MESSAGE("Testing generating stop light bounds table against reference results");
120
121 std::vector<Size> obs = {
122 1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16, 17, 18, 19, 20, 30, 40, 50, 60, 70, 80, 90, 100, 110, 120,
123 130, 140, 150, 160, 170, 180, 190, 200, 210, 220, 230, 240, 250, 260, 270, 280, 290, 300, 310, 320, 330, 340, 350,
124 360, 370, 380, 390, 400, 410, 420, 430, 440, 450, 460, 470, 480, 490, 500, 510, 520, 530, 540, 550, 560, 570, 580,
125 590, 600, 610, 620, 630, 640, 650, 660, 670, 680, 690, 700, 710, 720, 730, 740, 750, 760, 770, 780, 790, 800, 810,
126 820, 830, 840, 850, 860, 870, 880, 890, 900, 910, 920, 930, 940, 950, 960, 970, 980, 990, 1000, 1010, 1020, 1030,
127 1040, 1050, 1060, 1070, 1080, 1090, 1100, 1110, 1120, 1130, 1140, 1150, 1160, 1170, 1180, 1190, 1200, 1210, 1220,
128 1230, 1240, 1250, 1260, 1270, 1280, 1290, 1300, 1310, 1320, 1330, 1340, 1350, 1360, 1370, 1380, 1390, 1400, 1410,
129 1420, 1430, 1440, 1450, 1460, 1470, 1480, 1490, 1500, 1510, 1520, 1530, 1540, 1550, 1560, 1570, 1580, 1590, 1600,
130 1610, 1620, 1630, 1640, 1650, 1660, 1670, 1680, 1690, 1700, 1710, 1720, 1730, 1740, 1750, 1760, 1770, 1780, 1790,
131 1800, 1810, 1820, 1830, 1840, 1850, 1860, 1870, 1880, 1890, 1900, 1910, 1920, 1930, 1940, 1950, 1960, 1970, 1980,
132 1990, 2000, 2010, 2020, 2030, 2040, 2050, 2060, 2070, 2080, 2090, 2100, 2110, 2120, 2130, 2140, 2150, 2160, 2170,
133 2180, 2190, 2200, 2210, 2220, 2230, 2240, 2250, 2260, 2270, 2280, 2290, 2300, 2310, 2320, 2330, 2340, 2350, 2360,
134 2370, 2380, 2390, 2400, 2410, 2420, 2430, 2440, 2450, 2460, 2470, 2480, 2490, 2500, 2510, 2520, 2530, 2540, 2550,
135 2560, 2570, 2580, 2590, 2600, 2610, 2620, 2630, 2640, 2650, 2660, 2670, 2680, 2690, 2700, 2710, 2720, 2730, 2740,
136 2750, 2760, 2770, 2780, 2790, 2800, 2810, 2820, 2830, 2840, 2850, 2860, 2870, 2880, 2890, 2900, 2910, 2920, 2930,
137 2940, 2950, 2960, 2970, 2980, 2990, 3000, 3010, 3020, 3030, 3040, 3050, 3060, 3070, 3080, 3090, 3100, 3110, 3120,
138 3130, 3140, 3150, 3160, 3170, 3180, 3190, 3200, 3210, 3220, 3230, 3240, 3250, 3260, 3270, 3280, 3290, 3300, 3310,
139 3320, 3330, 3340, 3350, 3360, 3370, 3380, 3390, 3400, 3410, 3420, 3430, 3440, 3450, 3460, 3470, 3480, 3490, 3500,
140 3510, 3520, 3530, 3540, 3550, 3560, 3570, 3580, 3590, 3600, 3610, 3620, 3630, 3640, 3650, 3660, 3670, 3680, 3690
141 };
142 std::vector<Real> psl = {0.95, 0.9999};
143 Size samples = 100000000;
144 Size seed = 42;
145 Real p = 0.99;
146 Size days = 10;
147
148 auto table = generateStopLightBoundTable(obs, psl, samples, seed, days, p);
149 BOOST_REQUIRE(table.size() == obs.size());
150
151 BOOST_TEST_MESSAGE(
152 "Observations MaxExceed Green (computed/expected) MaxExceedences Amber (computed/expected)");
153
154 for (Size i = 0; i < obs.size(); ++i) {
155 BOOST_REQUIRE(table[i].first == obs[i]);
156 BOOST_REQUIRE(table[i].second.size() == psl.size());
157 auto tab = stopLightBoundsTabulated(psl, obs[i], days, p);
158 BOOST_TEST_MESSAGE(std::right << std::setw(10) << obs[i] << std::setw(28)
159 << (std::to_string(table[i].second[0]) + " / " + std::to_string(tab[0]))
160 << std::setw(38)
161 << (std::to_string(table[i].second[1]) + " / " + std::to_string(tab[1])));
162 BOOST_CHECK_EQUAL(table[i].second[0], tab[0]);
163 BOOST_CHECK_EQUAL(table[i].second[1], tab[1]);
164 }
165}
QuantExt::generateStopLightBoundTable
std::vector< std::pair< Size, std::vector< Size > > > generateStopLightBoundTable(const std::vector< Size > &observations, const std::vector< Real > &stopLightP, const Size samples, const Size seed, const Size numberOfDays, const Real p)
Definition: stoplightbounds.cpp:256
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