1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
|
=begin
Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it under the
terms of the QuantLib license. You should have received a copy of the
license along with this program; if not, please email quantlib-dev@lists.sf.net
The license is also available online at http://quantlib.org/html/license.html
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
=end
require 'QuantLib'
require 'test/unit/testcase'
require 'test/unit/ui/console/testrunner'
class TermStructureTest < Test::Unit::TestCase
include QuantLib
def name
case @method_name
when 'testImpliedObs'
"Testing observability of implied term structure"
when 'testFSpreadedObs'
"Testing observability of forward-spreaded term structure"
when 'testZSpreadedObs'
"Testing observability of zero-spreaded term structure"
end
end
def setup
@calendar = TARGET.new
@settlementDays = 2
today = @calendar.adjust(Date::todaysDate)
settlement = @calendar.advance(today,@settlementDays,Days)
depositData = [
[1, Months, 4.581],
[2, Months, 4.573],
[3, Months, 4.557],
[6, Months, 4.496],
[9, Months, 4.490]
]
deposits = depositData.map { |n,units,rate|
DepositRateHelper.new(
QuoteHandle.new(SimpleQuote.new(rate/100)),
n, units, @settlementDays, @calendar, ModifiedFollowing,
Actual360.new)
}
swapData = [
[ 1, 4.54],
[ 5, 4.99],
[10, 5.47],
[20, 5.89],
[30, 5.96]
]
swaps = swapData.map { |years,rate|
SwapRateHelper.new(
QuoteHandle.new(SimpleQuote.new(rate/100)),
years, Years, @settlementDays,
@calendar, 1, Unadjusted, Thirty360.new,
2, ModifiedFollowing, Actual360.new)
}
@termStructure = PiecewiseFlatForward.new(settlement,
deposits+swaps,
Actual360.new)
end
def testImpliedObs
flag = false
h = YieldTermStructureHandle.new
settlement = @termStructure.referenceDate
new_settlement = @calendar.advance(settlement,3,Years)
implied = ImpliedTermStructure.new(h,new_settlement)
obs = Observer.new { flag = true }
obs.registerWith(implied)
h.linkTo!(@termStructure)
unless flag
flunk("Observer was not notified of term structure change")
end
end
def testFSpreadedObs
flag = false
me = SimpleQuote.new(0.01)
mh = QuoteHandle.new(me)
h = YieldTermStructureHandle.new
spreaded = ForwardSpreadedTermStructure.new(h,mh)
obs = Observer.new { flag = true }
obs.registerWith(spreaded)
h.linkTo!(@termStructure)
unless flag
flunk("Observer was not notified of term structure change")
end
flag = false
me.value = 0.005
unless flag
flunk("Observer was not notified of spread change")
end
end
def testZSpreadedObs
flag = false
me = SimpleQuote.new(0.01)
mh = QuoteHandle.new(me)
h = YieldTermStructureHandle.new
spreaded = ZeroSpreadedTermStructure.new(h,mh)
obs = Observer.new { flag = true }
obs.registerWith(spreaded)
h.linkTo!(@termStructure)
unless flag
flunk("Observer was not notified of term structure change")
end
flag = false
me.value = 0.005
unless flag
flunk("Observer was not notified of spread change")
end
end
end
if $0 == __FILE__
Test::Unit::UI::Console::TestRunner.run(TermStructureTest)
end
|
