# coding=utf-8-unix
"""
 Copyright (C) 2009 Joseph Malicki
 Copyright (C) 2016, 2019 Wojciech Ślusarski
 Copyright (C) 2021 Marcin Rybacki


 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
 <https://www.quantlib.org/license.shtml>.

 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.
"""

import QuantLib as ql
import unittest


class FixedRateBondHelperTest(unittest.TestCase):
    def setUp(self):
        ql.Settings.instance().evaluationDate = ql.Date(2, 1, 2010)
        self.settlement_days = 3
        self.face_amount = 100.0
        self.redemption = 100.0
        self.quote_handle = ql.makeQuoteHandle(100.0)

        self.issue_date = ql.Date(2, 1, 2008)
        self.maturity_date = ql.Date(2, 1, 2018)
        self.calendar = ql.UnitedStates(ql.UnitedStates.GovernmentBond)
        self.day_counter = ql.ActualActual(ql.ActualActual.Bond)
        self.sched = ql.Schedule(
            self.issue_date,
            self.maturity_date,
            ql.Period(ql.Semiannual),
            self.calendar,
            ql.Unadjusted,
            ql.Unadjusted,
            ql.DateGeneration.Backward,
            False,
        )
        self.coupons = [0.05]

        self.bond_helper = ql.FixedRateBondHelper(
            self.quote_handle,
            self.settlement_days,
            self.face_amount,
            self.sched,
            self.coupons,
            self.day_counter,
            ql.Following,
            self.redemption,
            self.issue_date,
        )

    def testBond(self):
        """ Testing FixedRateBondHelper bond() method. """
        bond = self.bond_helper.bond()
        self.assertEqual(bond.issueDate(), self.issue_date)
        self.assertEqual(bond.nextCouponRate(), self.coupons[0])

    def tearDown(self):
        ql.Settings.instance().evaluationDate = ql.Date()


class OISRateHelperTest(unittest.TestCase):
    def setUp(self):

        # Market rates are artificial, just close to real ones.
        self.default_quote_date = ql.Date(26, 8, 2016)
        ql.Settings.instance().evaluationDate = self.default_quote_date
        self.build_eur_curve(self.default_quote_date)

    def build_eur_curve(self, quotes_date):
        """
        Builds the EUR OIS curve as the collateral currency discount curve
        :param quotes_date: date from which it is assumed all market data are
            valid
        :return: tuple consisting of objects related to EUR OIS discounting
            curve: ql.PiecewiseFlatForward,
                   ql.YieldTermStructureHandle
                   ql.RelinkableYieldTermStructureHandle
        """
        calendar = ql.TARGET()
        settlementDays = 2

        todaysDate = quotes_date
        ql.Settings.instance().evaluationDate = todaysDate

        todays_Eonia_quote = -0.00341

        # market quotes
        # deposits, key structure as (settlement_days_number, number_of_units_
        # for_maturity, unit)
        deposits = {(0, 1, ql.Days): todays_Eonia_quote}

        self.discounting_yts_handle = ql.RelinkableYieldTermStructureHandle()
        self.on_index = ql.Eonia(self.discounting_yts_handle)
        self.on_index.addFixing(todaysDate, todays_Eonia_quote / 100.0)

        self.ois = {
            (1, ql.Weeks): -0.342,
            (1, ql.Months): -0.344,
            (3, ql.Months): -0.349,
            (6, ql.Months): -0.363,
            (1, ql.Years): -0.389,
        }

        # convert them to Quote objects
        for sett_num, n, unit in deposits.keys():
            deposits[(sett_num, n, unit)] = ql.SimpleQuote(
                deposits[(sett_num, n, unit)] / 100.0)

        for n, unit in self.ois.keys():
            self.ois[(n, unit)] = ql.SimpleQuote(self.ois[(n, unit)] / 100.0)

        # build rate helpers
        dayCounter = ql.Actual360()
        # looping left if someone wants two add more deposits to tests, e.g. T/N

        self.depositHelpers = [
            ql.DepositRateHelper(
                ql.QuoteHandle(deposits[(sett_num, n, unit)]),
                ql.Period(n, unit),
                sett_num,
                calendar,
                ql.ModifiedFollowing,
                True,
                dayCounter,
            )
            for sett_num, n, unit in deposits.keys()
        ]

        self.oisHelpers = [
            ql.OISRateHelper(
                settlementDays, ql.Period(n, unit),
                ql.QuoteHandle(self.ois[(n, unit)]), self.on_index)
            for n, unit in self.ois.keys()
        ]

        rateHelpers = self.depositHelpers + self.oisHelpers

        # term-structure construction
        self.oisSwapCurve = ql.PiecewiseFlatForward(todaysDate, rateHelpers,
                                                    ql.Actual360())
        self.oisSwapCurve.enableExtrapolation()
        self.discounting_yts_handle.linkTo(self.oisSwapCurve)

    def test_ois_ratehelper_impliedquote(self):
        """Test if OISRateHelper.impliedQuote provides original quote from curve"""
        # initiate curves - required due to lazy evaluation
        self.discounting_yts_handle.discount(0.0)

        for key, rate_helper in zip(self.ois.keys(), self.oisHelpers):
            expected = self.ois[key].value()
            # based on bootstrapped_curve
            calculated = rate_helper.impliedQuote()
            self.assertAlmostEqual(expected, calculated,
                                   delta=1e-8,
                                   msg="Calculated implied quote differes too "
                                       "much from original market value")

    def test_ois_pricing_with_calibrated_discount_curve(self):
        """Test repricing of swaps built with MakeOIS class"""
        for n, unit in self.ois.keys():
            quote_rate = self.ois.get((n, unit)).value()
            ois = ql.MakeOIS(ql.Period(n, unit), self.on_index,
                             fixedRate=quote_rate,
                             nominal=10000,
                             discountingTermStructure=self.discounting_yts_handle)
            calculated_rate = ois.fairRate()
            diff = (quote_rate - calculated_rate) * 1E4
            self.assertAlmostEqual(quote_rate, calculated_rate,
                                   delta=1e-10,
                                   msg="Failed to reprice swap {n} {unit}"
                                       " with a npv difference of {diff}bps"
                                       "".format(n=n, unit=unit, diff=diff))

    def test_ois_default_calendar(self):
        """Test if ois built using MakeOIS has proper default calendar

        MakeOIS class constructor in C++ is hardcoded with default calendar set
        to the same as of the overnightIndex. The methods available in the class
        allow for assigning different paymentCalendar, but the start date is
        already set and additional calendar will have no impact. The test checks
        if the constructor exposed to Python maintains this desired property and
        verifies that the start date of a EUR plain vanilla OIS traded on March
        29th, 2018 is equal to April 4th, 2018 (due to holiday on March 30th,
        2018 in TARGET calendar.
        """
        test_date = ql.Date(29, 3, 2018)
        ql.Settings.instance().evaluationDate = test_date
        eonia = ql.Eonia()
        calendar = eonia.fixingCalendar()
        expected_date = calendar.advance(test_date,
                                         ql.Period('2d'),
                                         ql.Following)
        self.assertEqual(expected_date, ql.Date(4, 4, 2018))
        ois = ql.MakeOIS(ql.Period('1Y'), eonia, -0.003, ql.Period(0, ql.Days))
        self.assertEqual(expected_date, ois.startDate())

    def tearDown(self):
        ql.Settings.instance().evaluationDate = ql.Date()


class FxSwapRateHelperTest(unittest.TestCase):
    def setUp(self):

        # Market rates are artificial, just close to real ones.
        self.default_quote_date = ql.Date(26, 8, 2016)

        self.fx_swap_quotes = {
            (1, ql.Months): 20e-4,
            (3, ql.Months): 60e-4,
            (6, ql.Months): 120e-4,
            (1, ql.Years): 240e-4,
        }

        # Valid only for the quote date of ql.Date(26, 8, 2016)
        self.maturities = [ql.Date(30, 9, 2016), ql.Date(30, 11, 2016),
                           ql.Date(28, 2, 2017), ql.Date(30, 8, 2017)]

        self.fx_spot_quote_EURPLN = 4.3
        self.fx_spot_quote_EURUSD = 1.1

    def build_eur_curve(self, quotes_date):
        """
        Builds the EUR OIS curve as the collateral currency discount curve
        :param quotes_date: date fro which it is assumed all market data are
            valid
        :return: tuple consisting of objects related to EUR OIS discounting
            curve: ql.PiecewiseFlatForward,
                   ql.YieldTermStructureHandle
                   ql.RelinkableYieldTermStructureHandle
        """
        calendar = ql.TARGET()
        settlementDays = 2

        todaysDate = quotes_date
        ql.Settings.instance().evaluationDate = todaysDate

        todays_Eonia_quote = -0.00341

        # market quotes
        # deposits, key structure as (settlement_days_number, number_of_units_
        # for_maturity, unit)
        deposits = {(0, 1, ql.Days): todays_Eonia_quote}

        discounting_yts_handle = ql.RelinkableYieldTermStructureHandle()
        on_index = ql.Eonia(discounting_yts_handle)
        on_index.addFixing(todaysDate, todays_Eonia_quote / 100.0)

        ois = {
            (1, ql.Weeks): -0.342,
            (1, ql.Months): -0.344,
            (3, ql.Months): -0.349,
            (6, ql.Months): -0.363,
            (1, ql.Years): -0.389,
        }

        # convert them to Quote objects
        for sett_num, n, unit in deposits.keys():
            deposits[(sett_num, n, unit)] = ql.SimpleQuote(
                deposits[(sett_num, n, unit)] / 100.0)

        for n, unit in ois.keys():
            ois[(n, unit)] = ql.SimpleQuote(ois[(n, unit)] / 100.0)

        # build rate helpers
        dayCounter = ql.Actual360()
        # looping left if somone wants two add more deposits to tests, e.g. T/N

        depositHelpers = [
            ql.DepositRateHelper(
                ql.QuoteHandle(deposits[(sett_num, n, unit)]),
                ql.Period(n, unit),
                sett_num,
                calendar,
                ql.ModifiedFollowing,
                True,
                dayCounter,
            )
            for sett_num, n, unit in deposits.keys()
        ]

        oisHelpers = [
            ql.OISRateHelper(
                settlementDays, ql.Period(n, unit),
                ql.QuoteHandle(ois[(n, unit)]), on_index
            )
            for n, unit in ois.keys()
        ]

        rateHelpers = depositHelpers + oisHelpers

        # term-structure construction
        oisSwapCurve = ql.PiecewiseFlatForward(todaysDate, rateHelpers,
                                               ql.Actual360())
        oisSwapCurve.enableExtrapolation()
        return (
            oisSwapCurve,
            ql.YieldTermStructureHandle(oisSwapCurve),
            ql.RelinkableYieldTermStructureHandle(oisSwapCurve),
        )

    def build_pln_fx_swap_curve(self, base_ccy_yts, fx_swaps, fx_spot):
        """
        Build curve implied from fx swap curve.
        :param base_ccy_yts:
            Relinkable yield term structure handle to curve in base currency.
        :param fx_swaps:
            Dictionary with swap points, already divided by 10,000
        :param fx_spot:
            Float value of fx spot exchange rate.
        :return: tuple consisting of objects related to fx swap implied curve:
                ql.PiecewiseFlatForward,
                ql.YieldTermStructureHandle
                ql.RelinkableYieldTermStructureHandle
                list of ql.FxSwapRateHelper
        """
        todaysDate = base_ccy_yts.referenceDate()
        # I am not sure if that is required, but I guss it is worth setting
        # up just in case somewhere another thread updates this setting.
        ql.Settings.instance().evaluationDate = todaysDate

        calendar = ql.JointCalendar(ql.TARGET(), ql.Poland())
        spot_date_lag = 2
        trading_calendar = ql.UnitedStates(ql.UnitedStates.GovernmentBond)

        # build rate helpers

        spotFx = ql.SimpleQuote(fx_spot)

        fxSwapHelpers = [
            ql.FxSwapRateHelper(
                ql.makeQuoteHandle(fx_swaps[(n, unit)]),
                ql.QuoteHandle(spotFx),
                ql.Period(n, unit),
                spot_date_lag,
                calendar,
                ql.ModifiedFollowing,
                True,
                True,
                base_ccy_yts,
                trading_calendar,
            )
            for n, unit in fx_swaps.keys()
        ]

        # term-structure construction
        fxSwapCurve = ql.PiecewiseFlatForward(todaysDate, fxSwapHelpers,
                                              ql.Actual365Fixed())
        fxSwapCurve.enableExtrapolation()
        return (
            fxSwapCurve,
            ql.YieldTermStructureHandle(fxSwapCurve),
            ql.RelinkableYieldTermStructureHandle(fxSwapCurve),
            fxSwapHelpers,
        )

    def build_curves(self, quote_date):
        """
        Build all the curves in one call for a specified quote date

        :param quote_date: date for which quotes are valid,
            e.g. ql.Date(26, 8, 2016)
        """
        self.today = quote_date
        self.eur_ois_curve, self.eur_ois_handle, self.eur_ois_rel_handle = self.build_eur_curve(
            self.today)

        self.pln_eur_implied_curve, self.pln_eur_implied_curve_handle, self.pln_eur_implied_curve_relinkable_handle, self.eur_pln_fx_swap_helpers = self.build_pln_fx_swap_curve(
            self.eur_ois_rel_handle, self.fx_swap_quotes,
            self.fx_spot_quote_EURPLN
        )

    def testQuote(self):
        """ Testing FxSwapRateHelper.quote()  method. """
        self.build_curves(self.default_quote_date)
        # Not sure if all Python versions and machine will guarantee that the
        #  lists are not messed, probably some ordered maps should be used
        # here while retrieving values from fx_swap_quotes dictionary
        original_quotes = list(self.fx_swap_quotes.values())
        for n in range(len(original_quotes)):
            original_quote = original_quotes[n]
            rate_helper_quote = self.eur_pln_fx_swap_helpers[n].quote().value()
            self.assertEqual(original_quote, rate_helper_quote)

    def testLatestDate(self):
        """ Testing FxSwapRateHelper.latestDate()  method. """
        self.build_curves(self.default_quote_date)
        # Check if still the test date is unchanged, otherwise all other
        # tests here make no sense.
        self.assertEqual(self.today, ql.Date(26, 8, 2016))

        # Hard coded expected maturities of fx swaps
        for n in range(len(self.maturities)):
            self.assertEqual(self.maturities[n],
                             self.eur_pln_fx_swap_helpers[n].latestDate())

    def testImpliedRates(self):
        """
        Testing if rates implied from the curve are returning fx forwards
        very close to those used for bootstrapping
        """
        self.build_curves(self.default_quote_date)
        # Not sure if all Python versions and machine will guarantee that the
        #  lists are not messed, probably some ordered maps should be used
        # here while retrieving values from fx_swap_quotes dictionary
        original_quotes = list(self.fx_swap_quotes.values())
        spot_date = ql.Date(30, 8, 2016)
        spot_df = self.eur_ois_curve.discount(
            spot_date) / self.pln_eur_implied_curve.discount(spot_date)

        for original_quote, maturity in zip(original_quotes, self.maturities):
            original_forward = self.fx_spot_quote_EURPLN + original_quote
            curve_impl_forward = (
                    self.fx_spot_quote_EURPLN
                    * self.eur_ois_curve.discount(maturity)
                    / self.pln_eur_implied_curve.discount(maturity)
                    / spot_df
            )

            self.assertAlmostEqual(original_forward, curve_impl_forward,
                                   places=6)

    def testFxMarketConventionsForCrossRate(self):
        """
        Testing if ql.FxSwapRateHelper obeys the fx spot market
        conventions for cross rates.
        """
        today = ql.Date(1, 7, 2016)
        spot_date = ql.Date(5, 7, 2016)
        self.build_curves(today)

        us_calendar = ql.UnitedStates(ql.UnitedStates.GovernmentBond)

        joint_calendar = ql.JointCalendar(ql.TARGET(), ql.Poland())

        settlement_calendar = ql.JointCalendar(joint_calendar, us_calendar)

        # Settlement should be on a day where all three centers are operating
        #  and follow EndOfMonth rule
        maturities = [
            settlement_calendar.advance(spot_date, n, unit,
                                        ql.ModifiedFollowing, True)
            for n, unit in self.fx_swap_quotes.keys()
        ]

        for n in range(len(maturities)):
            self.assertEqual(maturities[n],
                             self.eur_pln_fx_swap_helpers[n].latestDate())

    def testFxMarketConventionsForCrossRateONPeriod(self):
        """
        Testing if ql.FxSwapRateHelper obeys the fx spot market
        conventions for cross rates' ON Period.
        """
        today = ql.Date(1, 7, 2016)
        ql.Settings.instance().evaluationDate = today

        spot_date = ql.Date(5, 7, 2016)
        fwd_points = 4.0
        # critical for ON rate helper
        on_period = ql.Period("1d")
        fixing_days = 0

        # empty RelinkableYieldTermStructureHandle is sufficient for testing
        # dates
        base_ccy_yts = ql.RelinkableYieldTermStructureHandle()

        us_calendar = ql.UnitedStates(ql.UnitedStates.GovernmentBond)

        joint_calendar = ql.JointCalendar(ql.TARGET(), ql.Poland())

        # Settlement should be on a day where all three centers are operating
        #  and follow EndOfMonth rule
        on_rate_helper = ql.FxSwapRateHelper(
            ql.makeQuoteHandle(fwd_points),
            ql.makeQuoteHandle(self.fx_spot_quote_EURPLN),
            on_period,
            fixing_days,
            joint_calendar,
            ql.ModifiedFollowing,
            False,
            True,
            base_ccy_yts,
            us_calendar,
        )

        self.assertEqual(spot_date, on_rate_helper.latestDate())

    def testFxMarketConventionsForCrossRateAdjustedSpotDate(self):
        """
        Testing if ql.FxSwapRateHelper obeys the fx spot market
        conventions
        """
        today = ql.Date(30, 6, 2016)
        spot_date = ql.Date(5, 7, 2016)
        self.build_curves(today)
        us_calendar = ql.UnitedStates(ql.UnitedStates.GovernmentBond)
        joint_calendar = ql.JointCalendar(ql.TARGET(), ql.Poland())

        settlement_calendar = ql.JointCalendar(joint_calendar, us_calendar)
        # Settlement should be on a day where all three centers are operating
        #  and follow EndOfMonth rule
        maturities = [
            joint_calendar.advance(spot_date, n, unit, ql.ModifiedFollowing,
                                   True)
            for n, unit in self.fx_swap_quotes.keys()
        ]

        maturities = [settlement_calendar.adjust(date) for date in maturities]

        for helper, maturity in zip(self.eur_pln_fx_swap_helpers, maturities):
            self.assertEqual(maturity, helper.latestDate())

    def testFxMarketConventionsForDatesInEURUSD_ON_Period(self):
        """
        Testing if ql.FxSwapRateHelper obeys the fx spot market
        conventions for EURUSD settlement dates on the ON Period.
        """
        today = ql.Date(1, 7, 2016)
        ql.Settings.instance().evaluationDate = today

        spot_date = ql.Date(5, 7, 2016)
        fwd_points = 4.0
        # critical for ON rate helper
        on_period = ql.Period("1d")
        fixing_days = 0

        # empty RelinkableYieldTermStructureHandle is sufficient for testing
        # dates
        base_ccy_yts = ql.RelinkableYieldTermStructureHandle()

        # In EURUSD, there must be two days to spot date in Target calendar
        # and one day in US, therefore it is sufficient to pass only Target
        # as a base calendar
        calendar = ql.TARGET()
        trading_calendar = ql.UnitedStates(ql.UnitedStates.GovernmentBond)

        on_rate_helper = ql.FxSwapRateHelper(
            ql.makeQuoteHandle(fwd_points),
            ql.makeQuoteHandle(self.fx_spot_quote_EURUSD),
            on_period,
            fixing_days,
            calendar,
            ql.ModifiedFollowing,
            False,
            True,
            base_ccy_yts,
            trading_calendar,
        )

        self.assertEqual(spot_date, on_rate_helper.latestDate())

    def testFxMarketConventionsForDatesInEURUSD_ShortEnd(self):
        """
        Testing if ql.FxSwapRateHelper obeys the fx spot market
        conventions for EURUSD settlement dates on the 3M tenor.
        """
        today = ql.Date(1, 7, 2016)
        ql.Settings.instance().evaluationDate = today

        expected_3M_date = ql.Date(5, 10, 2016)
        fwd_points = 4.0
        # critical for ON rate helper
        period = ql.Period("3M")
        fixing_days = 2

        # empty RelinkableYieldTermStructureHandle is sufficient for testing
        # dates
        base_ccy_yts = ql.RelinkableYieldTermStructureHandle()

        # In EURUSD, there must be two days to spot date in Target calendar
        # and one day in US, therefore it is sufficient to pass only Target
        # as a base calendar. Passing joint calendar would result in wrong
        # spot date of the trade
        calendar = ql.TARGET()
        trading_calendar = ql.UnitedStates(ql.UnitedStates.GovernmentBond)

        rate_helper = ql.FxSwapRateHelper(
            ql.makeQuoteHandle(fwd_points),
            ql.makeQuoteHandle(self.fx_spot_quote_EURUSD),
            period,
            fixing_days,
            calendar,
            ql.ModifiedFollowing,
            True,
            True,
            base_ccy_yts,
            trading_calendar,
        )

        self.assertEqual(expected_3M_date, rate_helper.latestDate())

    def tearDown(self):
        ql.Settings.instance().evaluationDate = ql.Date()


def flat_rate(rate):
    return ql.FlatForward(
        0, ql.NullCalendar(), ql.makeQuoteHandle(rate), ql.Actual365Fixed())


class CrossCurrencyBasisSwapRateHelperTest(unittest.TestCase):
    def setUp(self):
        ql.Settings.instance().evaluationDate = ql.Date(26, 5, 2021)

        self.basis_point = 1.0e-4
        self.settlement_days = 2
        self.business_day_convention = ql.Following
        self.calendar = ql.TARGET()
        self.day_count = ql.Actual365Fixed()
        self.end_of_month = False
        base_ccy_idx_handle = ql.YieldTermStructureHandle(flat_rate(0.007))
        quoted_ccy_idx_handle = ql.YieldTermStructureHandle(flat_rate(0.015))
        self.base_ccy_idx = ql.Euribor3M(base_ccy_idx_handle)
        self.quote_ccy_idx = ql.USDLibor(
            ql.Period(3, ql.Months), quoted_ccy_idx_handle)
        self.collateral_ccy_handle = ql.YieldTermStructureHandle(
            flat_rate(0.009))
        # Cross currency basis swaps data source:
        #   N. Moreni, A. Pallavicini (2015)
        #   FX Modelling in Collateralized Markets: foreign measures, basis curves
        #   and pricing formulae.
        #   section 4.2.1, Table 2.
        self.cross_currency_basis_quotes = ((ql.Period(1, ql.Years), -14.5),
                                            (ql.Period(18, ql.Months), -18.5),
                                            (ql.Period(2, ql.Years), -20.5),
                                            (ql.Period(3, ql.Years), -23.75),
                                            (ql.Period(4, ql.Years), -25.5),
                                            (ql.Period(5, ql.Years), -26.5),
                                            (ql.Period(7, ql.Years), -26.75),
                                            (ql.Period(10, ql.Years), -26.25),
                                            (ql.Period(15, ql.Years), -24.75),
                                            (ql.Period(20, ql.Years), -23.25),
                                            (ql.Period(30, ql.Years), -20.50))

    def buildRateHelper(
            self,
            quote_tuple,
            is_fx_base_ccy_collateral_ccy,
            is_basis_on_fx_base_ccy_leg):
        tenor, rate = quote_tuple
        quote_handle = ql.makeQuoteHandle(rate * self.basis_point)
        return ql.ConstNotionalCrossCurrencyBasisSwapRateHelper(
            quote_handle,
            tenor,
            self.settlement_days,
            self.calendar,
            self.business_day_convention,
            self.end_of_month,
            self.base_ccy_idx,
            self.quote_ccy_idx,
            self.collateral_ccy_handle,
            is_fx_base_ccy_collateral_ccy,
            is_basis_on_fx_base_ccy_leg)

    def assertImpliedQuotes(
            self,
            is_fx_base_ccy_collateral_ccy,
            is_basis_on_fx_base_ccy_leg):
        eps = 1.0e-8
        helpers = [self.buildRateHelper(q,
                                        is_fx_base_ccy_collateral_ccy,
                                        is_basis_on_fx_base_ccy_leg)
                   for q in self.cross_currency_basis_quotes]
        term_structure = ql.PiecewiseLogLinearDiscount(
            self.settlement_days, self.calendar, helpers, self.day_count)
        settlement_date = term_structure.referenceDate()

        # Trigger bootstrap
        discount_at_origin = term_structure.discount(settlement_date)
        self.assertAlmostEqual(
            first=discount_at_origin, second=1.0, delta=eps)

        for q, h in zip(self.cross_currency_basis_quotes, helpers):
            tenor, expected_rate = q
            actual_rate = h.impliedQuote() / self.basis_point

            fail_msg = """ Failed to replicate cross currency basis:
                            tenor: {tenor}
                            actual basis: {actual_rate}
                            expected basis: {expected_rate}
                            tolerance: {tolerance}
                       """.format(tenor=tenor,
                                  actual_rate=actual_rate,
                                  expected_rate=expected_rate,
                                  tolerance=eps)
            self.assertAlmostEqual(
                first=actual_rate,
                second=expected_rate,
                delta=eps,
                msg=fail_msg)

    def testFxBasisSwapsWithCollateralInBaseAndBasisInQuoteCcy(self):
        """ Testing basis swaps instruments with collateral in base ccy and basis in quote ccy... """
        is_fx_base_ccy_collateral_ccy = True
        is_basis_on_fx_base_currency_leg = False
        self.assertImpliedQuotes(
            is_fx_base_ccy_collateral_ccy, is_basis_on_fx_base_currency_leg)

    def testFxBasisSwapsWithCollateralInQuoteAndBasisInBaseCcy(self):
        """ Testing basis swaps instruments with collateral in quote ccy and basis in base ccy... """
        is_fx_base_ccy_collateral_ccy = False
        is_basis_on_fx_base_currency_leg = True
        self.assertImpliedQuotes(
            is_fx_base_ccy_collateral_ccy, is_basis_on_fx_base_currency_leg)

    def testFxBasisSwapsWithCollateralAndBasisInBaseCcy(self):
        """ Testing basis swaps instruments with collateral and basis in base ccy... """
        is_fx_base_ccy_collateral_ccy = True
        is_basis_on_fx_base_currency_leg = True
        self.assertImpliedQuotes(
            is_fx_base_ccy_collateral_ccy, is_basis_on_fx_base_currency_leg)

    def testFxBasisSwapsWithCollateralAndBasisInQuoteCcy(self):
        """ Testing basis swaps instruments with collateral and basis in quote ccy... """
        is_fx_base_ccy_collateral_ccy = False
        is_basis_on_fx_base_currency_leg = False
        self.assertImpliedQuotes(
            is_fx_base_ccy_collateral_ccy, is_basis_on_fx_base_currency_leg)

    def tearDown(self):
        ql.Settings.instance().evaluationDate = ql.Date()


if __name__ == "__main__":
    print("testing QuantLib", ql.__version__)
    unittest.main(verbosity=2)