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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2004 Ferdinando Ametrano
Copyright (C) 2006 Katiuscia Manzoni
Copyright (C) 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/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.
*/
#include "dates.hpp"
#include <ql/time/date.hpp>
#include <ql/time/imm.hpp>
#include <ql/utilities/dataparsers.hpp>
using namespace QuantLib;
using namespace boost::unit_test_framework;
void DateTest::immDates() {
BOOST_MESSAGE("Testing IMM dates...");
const std::string IMMcodes[] = {
"F0", "G0", "H0", "J0", "K0", "M0", "N0", "Q0", "U0", "V0", "X0", "Z0",
"F1", "G1", "H1", "J1", "K1", "M1", "N1", "Q1", "U1", "V1", "X1", "Z1",
"F2", "G2", "H2", "J2", "K2", "M2", "N2", "Q2", "U2", "V2", "X2", "Z2",
"F3", "G3", "H3", "J3", "K3", "M3", "N3", "Q3", "U3", "V3", "X3", "Z3",
"F4", "G4", "H4", "J4", "K4", "M4", "N4", "Q4", "U4", "V4", "X4", "Z4",
"F5", "G5", "H5", "J5", "K5", "M5", "N5", "Q5", "U5", "V5", "X5", "Z5",
"F6", "G6", "H6", "J6", "K6", "M6", "N6", "Q6", "U6", "V6", "X6", "Z6",
"F7", "G7", "H7", "J7", "K7", "M7", "N7", "Q7", "U7", "V7", "X7", "Z7",
"F8", "G8", "H8", "J8", "K8", "M8", "N8", "Q8", "U8", "V8", "X8", "Z8",
"F9", "G9", "H9", "J9", "K9", "M9", "N9", "Q9", "U9", "V9", "X9", "Z9"
};
Date counter = Date::minDate();
// 10 years of futures must not exceed Date::maxDate
Date last = Date::maxDate() - 121*Months;
Date imm;
while (counter<=last) {
imm = IMM::nextDate(counter, false);
// check that imm is greater than counter
if (imm<=counter)
BOOST_FAIL("\n "
<< imm.weekday() << " " << imm
<< " is not greater than "
<< counter.weekday() << " " << counter);
// check that imm is an IMM date
if (!IMM::isIMMdate(imm, false))
BOOST_FAIL("\n "
<< imm.weekday() << " " << imm
<< " is not an IMM date (calculated from "
<< counter.weekday() << " " << counter << ")");
// check that imm is <= to the next IMM date in the main cycle
if (imm>IMM::nextDate(counter, true))
BOOST_FAIL("\n "
<< imm.weekday() << " " << imm
<< " is not less than or equal to the next future in the main cycle "
<< IMM::nextDate(counter, true));
//// check that if counter is an IMM date, then imm==counter
//if (IMM::isIMMdate(counter, false) && (imm!=counter))
// BOOST_FAIL("\n "
// << counter.weekday() << " " << counter
// << " is already an IMM date, while nextIMM() returns "
// << imm.weekday() << " " << imm);
// check that for every date IMMdate is the inverse of IMMcode
if (IMM::date(IMM::code(imm), counter) != imm)
BOOST_FAIL("\n "
<< IMM::code(imm)
<< " at calendar day " << counter
<< " is not the IMM code matching " << imm);
// check that for every date the 120 IMM codes refer to future dates
for (int i=0; i<40; ++i) {
if (IMM::date(IMMcodes[i], counter)<counter)
BOOST_FAIL("\n "
<< IMM::date(IMMcodes[i], counter)
<< " is wrong for " << IMMcodes[i]
<< " at reference date " << counter);
}
counter = counter + 1;
}
}
void DateTest::testConsistency() {
BOOST_MESSAGE("Testing dates...");
BigInteger minDate = Date::minDate().serialNumber()+1,
maxDate = Date::maxDate().serialNumber();
BigInteger dyold = Date(minDate-1).dayOfYear(),
dold = Date(minDate-1).dayOfMonth(),
mold = Date(minDate-1).month(),
yold = Date(minDate-1).year(),
wdold = Date(minDate-1).weekday();
for (BigInteger i=minDate; i<=maxDate; i++) {
Date t(i);
BigInteger serial = t.serialNumber();
// check serial number consistency
if (serial != i)
BOOST_FAIL("inconsistent serial number:\n"
<< " original: " << i << "\n"
<< " date: " << t << "\n"
<< " serial number: " << serial);
Integer dy = t.dayOfYear(),
d = t.dayOfMonth(),
m = t.month(),
y = t.year(),
wd = t.weekday();
// check if skipping any date
if (!((dy == dyold+1) ||
(dy == 1 && dyold == 365 && !Date::isLeap(yold)) ||
(dy == 1 && dyold == 366 && Date::isLeap(yold))))
BOOST_FAIL("wrong day of year increment: \n"
<< " date: " << t << "\n"
<< " day of year: " << dy << "\n"
<< " previous: " << dyold);
dyold = dy;
if (!((d == dold+1 && m == mold && y == yold) ||
(d == 1 && m == mold+1 && y == yold) ||
(d == 1 && m == 1 && y == yold+1)))
BOOST_FAIL("wrong day,month,year increment: \n"
<< " date: " << t << "\n"
<< " day,month,year: "
<< d << "," << Integer(m) << "," << y << "\n"
<< " previous: "
<< dold<< "," << Integer(mold) << "," << yold);
dold = d; mold = m; yold = y;
// check month definition
if (m < 1 || m > 12)
BOOST_FAIL("invalid month: \n"
<< " date: " << t << "\n"
<< " month: " << Integer(m));
// check day definition
if (d < 1)
BOOST_FAIL("invalid day of month: \n"
<< " date: " << t << "\n"
<< " day: " << d);
if (!((m == 1 && d <= 31) ||
(m == 2 && d <= 28) ||
(m == 2 && d == 29 && Date::isLeap(y)) ||
(m == 3 && d <= 31) ||
(m == 4 && d <= 30) ||
(m == 5 && d <= 31) ||
(m == 6 && d <= 30) ||
(m == 7 && d <= 31) ||
(m == 8 && d <= 31) ||
(m == 9 && d <= 30) ||
(m == 10 && d <= 31) ||
(m == 11 && d <= 30) ||
(m == 12 && d <= 31)))
BOOST_FAIL("invalid day of month: \n"
<< " date: " << t << "\n"
<< " day: " << d);
// check weekday definition
if (!((Integer(wd) == Integer(wdold+1)) ||
(Integer(wd) == 1 && Integer(wdold) == 7)))
BOOST_FAIL("invalid weekday: \n"
<< " date: " << t << "\n"
<< " weekday: " << Integer(wd) << "\n"
<< " previous: " << Integer(wdold));
wdold = wd;
// create the same date with a different constructor
Date s(d,Month(m),y);
// check serial number consistency
serial = s.serialNumber();
if (serial != i)
BOOST_FAIL("inconsistent serial number:\n"
<< " date: " << t << "\n"
<< " serial number: " << i << "\n"
<< " cloned date: " << s << "\n"
<< " serial number: " << serial);
}
}
void DateTest::isoDates() {
BOOST_MESSAGE("Testing ISO dates...");
std::string input_date("2006-01-15");
Date d = DateParser::parseISO(input_date);
if (d.dayOfMonth() != 15 ||
d.month() != January ||
d.year() != 2006) {
BOOST_FAIL("Iso date failed\n"
<< " input date: " << input_date << "\n"
<< " day of month: " << d.dayOfMonth() << "\n"
<< " month: " << d.month() << "\n"
<< " year: " << d.year());
}
}
test_suite* DateTest::suite() {
test_suite* suite = BOOST_TEST_SUITE("Date tests");
suite->add(BOOST_TEST_CASE(&DateTest::testConsistency));
suite->add(BOOST_TEST_CASE(&DateTest::immDates));
suite->add(BOOST_TEST_CASE(&DateTest::isoDates));
return suite;
}
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