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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2003 RiskMap srl
Copyright (C) 2006 Piter Dias
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 "daycounters.hpp"
#include "utilities.hpp"
#include <ql/time/daycounters/actualactual.hpp>
#include <ql/time/daycounters/one.hpp>
#include <ql/time/daycounters/simpledaycounter.hpp>
#include <ql/time/daycounters/business252.hpp>
#include <ql/time/calendars/brazil.hpp>
#include <ql/time/period.hpp>
#include <iomanip>
using namespace QuantLib;
using namespace boost::unit_test_framework;
QL_BEGIN_TEST_LOCALS(DayCounterTest)
struct SingleCase {
SingleCase(ActualActual::Convention convention,
const Date& start,
const Date& end,
const Date& refStart,
const Date& refEnd,
Time result)
: convention(convention), start(start), end(end),
refStart(refStart), refEnd(refEnd), result(result) {}
SingleCase(ActualActual::Convention convention,
const Date& start,
const Date& end,
Time result)
: convention(convention), start(start), end(end),
refStart(Date()), refEnd(Date()), result(result) {}
ActualActual::Convention convention;
Date start;
Date end;
Date refStart;
Date refEnd;
Time result;
};
QL_END_TEST_LOCALS(DayCounterTest)
void DayCounterTest::testActualActual() {
BOOST_MESSAGE("Testing actual/actual day counters...");
SingleCase testCases[] = {
// first example
SingleCase(ActualActual::ISDA,
Date(1,November,2003), Date(1,May,2004),
0.497724380567),
SingleCase(ActualActual::ISMA,
Date(1,November,2003), Date(1,May,2004),
Date(1,November,2003), Date(1,May,2004),
0.500000000000),
SingleCase(ActualActual::AFB,
Date(1,November,2003), Date(1,May,2004),
0.497267759563),
// short first calculation period (first period)
SingleCase(ActualActual::ISDA,
Date(1,February,1999), Date(1,July,1999),
0.410958904110),
SingleCase(ActualActual::ISMA,
Date(1,February,1999), Date(1,July,1999),
Date(1,July,1998), Date(1,July,1999),
0.410958904110),
SingleCase(ActualActual::AFB,
Date(1,February,1999), Date(1,July,1999),
0.410958904110),
// short first calculation period (second period)
SingleCase(ActualActual::ISDA,
Date(1,July,1999), Date(1,July,2000),
1.001377348600),
SingleCase(ActualActual::ISMA,
Date(1,July,1999), Date(1,July,2000),
Date(1,July,1999), Date(1,July,2000),
1.000000000000),
SingleCase(ActualActual::AFB,
Date(1,July,1999), Date(1,July,2000),
1.000000000000),
// long first calculation period (first period)
SingleCase(ActualActual::ISDA,
Date(15,August,2002), Date(15,July,2003),
0.915068493151),
SingleCase(ActualActual::ISMA,
Date(15,August,2002), Date(15,July,2003),
Date(15,January,2003), Date(15,July,2003),
0.915760869565),
SingleCase(ActualActual::AFB,
Date(15,August,2002), Date(15,July,2003),
0.915068493151),
// long first calculation period (second period)
/* Warning: the ISDA case is in disagreement with mktc1198.pdf */
SingleCase(ActualActual::ISDA,
Date(15,July,2003), Date(15,January,2004),
0.504004790778),
SingleCase(ActualActual::ISMA,
Date(15,July,2003), Date(15,January,2004),
Date(15,July,2003), Date(15,January,2004),
0.500000000000),
SingleCase(ActualActual::AFB,
Date(15,July,2003), Date(15,January,2004),
0.504109589041),
// short final calculation period (penultimate period)
SingleCase(ActualActual::ISDA,
Date(30,July,1999), Date(30,January,2000),
0.503892506924),
SingleCase(ActualActual::ISMA,
Date(30,July,1999), Date(30,January,2000),
Date(30,July,1999), Date(30,January,2000),
0.500000000000),
SingleCase(ActualActual::AFB,
Date(30,July,1999), Date(30,January,2000),
0.504109589041),
// short final calculation period (final period)
SingleCase(ActualActual::ISDA,
Date(30,January,2000), Date(30,June,2000),
0.415300546448),
SingleCase(ActualActual::ISMA,
Date(30,January,2000), Date(30,June,2000),
Date(30,January,2000), Date(30,July,2000),
0.417582417582),
SingleCase(ActualActual::AFB,
Date(30,January,2000), Date(30,June,2000),
0.41530054644)
};
Size n = sizeof(testCases)/sizeof(SingleCase);
for (Size i=0; i<n; i++) {
ActualActual dayCounter(testCases[i].convention);
Date d1 = testCases[i].start,
d2 = testCases[i].end,
rd1 = testCases[i].refStart,
rd2 = testCases[i].refEnd;
Time calculated = dayCounter.yearFraction(d1,d2,rd1,rd2);
if (std::fabs(calculated-testCases[i].result) > 1.0e-10) {
std::ostringstream period, refPeriod;
period << "period: " << d1 << " to " << d2;
if (testCases[i].convention == ActualActual::ISMA)
refPeriod << "referencePeriod: " << rd1 << " to " << rd2;
BOOST_FAIL(dayCounter.name() << ":\n"
<< period.str() << "\n" << refPeriod.str() << "\n"
<< std::setprecision(10)
<< " calculated: " << calculated << "\n"
<< " expected: " << testCases[i].result);
}
}
}
void DayCounterTest::testSimple() {
BOOST_MESSAGE("Testing simple day counter...");
Period p[] = { Period(3,Months), Period(6,Months), Period(1,Years) };
Time expected[] = { 0.25, 0.5, 1.0 };
Size n = sizeof(p)/sizeof(Period);
// 4 years should be enough
Date first(1,January,2002), last(31,December,2005);
DayCounter dayCounter = SimpleDayCounter();
for (Date start = first; start <= last; start++) {
for (Size i=0; i<n; i++) {
Date end = start + p[i];
Time calculated = dayCounter.yearFraction(start,end);
if (std::fabs(calculated-expected[i]) > 1.0e-12) {
BOOST_FAIL("from " << start << " to " << end << ":\n"
<< std::setprecision(12)
<< " calculated: " << calculated << "\n"
<< " expected: " << expected[i]);
}
}
}
}
void DayCounterTest::testOne() {
BOOST_MESSAGE("Testing 1/1 day counter...");
Period p[] = { Period(3,Months), Period(6,Months), Period(1,Years) };
Time expected[] = { 1.0, 1.0, 1.0 };
Size n = sizeof(p)/sizeof(Period);
// 1 years should be enough
Date first(1,January,2004), last(31,December,2004);
DayCounter dayCounter = OneDayCounter();
for (Date start = first; start <= last; start++) {
for (Size i=0; i<n; i++) {
Date end = start + p[i];
Time calculated = dayCounter.yearFraction(start,end);
if (std::fabs(calculated-expected[i]) > 1.0e-12) {
BOOST_FAIL("from " << start << " to " << end << ":\n"
<< std::setprecision(12)
<< " calculated: " << calculated << "\n"
<< " expected: " << expected[i]);
}
}
}
}
void DayCounterTest::testBusiness252() {
BOOST_MESSAGE("Testing business/252 day counter...");
std::vector<Date> testDates;
testDates.push_back(Date(1,February,2002));
testDates.push_back(Date(4,February,2002));
testDates.push_back(Date(16,May,2003));
testDates.push_back(Date(17,December,2003));
testDates.push_back(Date(17,December,2004));
testDates.push_back(Date(19,December,2005));
testDates.push_back(Date(2,January,2006));
testDates.push_back(Date(13,March,2006));
testDates.push_back(Date(15,May,2006));
testDates.push_back(Date(17,March,2006));
testDates.push_back(Date(15,May,2006));
testDates.push_back(Date(26,July,2006));
Time expected[] = {
0.0039682539683,
1.2738095238095,
0.6031746031746,
0.9960317460317,
1.0000000000000,
0.0396825396825,
0.1904761904762,
0.1666666666667,
-0.1507936507937,
0.1507936507937,
0.2023809523810
};
DayCounter dayCounter1 = Business252(Brazil());
Time calculated;
for (Size i=1; i<testDates.size(); i++) {
calculated = dayCounter1.yearFraction(testDates[i-1],testDates[i]);
if (std::fabs(calculated-expected[i-1]) > 1.0e-12) {
BOOST_ERROR("from " << testDates[i-1]
<< " to " << testDates[i] << ":\n"
<< std::setprecision(12)
<< " calculated: " << calculated << "\n"
<< " expected: " << expected[i-1]);
}
}
DayCounter dayCounter2 = Business252();
for (Size i=1; i<testDates.size(); i++) {
calculated = dayCounter2.yearFraction(testDates[i-1],testDates[i]);
if (std::fabs(calculated-expected[i-1]) > 1.0e-12) {
BOOST_ERROR("from " << testDates[i-1]
<< " to " << testDates[i] << ":\n"
<< std::setprecision(12)
<< " calculated: " << calculated << "\n"
<< " expected: " << expected[i-1]);
}
}
}
test_suite* DayCounterTest::suite() {
test_suite* suite = BOOST_TEST_SUITE("Day counter tests");
suite->add(BOOST_TEST_CASE(&DayCounterTest::testActualActual));
suite->add(BOOST_TEST_CASE(&DayCounterTest::testSimple));
suite->add(BOOST_TEST_CASE(&DayCounterTest::testOne));
suite->add(BOOST_TEST_CASE(&DayCounterTest::testBusiness252));
return suite;
}
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