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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2005, 2006, 2007 StatPro Italia 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 "piecewiseyieldcurve.hpp"
#include "utilities.hpp"
#include <ql/termstructures/yield/piecewiseyieldcurve.hpp>
#include <ql/termstructures/yield/ratehelpers.hpp>
#include <ql/termstructures/yield/bondhelpers.hpp>
#include <ql/termstructures/yield/flatforward.hpp>
#include <ql/time/calendars/target.hpp>
#include <ql/time/daycounters/actual360.hpp>
#include <ql/time/daycounters/actualactual.hpp>
#include <ql/time/daycounters/thirty360.hpp>
#include <ql/indexes/ibor/euribor.hpp>
#include <ql/indexes/ibor/usdlibor.hpp>
#include <ql/indexes/bmaindex.hpp>
#include <ql/indexes/indexmanager.hpp>
#include <ql/instruments/forwardrateagreement.hpp>
#include <ql/instruments/makevanillaswap.hpp>
#include <ql/math/interpolations/linearinterpolation.hpp>
#include <ql/math/interpolations/loginterpolation.hpp>
#include <ql/math/interpolations/backwardflatinterpolation.hpp>
#include <ql/math/interpolations/cubicspline.hpp>
#include <ql/quotes/simplequote.hpp>
#include <ql/utilities/dataformatters.hpp>
#include <ql/pricingengines/bond/discountingbondengine.hpp>
#include <ql/pricingengines/swap/discountingswapengine.hpp>
#include <iomanip>
using namespace QuantLib;
using namespace boost::unit_test_framework;
QL_BEGIN_TEST_LOCALS(PiecewiseYieldCurveTest)
struct Datum {
Integer n;
TimeUnit units;
Rate rate;
};
struct BondDatum {
Integer n;
TimeUnit units;
Integer length;
Frequency frequency;
Rate coupon;
Real price;
};
Datum depositData[] = {
{ 1, Weeks, 4.559 },
{ 1, Months, 4.581 },
{ 2, Months, 4.573 },
{ 3, Months, 4.557 },
{ 6, Months, 4.496 },
{ 9, Months, 4.490 }
};
Datum fraData[] = {
{ 1, Months, 4.581 },
{ 2, Months, 4.573 },
{ 3, Months, 4.557 },
{ 6, Months, 4.496 },
{ 9, Months, 4.490 }
};
Datum swapData[] = {
{ 1, Years, 4.54 },
{ 2, Years, 4.63 },
{ 3, Years, 4.75 },
{ 4, Years, 4.86 },
{ 5, Years, 4.99 },
{ 6, Years, 5.11 },
{ 7, Years, 5.23 },
{ 8, Years, 5.33 },
{ 9, Years, 5.41 },
{ 10, Years, 5.47 },
{ 12, Years, 5.60 },
{ 15, Years, 5.75 },
{ 20, Years, 5.89 },
{ 25, Years, 5.95 },
{ 30, Years, 5.96 }
};
BondDatum bondData[] = {
{ 6, Months, 5, Semiannual, 4.75, 101.320 },
{ 1, Years, 3, Semiannual, 2.75, 100.590 },
{ 2, Years, 5, Semiannual, 5.00, 105.650 },
{ 5, Years, 11, Semiannual, 5.50, 113.610 },
{ 10, Years, 11, Semiannual, 3.75, 104.070 }
};
Datum bmaData[] = {
{ 1, Years, 67.56 },
{ 2, Years, 68.00 },
{ 3, Years, 68.25 },
{ 4, Years, 68.50 },
{ 5, Years, 68.81 },
{ 7, Years, 69.50 },
{ 10, Years, 70.44 },
{ 15, Years, 71.69 },
{ 20, Years, 72.69 },
{ 30, Years, 73.81 }
};
// test-global variables
Calendar calendar;
Natural settlementDays;
Date today, settlement;
BusinessDayConvention fixedLegConvention;
Frequency fixedLegFrequency;
DayCounter fixedLegDayCounter;
Natural bondSettlementDays;
DayCounter bondDayCounter;
BusinessDayConvention bondConvention;
Real bondRedemption;
Frequency bmaFrequency;
BusinessDayConvention bmaConvention;
DayCounter bmaDayCounter;
Size deposits, fras, swaps, bonds, bmas;
std::vector<boost::shared_ptr<SimpleQuote> > rates, fraRates, prices, fractions;
std::vector<boost::shared_ptr<RateHelper> > instruments, fraHelpers,
bondHelpers, bmaHelpers;
std::vector<Schedule> schedules;
boost::shared_ptr<YieldTermStructure> termStructure;
void setup() {
// data
calendar = TARGET();
settlementDays = 2;
today = calendar.adjust(Date::todaysDate());
Settings::instance().evaluationDate() = today;
settlement = calendar.advance(today,settlementDays,Days);
fixedLegConvention = Unadjusted;
fixedLegFrequency = Annual;
fixedLegDayCounter = Thirty360();
bondSettlementDays = 3;
bondDayCounter = ActualActual();
bondConvention = Following;
bondRedemption = 100.0;
bmaFrequency = Quarterly;
bmaConvention = Following;
bmaDayCounter = ActualActual();
deposits = LENGTH(depositData);
fras = LENGTH(fraData);
swaps = LENGTH(swapData);
bonds = LENGTH(bondData);
bmas = LENGTH(bmaData);
// market elements
rates = std::vector<boost::shared_ptr<SimpleQuote> >(deposits+swaps);
fraRates = std::vector<boost::shared_ptr<SimpleQuote> >(fras);
prices = std::vector<boost::shared_ptr<SimpleQuote> >(bonds);
fractions = std::vector<boost::shared_ptr<SimpleQuote> >(bmas);
for (Size i=0; i<deposits; i++) {
rates[i] = boost::shared_ptr<SimpleQuote>(
new SimpleQuote(depositData[i].rate/100));
}
for (Size i=0; i<swaps; i++) {
rates[i+deposits] = boost::shared_ptr<SimpleQuote>(
new SimpleQuote(swapData[i].rate/100));
}
for (Size i=0; i<fras; i++) {
fraRates[i] = boost::shared_ptr<SimpleQuote>(
new SimpleQuote(fraData[i].rate/100));
}
for (Size i=0; i<bonds; i++) {
prices[i] = boost::shared_ptr<SimpleQuote>(
new SimpleQuote(bondData[i].price));
}
for (Size i=0; i<bmas; i++) {
fractions[i] = boost::shared_ptr<SimpleQuote>(
new SimpleQuote(bmaData[i].rate/100));
}
// rate helpers
instruments = std::vector<boost::shared_ptr<RateHelper> >(deposits+swaps);
fraHelpers = std::vector<boost::shared_ptr<RateHelper> >(fras);
bondHelpers = std::vector<boost::shared_ptr<RateHelper> >(bonds);
schedules = std::vector<Schedule>(bonds);
bmaHelpers = std::vector<boost::shared_ptr<RateHelper> >(bmas);
boost::shared_ptr<IborIndex> euribor6m(new Euribor6M);
for (Size i=0; i<deposits; i++) {
Handle<Quote> r(rates[i]);
instruments[i] = boost::shared_ptr<RateHelper>(
new DepositRateHelper(r, depositData[i].n*depositData[i].units,
settlementDays, calendar,
euribor6m->businessDayConvention(),
euribor6m->endOfMonth(),
euribor6m->fixingDays(),
euribor6m->dayCounter()));
}
for (Size i=0; i<swaps; i++) {
Handle<Quote> r(rates[i+deposits]);
instruments[i+deposits] = boost::shared_ptr<RateHelper>(new
SwapRateHelper(r, swapData[i].n*swapData[i].units,
calendar,
fixedLegFrequency, fixedLegConvention,
fixedLegDayCounter, euribor6m));
}
Euribor3M euribor3m;
for (Size i=0; i<fras; i++) {
Handle<Quote> r(fraRates[i]);
fraHelpers[i] = boost::shared_ptr<RateHelper>(new
FraRateHelper(r, fraData[i].n, fraData[i].n + 3,
euribor3m.fixingDays(),
euribor3m.fixingCalendar(),
euribor3m.businessDayConvention(),
euribor3m.endOfMonth(),
euribor3m.fixingDays(),
euribor3m.dayCounter()));
}
for (Size i=0; i<bonds; i++) {
Handle<Quote> p(prices[i]);
Date maturity =
calendar.advance(today, bondData[i].n, bondData[i].units);
Date issue = calendar.advance(maturity, -bondData[i].length, Years);
std::vector<Rate> coupons(1, bondData[i].coupon/100.0);
schedules[i] = Schedule(issue, maturity,
Period(bondData[i].frequency),
calendar,
bondConvention, bondConvention,
DateGeneration::Backward, false);
bondHelpers[i] = boost::shared_ptr<RateHelper>(new
FixedRateBondHelper(p,
bondSettlementDays,
schedules[i],
coupons, bondDayCounter,
bondConvention,
bondRedemption, issue));
}
}
template <class T, class I>
void testCurveConsistency(const T&, const I& interpolator) {
termStructure = boost::shared_ptr<YieldTermStructure>(
new PiecewiseYieldCurve<T,I>(settlement,instruments,
Actual360(), 1.0e-12,
interpolator));
RelinkableHandle<YieldTermStructure> curveHandle;
curveHandle.linkTo(termStructure);
// check deposits
for (Size i=0; i<deposits; i++) {
Euribor index(depositData[i].n*depositData[i].units,curveHandle);
Rate expectedRate = depositData[i].rate/100,
estimatedRate = index.fixing(today);
if (std::fabs(expectedRate-estimatedRate) > 1.0e-9) {
BOOST_ERROR(
depositData[i].n << " "
<< (depositData[i].units == Weeks ? "week(s)" : "month(s)")
<< " deposit:"
<< std::setprecision(8)
<< "\n estimated rate: " << io::rate(estimatedRate)
<< "\n expected rate: " << io::rate(expectedRate));
}
}
// check swaps
boost::shared_ptr<IborIndex> euribor6m(new Euribor6M(curveHandle));
for (Size i=0; i<swaps; i++) {
Period tenor = swapData[i].n*swapData[i].units;
VanillaSwap swap = MakeVanillaSwap(tenor, euribor6m, 0.0)
.withEffectiveDate(settlement)
.withFixedLegDayCount(fixedLegDayCounter)
.withFixedLegTenor(Period(fixedLegFrequency))
.withFixedLegConvention(fixedLegConvention)
.withFixedLegTerminationDateConvention(fixedLegConvention);
Rate expectedRate = swapData[i].rate/100,
estimatedRate = swap.fairRate();
Real tolerance = 1.0e-9;
Spread error = std::fabs(expectedRate-estimatedRate);
if (error > tolerance) {
BOOST_ERROR(swapData[i].n << " year(s) swap:\n"
<< std::setprecision(8)
<< "\n estimated rate: " << io::rate(estimatedRate)
<< "\n expected rate: " << io::rate(expectedRate)
<< "\n error: " << io::rate(error)
<< "\n tolerance: " << io::rate(tolerance));
}
}
// check bonds
termStructure = boost::shared_ptr<YieldTermStructure>(
new PiecewiseYieldCurve<T,I>(settlement,bondHelpers,
Actual360(), 1.0e-12,
interpolator));
curveHandle.linkTo(termStructure);
for (Size i=0; i<bonds; i++) {
Date maturity =
calendar.advance(today, bondData[i].n, bondData[i].units);
Date issue = calendar.advance(maturity, -bondData[i].length, Years);
std::vector<Rate> coupons(1, bondData[i].coupon/100.0);
FixedRateBond bond(bondSettlementDays, 100.0, schedules[i],
coupons, bondDayCounter, bondConvention,
bondRedemption, issue);
boost::shared_ptr<PricingEngine> bondEngine(
new DiscountingBondEngine(curveHandle));
bond.setPricingEngine(bondEngine);
Real expectedPrice = bondData[i].price,
estimatedPrice = bond.cleanPrice();
Real tolerance = 1.0e-9;
if (std::fabs(expectedPrice-estimatedPrice) > tolerance) {
BOOST_ERROR(io::ordinal(i) << " bond:\n"
<< std::setprecision(8)
<< " estimated price: "
<< estimatedPrice << "\n"
<< " expected price: "
<< expectedPrice);
}
}
// check FRA
termStructure = boost::shared_ptr<YieldTermStructure>(
new PiecewiseYieldCurve<T,I>(settlement,fraHelpers,
Actual360(), 1.0e-12,
interpolator));
curveHandle.linkTo(termStructure);
boost::shared_ptr<IborIndex> euribor3m(new Euribor3M(curveHandle));
for (Size i=0; i<fras; i++) {
Date start = calendar.advance(settlement,
fraData[i].n, fraData[i].units,
euribor3m->businessDayConvention(),
euribor3m->endOfMonth());
Date end = calendar.advance(start, 3, Months,
euribor3m->businessDayConvention(),
euribor3m->endOfMonth());
ForwardRateAgreement fra(start, end, Position::Long,
fraData[i].rate/100, 100.0,
euribor3m, curveHandle);
Rate expectedRate = fraData[i].rate/100,
estimatedRate = fra.forwardRate();
Real tolerance = 1.0e-9;
if (std::fabs(expectedRate-estimatedRate) > tolerance) {
BOOST_ERROR(io::ordinal(i) << " FRA:\n"
<< std::setprecision(8)
<< " estimated rate: "
<< io::rate(estimatedRate) << "\n"
<< " expected rate: "
<< io::rate(expectedRate));
}
}
}
template <class T, class I>
void testBMACurveConsistency(const T&, const I& interpolator) {
Handle<YieldTermStructure> riskFreeCurve(
boost::shared_ptr<YieldTermStructure>(
new FlatForward(settlement, 0.04, Actual360())));
boost::shared_ptr<BMAIndex> bmaIndex(new BMAIndex);
boost::shared_ptr<IborIndex> liborIndex(
new USDLibor(6*Months,riskFreeCurve));
for (Size i=0; i<bmas; ++i) {
Handle<Quote> f(fractions[i]);
bmaHelpers[i] = boost::shared_ptr<RateHelper>(
new BMASwapRateHelper(f, bmaData[i].n*bmaData[i].units,
settlementDays,
bmaIndex->fixingCalendar(),
Period(bmaFrequency),
bmaConvention,
bmaDayCounter,
bmaIndex,
liborIndex));
}
Weekday w = today.weekday();
Date lastWednesday = (w >= 4) ? today - (w - 4) : today + (4 - w - 7);
Date lastFixing = bmaIndex->fixingCalendar().adjust(lastWednesday);
bmaIndex->addFixing(lastFixing, 0.03);
termStructure = boost::shared_ptr<YieldTermStructure>(
new PiecewiseYieldCurve<T,I>(settlement,bmaHelpers,
Actual360(), 1.0e-12,
interpolator));
RelinkableHandle<YieldTermStructure> curveHandle;
curveHandle.linkTo(termStructure);
// check BMA swaps
boost::shared_ptr<BMAIndex> bma(new BMAIndex(curveHandle));
boost::shared_ptr<IborIndex> libor6m(new USDLibor(6*Months,riskFreeCurve));
for (Size i=0; i<bmas; i++) {
Period tenor = bmaData[i].n*bmaData[i].units;
Schedule bmaSchedule = MakeSchedule(settlement, settlement+tenor,
Period(bmaFrequency),
bma->fixingCalendar(),
bmaConvention).backwards();
Schedule liborSchedule = MakeSchedule(settlement, settlement+tenor,
libor6m->tenor(),
libor6m->fixingCalendar(),
libor6m->businessDayConvention())
.endOfMonth(libor6m->endOfMonth())
.backwards();
BMASwap swap(BMASwap::Payer, 100.0,
liborSchedule, 0.75, 0.0, libor6m, libor6m->dayCounter(),
bmaSchedule, bma, bmaDayCounter);
swap.setPricingEngine(boost::shared_ptr<PricingEngine>(
new DiscountingSwapEngine(libor6m->termStructure())));
Real expectedFraction = bmaData[i].rate/100,
estimatedFraction = swap.fairLiborFraction();
Real tolerance = 1.0e-9;
Real error = std::fabs(expectedFraction-estimatedFraction);
if (error > tolerance) {
BOOST_ERROR(bmaData[i].n << " year(s) BMA swap:\n"
<< std::setprecision(8)
<< "\n estimated libor fraction: " << estimatedFraction
<< "\n expected libor fraction: " << expectedFraction
<< "\n error: " << error
<< "\n tolerance: " << tolerance);
}
}
}
QL_END_TEST_LOCALS(PiecewiseYieldCurveTest)
void PiecewiseYieldCurveTest::testLogLinearDiscountConsistency() {
BOOST_MESSAGE(
"Testing consistency of piecewise-log-linear discount curve...");
SavedSettings backup;
IndexHistoryCleaner cleaner;
setup();
testCurveConsistency(Discount(), LogLinear());
testBMACurveConsistency(Discount(), LogLinear());
}
void PiecewiseYieldCurveTest::testLinearDiscountConsistency() {
BOOST_MESSAGE(
"Testing consistency of piecewise-linear discount curve...");
SavedSettings backup;
IndexHistoryCleaner cleaner;
setup();
testCurveConsistency(Discount(), Linear());
testBMACurveConsistency(Discount(), Linear());
}
void PiecewiseYieldCurveTest::testLogLinearZeroConsistency() {
BOOST_MESSAGE(
"Testing consistency of piecewise-log-linear zero-yield curve...");
SavedSettings backup;
IndexHistoryCleaner cleaner;
setup();
testCurveConsistency(ZeroYield(), LogLinear());
testBMACurveConsistency(ZeroYield(), LogLinear());
}
void PiecewiseYieldCurveTest::testLinearZeroConsistency() {
BOOST_MESSAGE(
"Testing consistency of piecewise-linear zero-yield curve...");
SavedSettings backup;
IndexHistoryCleaner cleaner;
setup();
testCurveConsistency(ZeroYield(), Linear());
testBMACurveConsistency(ZeroYield(), Linear());
}
void PiecewiseYieldCurveTest::testSplineZeroConsistency() {
BOOST_MESSAGE(
"Testing consistency of piecewise-spline zero-yield curve...");
SavedSettings backup;
IndexHistoryCleaner cleaner;
setup();
testCurveConsistency(
ZeroYield(),
CubicSpline(CubicSplineInterpolation::SecondDerivative,0.0,
CubicSplineInterpolation::SecondDerivative,0.0,
true));
testBMACurveConsistency(
ZeroYield(),
CubicSpline(CubicSplineInterpolation::SecondDerivative,0.0,
CubicSplineInterpolation::SecondDerivative,0.0,
true));
}
void PiecewiseYieldCurveTest::testLinearForwardConsistency() {
BOOST_MESSAGE(
"Testing consistency of piecewise-linear forward-rate curve...");
SavedSettings backup;
IndexHistoryCleaner cleaner;
setup();
testCurveConsistency(ForwardRate(), Linear());
testBMACurveConsistency(ForwardRate(), Linear());
}
void PiecewiseYieldCurveTest::testFlatForwardConsistency() {
BOOST_MESSAGE(
"Testing consistency of piecewise-flat forward-rate curve...");
SavedSettings backup;
IndexHistoryCleaner cleaner;
setup();
testCurveConsistency(ForwardRate(), BackwardFlat());
testBMACurveConsistency(ForwardRate(), BackwardFlat());
}
void PiecewiseYieldCurveTest::testSplineForwardConsistency() {
BOOST_MESSAGE(
"Testing consistency of piecewise-spline forward-rate curve...");
SavedSettings backup;
IndexHistoryCleaner cleaner;
setup();
testCurveConsistency(
ForwardRate(),
CubicSpline(CubicSplineInterpolation::SecondDerivative,0.0,
CubicSplineInterpolation::SecondDerivative,0.0,
true));
testBMACurveConsistency(
ForwardRate(),
CubicSpline(CubicSplineInterpolation::SecondDerivative,0.0,
CubicSplineInterpolation::SecondDerivative,0.0,
true));
}
void PiecewiseYieldCurveTest::testObservability() {
BOOST_MESSAGE("Testing observability of piecewise yield curve...");
SavedSettings backup;
IndexHistoryCleaner cleaner;
setup();
termStructure = boost::shared_ptr<YieldTermStructure>(
new PiecewiseYieldCurve<Discount,LogLinear>(settlementDays, calendar,
instruments, Actual360()));
Flag f;
f.registerWith(termStructure);
for (Size i=0; i<deposits+swaps; i++) {
Time testTime = Actual360().yearFraction(settlement,
instruments[i]->latestDate());
DiscountFactor discount = termStructure->discount(testTime);
f.lower();
rates[i]->setValue(rates[i]->value()*1.01);
if (!f.isUp())
BOOST_FAIL("Observer was not notified of underlying rate change");
if (termStructure->discount(testTime,true) == discount)
BOOST_FAIL("rate change did not trigger recalculation");
rates[i]->setValue(rates[i]->value()/1.01);
}
f.lower();
Settings::instance().evaluationDate() = calendar.advance(today,15,Days);
if (!f.isUp())
BOOST_FAIL("Observer was not notified of date change");
}
void PiecewiseYieldCurveTest::testLiborFixing() {
BOOST_MESSAGE(
"Testing use of today's LIBOR fixings in swap curve...");
SavedSettings backup;
IndexHistoryCleaner cleaner;
setup();
std::vector<boost::shared_ptr<RateHelper> > swapHelpers(swaps);
boost::shared_ptr<IborIndex> euribor6m(new Euribor6M);
for (Size i=0; i<swaps; i++) {
Handle<Quote> r(rates[i+deposits]);
swapHelpers[i] = boost::shared_ptr<RateHelper>(new
SwapRateHelper(r, Period(swapData[i].n, swapData[i].units),
calendar,
fixedLegFrequency, fixedLegConvention,
fixedLegDayCounter, euribor6m));
}
termStructure = boost::shared_ptr<YieldTermStructure>(
new PiecewiseYieldCurve<Discount,LogLinear>(settlement,swapHelpers,
Actual360(), 1.0e-12));
Handle<YieldTermStructure> curveHandle =
Handle<YieldTermStructure>(termStructure);
boost::shared_ptr<IborIndex> index(new Euribor6M(curveHandle));
for (Size i=0; i<swaps; i++) {
Period tenor = swapData[i].n*swapData[i].units;
VanillaSwap swap = MakeVanillaSwap(tenor, index, 0.0)
.withEffectiveDate(settlement)
.withFixedLegDayCount(fixedLegDayCounter)
.withFixedLegTenor(Period(fixedLegFrequency))
.withFixedLegConvention(fixedLegConvention)
.withFixedLegTerminationDateConvention(fixedLegConvention);
Rate expectedRate = swapData[i].rate/100,
estimatedRate = swap.fairRate();
Real tolerance = 1.0e-9;
if (std::fabs(expectedRate-estimatedRate) > tolerance) {
BOOST_ERROR("before LIBOR fixing:\n"
<< swapData[i].n << " year(s) swap:\n"
<< std::setprecision(8)
<< " estimated rate: "
<< io::rate(estimatedRate) << "\n"
<< " expected rate: "
<< io::rate(expectedRate));
}
}
Flag f;
f.registerWith(termStructure);
f.lower();
index->addFixing(today, 0.0425);
if (!f.isUp())
BOOST_ERROR("Observer was not notified of rate fixing");
for (Size i=0; i<swaps; i++) {
Period tenor = swapData[i].n*swapData[i].units;
VanillaSwap swap = MakeVanillaSwap(tenor, index, 0.0)
.withEffectiveDate(settlement)
.withFixedLegDayCount(fixedLegDayCounter)
.withFixedLegTenor(Period(fixedLegFrequency))
.withFixedLegConvention(fixedLegConvention)
.withFixedLegTerminationDateConvention(fixedLegConvention);
Rate expectedRate = swapData[i].rate/100,
estimatedRate = swap.fairRate();
Real tolerance = 1.0e-9;
if (std::fabs(expectedRate-estimatedRate) > tolerance) {
BOOST_ERROR("after LIBOR fixing:\n"
<< swapData[i].n << " year(s) swap:\n"
<< std::setprecision(8)
<< " estimated rate: "
<< io::rate(estimatedRate) << "\n"
<< " expected rate: "
<< io::rate(expectedRate));
}
}
}
test_suite* PiecewiseYieldCurveTest::suite() {
test_suite* suite = BOOST_TEST_SUITE("Piecewise yield curve tests");
suite->add(BOOST_TEST_CASE(
&PiecewiseYieldCurveTest::testLogLinearDiscountConsistency));
suite->add(BOOST_TEST_CASE(
&PiecewiseYieldCurveTest::testLinearDiscountConsistency));
#if !defined(QL_USE_INDEXED_COUPON)
suite->add(BOOST_TEST_CASE(
&PiecewiseYieldCurveTest::testLogLinearZeroConsistency));
#endif
suite->add(BOOST_TEST_CASE(
&PiecewiseYieldCurveTest::testLinearZeroConsistency));
suite->add(BOOST_TEST_CASE(
&PiecewiseYieldCurveTest::testSplineZeroConsistency));
suite->add(BOOST_TEST_CASE(
&PiecewiseYieldCurveTest::testLinearForwardConsistency));
suite->add(BOOST_TEST_CASE(
&PiecewiseYieldCurveTest::testFlatForwardConsistency));
//suite->add(BOOST_TEST_CASE(
// &PiecewiseYieldCurveTest::testSplineForwardConsistency));
suite->add(BOOST_TEST_CASE(&PiecewiseYieldCurveTest::testObservability));
suite->add(BOOST_TEST_CASE(&PiecewiseYieldCurveTest::testLiborFixing));
return suite;
}
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