/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

/*
 Copyright (C) 2004, 2005 StatPro Italia srl
 Copyright (C) 2007, 2012 Ferdinando Ametrano
 Copyright (C) 2007, 2009 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 "toplevelfixture.hpp"
#include "utilities.hpp"
#include <ql/cashflows/iborcoupon.hpp>
#include <ql/instruments/bonds/fixedratebond.hpp>
#include <ql/instruments/bonds/floatingratebond.hpp>
#include <ql/instruments/bonds/zerocouponbond.hpp>
#include <ql/time/calendars/target.hpp>
#include <ql/time/calendars/unitedstates.hpp>
#include <ql/time/calendars/unitedkingdom.hpp>
#include <ql/time/calendars/australia.hpp>
#include <ql/time/calendars/brazil.hpp>
#include <ql/time/calendars/southafrica.hpp>
#include <ql/time/calendars/nullcalendar.hpp>
#include <ql/time/daycounters/thirty360.hpp>
#include <ql/time/daycounters/actual360.hpp>
#include <ql/time/daycounters/actualactual.hpp>
#include <ql/time/daycounters/business252.hpp>
#include <ql/indexes/ibor/usdlibor.hpp>
#include <ql/quotes/simplequote.hpp>
#include <ql/utilities/dataformatters.hpp>
#include <ql/time/schedule.hpp>
#include <ql/cashflows/fixedratecoupon.hpp>
#include <ql/cashflows/simplecashflow.hpp>
#include <ql/cashflows/couponpricer.hpp>
#include <ql/cashflows/cashflows.hpp>
#include <ql/pricingengines/bond/discountingbondengine.hpp>
#include <ql/pricingengines/bond/bondfunctions.hpp>
#include <ql/termstructures/credit/flathazardrate.hpp>
#include <ql/termstructures/yield/flatforward.hpp>
#include <ql/currencies/europe.hpp>
#include <ql/pricingengines/bond/riskybondengine.hpp>

using namespace QuantLib;
using namespace boost::unit_test_framework;

BOOST_FIXTURE_TEST_SUITE(QuantLibTests, TopLevelFixture)

BOOST_AUTO_TEST_SUITE(BondsTests)

#define ASSERT_CLOSE(name, settlement, calculated, expected, tolerance)  \
    if (std::fabs(calculated-expected) > tolerance) { \
    BOOST_ERROR("Failed to reproduce " << name << " at " << settlement \
                << "\n    calculated: " << std::setprecision(9) << calculated \
                << "\n    expected:   " << std::setprecision(9) << expected); \
    }

struct CommonVars {
    // common data
    Calendar calendar;
    Date today;
    Real faceAmount;

    // setup
    CommonVars() {
        calendar = TARGET();
        today = calendar.adjust(Date::todaysDate());
        Settings::instance().evaluationDate() = today;
        faceAmount = 1000000.0;
    }
};

void checkValue(Real value, Real expectedValue, Real tolerance, const std::string& msg) {
    if (std::fabs(value - expectedValue) > tolerance) {
        BOOST_ERROR(msg
                    << std::fixed
                    << "\n    calculated: " << value
                    << "\n    expected:   " << expectedValue
                    << "\n    tolerance:  " << tolerance
                    << "\n    error:      " << value - expectedValue);
    }
}


BOOST_AUTO_TEST_CASE(testYield) {

    BOOST_TEST_MESSAGE("Testing consistency of bond price/yield calculation...");

    CommonVars vars;

    Real tolerance = 1.0e-7;
    Size maxEvaluations = 100;

    Integer issueMonths[] = { -24, -18, -12, -6, 0, 6, 12, 18, 24 };
    Integer lengths[] = { 3, 5, 10, 15, 20 };
    Natural settlementDays = 3;
    Real coupons[] = { 0.02, 0.05, 0.08 };
    Frequency frequencies[] = { Semiannual, Annual };
    DayCounter bondDayCount = Thirty360(Thirty360::BondBasis);
    BusinessDayConvention accrualConvention = Unadjusted;
    BusinessDayConvention paymentConvention = ModifiedFollowing;
    Real redemption = 100.0;

    Rate yields[] = { 0.03, 0.04, 0.05, 0.06, 0.07 };
    Compounding compounding[] = { Compounded, Continuous };

    for (int issueMonth : issueMonths) {
        for (int length : lengths) {
            for (Real& coupon : coupons) {
                for (auto& frequency : frequencies) {
                    for (auto& n : compounding) {

                        Date dated = vars.calendar.advance(vars.today, issueMonth, Months);
                        Date issue = dated;
                        Date maturity = vars.calendar.advance(issue, length, Years);

                        Schedule sch(dated, maturity, Period(frequency), vars.calendar,
                                     accrualConvention, accrualConvention, DateGeneration::Backward,
                                     false);

                        FixedRateBond bond(settlementDays, vars.faceAmount, sch,
                                           std::vector<Rate>(1, coupon), bondDayCount,
                                           paymentConvention, redemption, issue);

                        for (Real m : yields) {

                            Bond::Price price = {
                                BondFunctions::cleanPrice(bond, m, bondDayCount, n, frequency),
                                Bond::Price::Clean
                            };

                            Rate calculated = BondFunctions::yield(
                                bond, price, bondDayCount, n, frequency, Date(), tolerance,
                                maxEvaluations, 0.05);

                            if (std::fabs(m - calculated) > tolerance) {
                                // the difference might not matter
                                Real price2 = BondFunctions::cleanPrice(
                                    bond, calculated, bondDayCount, n, frequency);
                                if (std::fabs(price.amount() - price2) / price.amount() >
                                    tolerance) {
                                    BOOST_ERROR("\nyield recalculation failed:"
                                                "\n    issue:        " << issue <<
                                                "\n    maturity:     " << maturity <<
                                                "\n    coupon:       " << io::rate(coupon) <<
                                                "\n    frequency:    " << frequency <<
                                                "\n    yield:        " << io::rate(m) <<
                                                    (n == Compounded ? " compounded" : " continuous") <<
                                                std::setprecision(7) <<
                                                "\n    clean price:  " << price.amount() <<
                                                "\n    yield':       " << io::rate(calculated) <<
                                                "\n    clean price': " << price2);
                                }
                            }

                            price = {
                                BondFunctions::dirtyPrice(bond, m, bondDayCount, n, frequency),
                                Bond::Price::Dirty
                            };

                            calculated = BondFunctions::yield(
                                bond, price, bondDayCount, n, frequency, Date(), tolerance,
                                maxEvaluations, 0.05);

                            if (std::fabs(m - calculated) > tolerance) {
                                // the difference might not matter
                                Real price2 = BondFunctions::dirtyPrice(
                                    bond, calculated, bondDayCount, n, frequency);
                                if (std::fabs(price.amount() - price2) / price.amount() > tolerance) {
                                    BOOST_ERROR("\nyield recalculation failed:"
                                                "\n    issue:        " << issue <<
                                                "\n    maturity:     " << maturity <<
                                                "\n    coupon:       " << io::rate(coupon) <<
                                                "\n    frequency:    " << frequency <<
                                                "\n    yield:        " << io::rate(m) <<
                                                    (n == Compounded ? " compounded" : " continuous") <<
                                                std::setprecision(7) <<
                                                "\n    dirty price:  " << price.amount() <<
                                                "\n    yield':       " << io::rate(calculated) <<
                                                "\n    dirty price': " << price2);
                                }
                            }
                        }
                    }
                }
            }
        }
    }
}

BOOST_AUTO_TEST_CASE(testAtmRate) {

    BOOST_TEST_MESSAGE("Testing consistency of bond price/ATM rate calculation...");

    CommonVars vars;

    Real tolerance = 1.0e-7;

    Integer issueMonths[] = { -24, -18, -12, -6, 0, 6, 12, 18, 24 };
    Integer lengths[] = { 3, 5, 10, 15, 20 };
    Natural settlementDays = 3;
    Real coupons[] = { 0.02, 0.05, 0.08 };
    Frequency frequencies[] = { Semiannual, Annual };
    DayCounter bondDayCount = Thirty360(Thirty360::BondBasis);
    BusinessDayConvention accrualConvention = Unadjusted;
    BusinessDayConvention paymentConvention = ModifiedFollowing;
    Real redemption = 100.0;
    Handle<YieldTermStructure> disc(flatRate(vars.today,0.03,Actual360()));
    ext::shared_ptr<PricingEngine> bondEngine(new DiscountingBondEngine(disc));

    for (int issueMonth : issueMonths) {
        for (int length : lengths) {
            for (Real& coupon : coupons) {
                for (auto& frequency : frequencies) {
                    Date dated = vars.calendar.advance(vars.today, issueMonth, Months);
                    Date issue = dated;
                    Date maturity = vars.calendar.advance(issue, length, Years);

                    Schedule sch(dated, maturity, Period(frequency), vars.calendar,
                                 accrualConvention, accrualConvention, DateGeneration::Backward,
                                 false);

                    FixedRateBond bond(settlementDays, vars.faceAmount, sch,
                                       std::vector<Rate>(1, coupon), bondDayCount,
                                       paymentConvention, redemption, issue);

                    bond.setPricingEngine(bondEngine);
                    Bond::Price price = {bond.cleanPrice(), Bond::Price::Clean};
                    Rate calculated =
                        BondFunctions::atmRate(bond, **disc, bond.settlementDate(), price);

                    if (std::fabs(coupon - calculated) > tolerance) {
                        BOOST_ERROR("\natm rate recalculation failed:"
                                    "\n today:           " << vars.today <<
                                    "\n settlement date: " << bond.settlementDate() <<
                                    "\n issue:           " << issue <<
                                    "\n maturity:        " << maturity <<
                                    "\n coupon:          " << io::rate(coupon) <<
                                    "\n frequency:       " << frequency <<
                                    "\n clean price:     " << price.amount() <<
                                    "\n atm rate:        " << io::rate(calculated));
                    }

                    price = {bond.dirtyPrice(), Bond::Price::Dirty};
                    calculated =
                        BondFunctions::atmRate(bond, **disc, bond.settlementDate(), price);

                    if (std::fabs(coupon - calculated) > tolerance) {
                        BOOST_ERROR("\natm rate recalculation failed:"
                                    "\n today:           " << vars.today <<
                                    "\n settlement date: " << bond.settlementDate() <<
                                    "\n issue:           " << issue <<
                                    "\n maturity:        " << maturity <<
                                    "\n coupon:          " << io::rate(coupon) <<
                                    "\n frequency:       " << frequency <<
                                    "\n dirty price:     " << price.amount() <<
                                    "\n atm rate:        " << io::rate(calculated));
                    }
                }
            }
        }
    }
}

BOOST_AUTO_TEST_CASE(testZspread) {

    BOOST_TEST_MESSAGE("Testing consistency of bond price/z-spread calculation...");

    CommonVars vars;

    Real tolerance = 1.0e-7;
    Size maxEvaluations = 100;

    Handle<YieldTermStructure> discountCurve(
                                       flatRate(vars.today,0.03,Actual360()));

    Integer issueMonths[] = { -24, -18, -12, -6, 0, 6, 12, 18, 24 };
    Integer lengths[] = { 3, 5, 10, 15, 20 };
    Natural settlementDays = 3;
    Real coupons[] = { 0.02, 0.05, 0.08 };
    Frequency frequencies[] = { Semiannual, Annual };
    DayCounter bondDayCount = Thirty360(Thirty360::BondBasis);
    BusinessDayConvention accrualConvention = Unadjusted;
    BusinessDayConvention paymentConvention = ModifiedFollowing;
    Real redemption = 100.0;

    Spread spreads[] = { -0.01, -0.005, 0.0, 0.005, 0.01 };
    Compounding compounding[] = { Compounded, Continuous };

    for (int issueMonth : issueMonths) {
        for (int length : lengths) {
            for (Real& coupon : coupons) {
                for (auto& frequency : frequencies) {
                    for (auto& n : compounding) {

                        Date dated = vars.calendar.advance(vars.today, issueMonth, Months);
                        Date issue = dated;
                        Date maturity = vars.calendar.advance(issue, length, Years);

                        Schedule sch(dated, maturity, Period(frequency), vars.calendar,
                                     accrualConvention, accrualConvention, DateGeneration::Backward,
                                     false);

                        FixedRateBond bond(settlementDays, vars.faceAmount, sch,
                                           std::vector<Rate>(1, coupon), bondDayCount,
                                           paymentConvention, redemption, issue);

                        for (Real spread : spreads) {

                            // Clean price
                            Bond::Price price = {
                                BondFunctions::cleanPrice(bond, *discountCurve,
                                                          spread, bondDayCount, n,
                                                          frequency),
                                Bond::Price::Clean
                            };
                            Spread calculated = BondFunctions::zSpread(
                                bond, price, *discountCurve, bondDayCount, n, frequency, Date(),
                                tolerance, maxEvaluations);

                            if (std::fabs(spread - calculated) > tolerance) {
                                // the difference might not matter
                                Real price2 = BondFunctions::cleanPrice(
                                    bond, *discountCurve, calculated, bondDayCount, n, frequency);
                                if (std::fabs(price.amount() - price2) / price.amount() > tolerance) {
                                    BOOST_ERROR("\nZ-spread recalculation failed:"
                                                "\n    issue:     " << issue <<
                                                "\n    maturity:  " << maturity <<
                                                "\n    coupon:    " << io::rate(coupon) <<
                                                "\n    frequency: " << frequency <<
                                                "\n    Z-spread:  " << io::rate(spread) <<
                                                    (n == Compounded ? " compounded" : " continuous") <<
                                                std::setprecision(7) <<
                                                "\n    clean price:  " << price.amount() <<
                                                "\n    Z-spread': " << io::rate(calculated) <<
                                                "\n    clean price': " << price2);
                                }
                            }

                            // Dirty price
                            price = {
                                BondFunctions::dirtyPrice(bond, *discountCurve, spread,
                                                          bondDayCount, n, frequency),
                                Bond::Price::Dirty
                            };

                            calculated = BondFunctions::zSpread(
                                bond, price, *discountCurve, bondDayCount, n, frequency, Date(),
                                tolerance, maxEvaluations);

                            if (std::fabs(spread - calculated) > tolerance) {
                                // the difference might not matter
                                Real price2 = BondFunctions::dirtyPrice(
                                    bond, *discountCurve, calculated, bondDayCount, n, frequency);
                                if (std::fabs(price.amount() - price2) / price.amount() > tolerance) {
                                    BOOST_ERROR("\nZ-spread recalculation failed:"
                                                "\n    issue:        " << issue <<
                                                "\n    maturity:     " << maturity <<
                                                "\n    coupon:       " << io::rate(coupon) <<
                                                "\n    frequency:    " << frequency <<
                                                "\n    Z-spread:     " << io::rate(spread) <<
                                                (compounding[n] == Compounded ?
                                                    " compounded" : " continuous") <<
                                                std::setprecision(7) <<
                                                "\n    dirty price:  " << price.amount() <<
                                                "\n    Z-spread':    " << io::rate(calculated) <<
                                                "\n    dirty price': " << price2);
                                }
                            }
                        }
                    }
                }
            }
        }
    }
}

BOOST_AUTO_TEST_CASE(testTheoretical) {

    BOOST_TEST_MESSAGE("Testing theoretical bond price/yield calculation...");

    CommonVars vars;

    Real tolerance = 1.0e-7;
    Size maxEvaluations = 100;

    Size lengths[] = { 3, 5, 10, 15, 20 };
    Natural settlementDays = 3;
    Real coupons[] = { 0.02, 0.05, 0.08 };
    Frequency frequencies[] = { Semiannual, Annual };
    DayCounter bondDayCount = Actual360();
    BusinessDayConvention accrualConvention = Unadjusted;
    BusinessDayConvention paymentConvention = ModifiedFollowing;
    Real redemption = 100.0;

    Rate yields[] = { 0.03, 0.04, 0.05, 0.06, 0.07 };

    for (unsigned long length : lengths) {
        for (Real& coupon : coupons) {
            for (auto& frequency : frequencies) {

                Date dated = vars.today;
                Date issue = dated;
                Date maturity = vars.calendar.advance(issue, length, Years);

                ext::shared_ptr<SimpleQuote> rate(new SimpleQuote(0.0));
                Handle<YieldTermStructure> discountCurve(flatRate(vars.today, rate, bondDayCount));

                Schedule sch(dated, maturity, Period(frequency), vars.calendar, accrualConvention,
                             accrualConvention, DateGeneration::Backward, false);

                FixedRateBond bond(settlementDays, vars.faceAmount, sch,
                                   std::vector<Rate>(1, coupon), bondDayCount, paymentConvention,
                                   redemption, issue);

                ext::shared_ptr<PricingEngine> bondEngine(new DiscountingBondEngine(discountCurve));
                bond.setPricingEngine(bondEngine);

                for (Real m : yields) {

                    rate->setValue(m);

                    // Test yield vs clean price
                    Real price =
                        BondFunctions::cleanPrice(bond, m, bondDayCount, Continuous, frequency);
                    Real calculatedPrice = bond.cleanPrice();

                    if (std::fabs(price - calculatedPrice) > tolerance) {
                        BOOST_ERROR("price calculation failed:" <<
                                    "\n    issue:       " << issue <<
                                    "\n    maturity:    " << maturity <<
                                    "\n    coupon:      " << io::rate(coupon) <<
                                    "\n    frequency:   " << frequency <<
                                    "\n    yield:       " << io::rate(m) <<
                                    std::setprecision(7) <<
                                    "\n    expected:    " << price <<
                                    "\n    calculated': " << calculatedPrice <<
                                    "\n    error':      " << price - calculatedPrice);
                    }

                    Rate calculatedYield = BondFunctions::yield(
                        bond, {calculatedPrice, Bond::Price::Clean}, bondDayCount,
                        Continuous, frequency, bond.settlementDate(), tolerance, maxEvaluations);
                    if (std::fabs(m - calculatedYield) > tolerance) {
                        BOOST_ERROR("yield calculation failed:" <<
                                    "\n    issue:     " << issue <<
                                    "\n    maturity:  " << maturity <<
                                    "\n    coupon:    " << io::rate(coupon) <<
                                    "\n    frequency: " << frequency <<
                                    "\n    yield:     " << io::rate(m) <<
                                    std::setprecision(7) <<
                                    "\n    clean price: " << price <<
                                    "\n    yield':    " << io::rate(calculatedYield));
                    }

                    // Test yield vs dirty price
                    price =
                        BondFunctions::dirtyPrice(bond, m, bondDayCount, Continuous, frequency);
                    calculatedPrice = bond.dirtyPrice();

                    if (std::fabs(price - calculatedPrice) > tolerance) {
                        BOOST_ERROR("price calculation failed:" <<
                                    "\n    issue:       " << issue <<
                                    "\n    maturity:    " << maturity <<
                                    "\n    coupon:      " << io::rate(coupon) <<
                                    "\n    frequency:   " << frequency <<
                                    "\n    yield:       " << io::rate(m) <<
                                    std::setprecision(7) <<
                                    "\n    expected:    " << price <<
                                    "\n    calculated': " << calculatedPrice <<
                                    "\n    error':      " << price - calculatedPrice);
                    }

                    calculatedYield = BondFunctions::yield(
                        bond, {calculatedPrice, Bond::Price::Dirty}, bondDayCount,
                        Continuous, frequency, bond.settlementDate(), tolerance, maxEvaluations, 0.05);
                    if (std::fabs(m - calculatedYield) > tolerance) {
                        BOOST_ERROR("yield calculation failed:" <<
                                    "\n    issue:       " << issue <<
                                    "\n    maturity:    " << maturity <<
                                    "\n    coupon:      " << io::rate(coupon) <<
                                    "\n    frequency:   " << frequency <<
                                    "\n    yield:       " << io::rate(m) <<
                                    std::setprecision(7) <<
                                    "\n    dirty price: " << price <<
                                    "\n    yield':      " << io::rate(calculatedYield));
                    }
                }
            }
        }
    }
}

BOOST_AUTO_TEST_CASE(testCached) {

    BOOST_TEST_MESSAGE(
        "Testing bond price/yield calculation against cached values...");

    CommonVars vars;

    // with implicit settlement calculation:

    Date today(22, November, 2004);
    Settings::instance().evaluationDate() = today;

    Calendar bondCalendar = NullCalendar();
    
    Natural settlementDays = 1;

    Handle<YieldTermStructure> discountCurve(flatRate(today,0.03,Actual360()));

    // actual market values from the evaluation date

    Frequency freq = Semiannual;
    // This means that this bond has a short first coupon, as the
    // first coupon payment is april 30th and therefore the notional
    // first coupon is on October 30th 2004. Changing the EOM
    // convention to true will correct this so that the coupon starts
    // on October 31st and the first coupon is complete. This is
    // effectively assumed by the no-schedule daycounter.
    Schedule sch1(Date(31, October, 2004),
                  Date(31, October, 2006), Period(freq), bondCalendar,
                  Unadjusted, Unadjusted, DateGeneration::Backward, true);
    DayCounter bondDayCount1 = ActualActual(ActualActual::ISMA, sch1);
    DayCounter bondDayCount1NoSchedule = ActualActual(ActualActual::ISMA);

    FixedRateBond bond1(settlementDays, vars.faceAmount, sch1,
                        std::vector<Rate>(1, 0.025),
                        bondDayCount1, ModifiedFollowing,
                        100.0, Date(1, November, 2004));
    FixedRateBond bond1NoSchedule(
        settlementDays, vars.faceAmount, sch1,
        std::vector<Rate>(1, 0.025),
        bondDayCount1NoSchedule, ModifiedFollowing,
        100.0, Date(1, November, 2004)
    );

    ext::shared_ptr<PricingEngine> bondEngine(
                                    new DiscountingBondEngine(discountCurve));
    bond1.setPricingEngine(bondEngine);
    bond1NoSchedule.setPricingEngine(bondEngine);

    Real marketPrice1 = 99.203125;
    Rate marketYield1 = 0.02925;

    Schedule sch2(Date(15, November, 2004),
                  Date(15, November, 2009), Period(freq), bondCalendar,
                  Unadjusted, Unadjusted, DateGeneration::Backward, false);
    DayCounter bondDayCount2 = ActualActual(ActualActual::ISMA, sch2);
    DayCounter bondDayCount2NoSchedule = ActualActual(ActualActual::ISMA);

    FixedRateBond bond2(settlementDays, vars.faceAmount, sch2,
                        std::vector<Rate>(1, 0.035),
                        bondDayCount2, ModifiedFollowing,
                        100.0, Date(15, November, 2004));
    FixedRateBond bond2NoSchedule(settlementDays, vars.faceAmount, sch2,
        std::vector<Rate>(1, 0.035),
        bondDayCount2NoSchedule, ModifiedFollowing,
        100.0, Date(15, November, 2004)
    );

    bond2.setPricingEngine(bondEngine);
    bond2NoSchedule.setPricingEngine(bondEngine);

    Real marketPrice2 = 99.6875;
    Rate marketYield2 = 0.03569;

    // calculated values

    Real cachedPrice1a = 99.204505, cachedPrice2a = 99.687192;
    Real cachedPrice1b = 98.943393, cachedPrice2b = 101.986794;
    Rate cachedYield1a = 0.029257,  cachedYield2a = 0.035689;
    Rate cachedYield1b = 0.029045,  cachedYield2b = 0.035375;
    Rate cachedYield1c = 0.030423,  cachedYield2c = 0.030432;

    // check
    Real tolerance = 1.0e-6;

    checkValue(
        BondFunctions::cleanPrice(bond1, marketYield1, bondDayCount1, Compounded, freq),
        cachedPrice1a,
        tolerance,
        "failed to reproduce cached price with schedule for bond 1:"
    );
    checkValue(
        BondFunctions::cleanPrice(bond1NoSchedule, marketYield1, bondDayCount1NoSchedule, Compounded, freq),
        cachedPrice1a,
        tolerance,
        "failed to reproduce cached price with no schedule for bond 1:"
    );
    checkValue(
        bond1.cleanPrice(),
        cachedPrice1b,
        tolerance,
        "failed to reproduce cached clean price with schedule for bond 1:"
    );
    checkValue(
        bond1NoSchedule.cleanPrice(),
        cachedPrice1b,
        tolerance,
        "failed to reproduce cached clean price with no schdule for bond 1:"
    );
    checkValue(BondFunctions::yield(bond1, {marketPrice1, Bond::Price::Clean},
                                    bondDayCount1, Compounded, freq),
               cachedYield1a, tolerance,
               "failed to reproduce cached compounded yield with schedule for bond 1:");
    checkValue(BondFunctions::yield(bond1NoSchedule, {marketPrice1, Bond::Price::Clean},
                                    bondDayCount1NoSchedule, Compounded, freq),
               cachedYield1a, tolerance,
               "failed to reproduce cached compounded yield with no schedule for bond 1:");
    checkValue(BondFunctions::yield(bond1, {marketPrice1, Bond::Price::Clean},
                                    bondDayCount1, Continuous, freq),
               cachedYield1b, tolerance,
               "failed to reproduce cached continuous yield with schedule for bond 1:");
    checkValue(BondFunctions::yield(bond1NoSchedule, {marketPrice1, Bond::Price::Clean},
                                    bondDayCount1NoSchedule, Continuous, freq),
               cachedYield1b, tolerance,
               "failed to reproduce cached continuous yield with no schedule for bond 1:");
    checkValue(BondFunctions::yield(bond1, {bond1.cleanPrice(), Bond::Price::Clean},
                                    bondDayCount1, Continuous, freq, bond1.settlementDate()),
               cachedYield1c, tolerance,
               "failed to reproduce cached continuous yield with schedule for bond 1:");
    checkValue(BondFunctions::yield(
                   bond1NoSchedule, {bond1NoSchedule.cleanPrice(), Bond::Price::Clean},
                   bondDayCount1NoSchedule, Continuous, freq, bond1.settlementDate()),
               cachedYield1c, tolerance,
               "failed to reproduce cached continuous yield with no schedule for bond 1:");
    

    //Now bond 2
    checkValue(
        BondFunctions::cleanPrice(bond2, marketYield2, bondDayCount2, Compounded, freq),
        cachedPrice2a,
        tolerance,
        "failed to reproduce cached price with schedule for bond 2"
    );
    checkValue(
        BondFunctions::cleanPrice(bond2NoSchedule, marketYield2, bondDayCount2NoSchedule, Compounded, freq),
        cachedPrice2a,
        tolerance,
        "failed to reproduce cached price with no schedule for bond 2:"
    );
    checkValue(
        bond2.cleanPrice(),
        cachedPrice2b,
        tolerance,
        "failed to reproduce cached clean price with schedule for bond 2:"
    );
    checkValue(
        bond2NoSchedule.cleanPrice(),
        cachedPrice2b,
        tolerance,
        "failed to reproduce cached clean price with no schedule for bond 2:"
    );
    checkValue(BondFunctions::yield(bond2, {marketPrice2, Bond::Price::Clean},
                                    bondDayCount2, Compounded, freq),
               cachedYield2a, tolerance,
               "failed to reproduce cached compounded yield with schedule for bond 2:");
    checkValue(BondFunctions::yield(bond2NoSchedule, {marketPrice2, Bond::Price::Clean},
                                    bondDayCount2NoSchedule, Compounded, freq),
               cachedYield2a, tolerance,
               "failed to reproduce cached compounded yield with no schedule for bond 2:");
    checkValue(BondFunctions::yield(bond2, {marketPrice2, Bond::Price::Clean},
                                    bondDayCount2, Continuous, freq),
               cachedYield2b, tolerance,
               "failed to reproduce chached continuous yield with schedule for bond 2:");
    checkValue(BondFunctions::yield(bond2NoSchedule, {marketPrice2, Bond::Price::Clean},
                                    bondDayCount2NoSchedule, Continuous, freq),
               cachedYield2b, tolerance,
               "failed to reproduce cached continuous yield with schedule for bond 2:");
    checkValue(BondFunctions::yield(bond2, {bond2.cleanPrice(), Bond::Price::Clean},
                                    bondDayCount2, Continuous, freq, bond2.settlementDate()),
               cachedYield2c, tolerance,
               "failed to reproduce cached continuous yield for bond 2 with schedule:");
    checkValue(BondFunctions::yield(
                   bond2NoSchedule, {bond2NoSchedule.cleanPrice(), Bond::Price::Clean},
                   bondDayCount2NoSchedule, Continuous, freq, bond2NoSchedule.settlementDate()),
               cachedYield2c, tolerance,
               "failed to reproduce cached continuous yield for bond 2 with no schedule:");

    

    // with explicit settlement date:

    Schedule sch3(Date(30,November,2004),
                  Date(30,November,2006), Period(freq),
                  UnitedStates(UnitedStates::GovernmentBond),
                  Unadjusted, Unadjusted, DateGeneration::Backward, false);
    DayCounter bondDayCount3 = ActualActual(ActualActual::ISMA, sch3);
    DayCounter bondDayCount3NoSchedule = ActualActual(ActualActual::ISMA);

    FixedRateBond bond3(settlementDays, vars.faceAmount, sch3,
                        std::vector<Rate>(1, 0.02875),
                        bondDayCount3,
                        ModifiedFollowing,
                        100.0, Date(30,November,2004));
    FixedRateBond bond3NoSchedule(settlementDays, vars.faceAmount, sch3,
        std::vector<Rate>(1, 0.02875),
        bondDayCount3NoSchedule,
        ModifiedFollowing,
        100.0, Date(30, November, 2004));

    bond3.setPricingEngine(bondEngine);
    bond3NoSchedule.setPricingEngine(bondEngine);

    Rate marketYield3 = 0.02997;

    Date settlementDate = Date(30,November,2004);
    Real cachedPrice3 = 99.764759;

    checkValue(
        BondFunctions::cleanPrice(bond3, marketYield3, bondDayCount3, Compounded, freq, settlementDate),
        cachedPrice3,
        tolerance,
        "Failed to reproduce cached price for bond 3 with schedule"
    );
    checkValue(
        BondFunctions::cleanPrice(bond3NoSchedule, marketYield3, bondDayCount3NoSchedule, Compounded, freq, settlementDate),
        cachedPrice3,
        tolerance,
        "Failed to reproduce cached price for bond 3 with no schedule"
    );
    
    // this should give the same result since the issue date is the
    // earliest possible settlement date

    Settings::instance().evaluationDate() = Date(22,November,2004);
    checkValue(
        BondFunctions::cleanPrice(bond3, marketYield3, bondDayCount3, Compounded, freq),
        cachedPrice3,
        tolerance,
        "Failed to reproduce the cached price for bond 3 with schedule and the earlierst possible settlment date"
    );
    checkValue(
        BondFunctions::cleanPrice(bond3NoSchedule, marketYield3, bondDayCount3NoSchedule, Compounded, freq),
        cachedPrice3,
        tolerance,
        "Failed to reproduce the cached price for bond 3 with no schedule and the earlierst possible settlment date"
    );
}

BOOST_AUTO_TEST_CASE(testCachedZero) {

    BOOST_TEST_MESSAGE("Testing zero-coupon bond prices against cached values...");

    CommonVars vars;

    Date today(22,November,2004);
    Settings::instance().evaluationDate() = today;

    Natural settlementDays = 1;

    Handle<YieldTermStructure> discountCurve(flatRate(today,0.03,Actual360()));

    Real tolerance = 1.0e-6;

    // plain

    ZeroCouponBond bond1(settlementDays,
                         UnitedStates(UnitedStates::GovernmentBond),
                         vars.faceAmount,
                         Date(30,November,2008),
                         ModifiedFollowing,
                         100.0, Date(30,November,2004));

    ext::shared_ptr<PricingEngine> bondEngine(
                                    new DiscountingBondEngine(discountCurve));
    bond1.setPricingEngine(bondEngine);

    Real cachedPrice1 = 88.551726;

    Real price = bond1.cleanPrice();
    if (std::fabs(price-cachedPrice1) > tolerance) {
        BOOST_FAIL("failed to reproduce cached price:\n"
                   << std::fixed
                   << "    calculated: " << price << "\n"
                   << "    expected:   " << cachedPrice1 << "\n"
                   << "    error:      " << price-cachedPrice1);
    }

    ZeroCouponBond bond2(settlementDays,
                         UnitedStates(UnitedStates::GovernmentBond),
                         vars.faceAmount,
                         Date(30,November,2007),
                         ModifiedFollowing,
                         100.0, Date(30,November,2004));

    bond2.setPricingEngine(bondEngine);

    Real cachedPrice2 = 91.278949;

    price = bond2.cleanPrice();
    if (std::fabs(price-cachedPrice2) > tolerance) {
        BOOST_FAIL("failed to reproduce cached price:\n"
                   << std::fixed
                   << "    calculated: " << price << "\n"
                   << "    expected:   " << cachedPrice2 << "\n"
                   << "    error:      " << price-cachedPrice2);
    }

    ZeroCouponBond bond3(settlementDays,
                         UnitedStates(UnitedStates::GovernmentBond),
                         vars.faceAmount,
                         Date(30,November,2006),
                         ModifiedFollowing,
                         100.0, Date(30,November,2004));

    bond3.setPricingEngine(bondEngine);

    Real cachedPrice3 = 94.098006;

    price = bond3.cleanPrice();
    if (std::fabs(price-cachedPrice3) > tolerance) {
        BOOST_FAIL("failed to reproduce cached price:\n"
                   << std::fixed
                   << "    calculated: " << price << "\n"
                   << "    expected:   " << cachedPrice3 << "\n"
                   << "    error:      " << price-cachedPrice3);
    }
}

BOOST_AUTO_TEST_CASE(testCachedFixed) {

    BOOST_TEST_MESSAGE("Testing fixed-coupon bond prices against cached values...");

    CommonVars vars;

    Date today(22,November,2004);
    Settings::instance().evaluationDate() = today;

    Natural settlementDays = 1;

    Handle<YieldTermStructure> discountCurve(flatRate(today,0.03,Actual360()));

    Real tolerance = 1.0e-6;

    // plain

    Schedule sch(Date(30,November,2004),
                 Date(30,November,2008), Period(Semiannual),
                 UnitedStates(UnitedStates::GovernmentBond),
                 Unadjusted, Unadjusted, DateGeneration::Backward, false);

    FixedRateBond bond1(settlementDays, vars.faceAmount, sch,
                        std::vector<Rate>(1, 0.02875),
                        ActualActual(ActualActual::ISMA),
                        ModifiedFollowing,
                        100.0, Date(30,November,2004));

    ext::shared_ptr<PricingEngine> bondEngine(
                                    new DiscountingBondEngine(discountCurve));
    bond1.setPricingEngine(bondEngine);

    Real cachedPrice1 = 99.298100;

    Real price = bond1.cleanPrice();
    if (std::fabs(price-cachedPrice1) > tolerance) {
        BOOST_FAIL("failed to reproduce cached price:\n"
                   << std::fixed
                   << "    calculated: " << price << "\n"
                   << "    expected:   " << cachedPrice1 << "\n"
                   << "    error:      " << price-cachedPrice1);
    }

    // varying coupons

    std::vector<Rate> couponRates(4);
    couponRates[0] = 0.02875;
    couponRates[1] = 0.03;
    couponRates[2] = 0.03125;
    couponRates[3] = 0.0325;

    FixedRateBond bond2(settlementDays, vars.faceAmount, sch,
                          couponRates,
                          ActualActual(ActualActual::ISMA),
                          ModifiedFollowing,
                          100.0, Date(30,November,2004));

    bond2.setPricingEngine(bondEngine);

    Real cachedPrice2 = 100.334149;

    price = bond2.cleanPrice();
    if (std::fabs(price-cachedPrice2) > tolerance) {
        BOOST_FAIL("failed to reproduce cached price:\n"
                   << std::fixed
                   << "    calculated: " << price << "\n"
                   << "    expected:   " << cachedPrice2 << "\n"
                   << "    error:      " << price-cachedPrice2);
    }

    // stub date

    Schedule sch3(Date(30,November,2004),
                  Date(30,March,2009), Period(Semiannual),
                  UnitedStates(UnitedStates::GovernmentBond),
                  Unadjusted, Unadjusted, DateGeneration::Backward, false,
                  Date(), Date(30,November,2008));

    FixedRateBond bond3(settlementDays, vars.faceAmount, sch3,
                          couponRates, ActualActual(ActualActual::ISMA),
                          ModifiedFollowing,
                          100.0, Date(30,November,2004));

    bond3.setPricingEngine(bondEngine);

    Real cachedPrice3 = 100.382794;

    price = bond3.cleanPrice();
    if (std::fabs(price-cachedPrice3) > tolerance) {
        BOOST_FAIL("failed to reproduce cached price:\n"
                   << std::fixed
                   << "    calculated: " << price << "\n"
                   << "    expected:   " << cachedPrice3 << "\n"
                   << "    error:      " << price-cachedPrice3);
    }
}

BOOST_AUTO_TEST_CASE(testCachedFloating) {

    BOOST_TEST_MESSAGE("Testing floating-rate bond prices against cached values...");

    bool usingAtParCoupons = IborCoupon::Settings::instance().usingAtParCoupons();

    CommonVars vars;

    Date today(22,November,2004);
    Settings::instance().evaluationDate() = today;

    Natural settlementDays = 1;

    Handle<YieldTermStructure> riskFreeRate(flatRate(today,0.025,Actual360()));
    Handle<YieldTermStructure> discountCurve(flatRate(today,0.03,Actual360()));

    ext::shared_ptr<IborIndex> index(new USDLibor(6*Months, riskFreeRate));
    Natural fixingDays = 1;

    Real tolerance = 1.0e-6;

    ext::shared_ptr<IborCouponPricer> pricer(new
        BlackIborCouponPricer(Handle<OptionletVolatilityStructure>()));

    // plain

    Schedule sch(Date(30,November,2004),
                 Date(30,November,2008),
                 Period(Semiannual),
                 UnitedStates(UnitedStates::GovernmentBond),
                 ModifiedFollowing, ModifiedFollowing,
                 DateGeneration::Backward, false);

    FloatingRateBond bond1(settlementDays, vars.faceAmount, sch,
                           index, ActualActual(ActualActual::ISMA),
                           ModifiedFollowing, fixingDays,
                           std::vector<Real>(), std::vector<Spread>(),
                           std::vector<Rate>(), std::vector<Rate>(),
                           false,
                           100.0, Date(30,November,2004));

    ext::shared_ptr<PricingEngine> bondEngine(
                                     new DiscountingBondEngine(riskFreeRate));
    bond1.setPricingEngine(bondEngine);

    setCouponPricer(bond1.cashflows(),pricer);

    Real cachedPrice1 = usingAtParCoupons ? 99.874646 : 99.874645;

    Real price = bond1.cleanPrice();
    if (std::fabs(price-cachedPrice1) > tolerance) {
        BOOST_FAIL("failed to reproduce cached price:\n"
                   << std::fixed
                   << "    calculated: " << price << "\n"
                   << "    expected:   " << cachedPrice1 << "\n"
                   << "    error:      " << price-cachedPrice1);
    }

    // different risk-free and discount curve

    FloatingRateBond bond2(settlementDays, vars.faceAmount, sch,
                           index, ActualActual(ActualActual::ISMA),
                           ModifiedFollowing, fixingDays,
                           std::vector<Rate>(), std::vector<Spread>(),
                           std::vector<Rate>(), std::vector<Rate>(),
                           false,
                           100.0, Date(30,November,2004));

    ext::shared_ptr<PricingEngine> bondEngine2(
                                    new DiscountingBondEngine(discountCurve));
    bond2.setPricingEngine(bondEngine2);

    setCouponPricer(bond2.cashflows(),pricer);

    Real cachedPrice2 = 97.955904;

    price = bond2.cleanPrice();
    if (std::fabs(price-cachedPrice2) > tolerance) {
        BOOST_FAIL("failed to reproduce cached price:\n"
                   << std::fixed
                   << "    calculated: " << price << "\n"
                   << "    expected:   " << cachedPrice2 << "\n"
                   << "    error:      " << price-cachedPrice2);
    }

    // varying spread

    std::vector<Rate> spreads(4);
    spreads[0] = 0.001;
    spreads[1] = 0.0012;
    spreads[2] = 0.0014;
    spreads[3] = 0.0016;

    FloatingRateBond bond3(settlementDays, vars.faceAmount, sch,
                           index, ActualActual(ActualActual::ISMA),
                           ModifiedFollowing, fixingDays,
                           std::vector<Real>(), spreads,
                           std::vector<Rate>(), std::vector<Rate>(),
                           false,
                           100.0, Date(30,November,2004));

    bond3.setPricingEngine(bondEngine2);

    setCouponPricer(bond3.cashflows(),pricer);

    Real cachedPrice3 = usingAtParCoupons ? 98.495459 : 98.495458;

    price = bond3.cleanPrice();
    if (std::fabs(price-cachedPrice3) > tolerance) {
        BOOST_FAIL("failed to reproduce cached price:\n"
                   << std::fixed
                   << "    calculated: " << price << "\n"
                   << "    expected:   " << cachedPrice3 << "\n"
                   << "    error:      " << price-cachedPrice3);
    }

    Schedule sch2(Date(26, November, 2003), Date(26, November, 2007), Period(Semiannual),
                 UnitedStates(UnitedStates::GovernmentBond), ModifiedFollowing, ModifiedFollowing,
                 DateGeneration::Backward, false);
    FloatingRateBond bond4(settlementDays, vars.faceAmount, sch2, index,
                           ActualActual(ActualActual::ISMA), ModifiedFollowing, fixingDays,
                           std::vector<Real>(), spreads, std::vector<Rate>(), std::vector<Rate>(), false, 100.0, Date(29, October, 2004), Period(6*Days));

    index->addFixing(Date(25, May, 2004), 0.0402);
    bond4.setPricingEngine(bondEngine2);

    setCouponPricer(bond4.cashflows(), pricer);

    Real cachedPrice4 = usingAtParCoupons ? 98.892055 : 98.892346;

    price = bond4.cleanPrice();
    if (std::fabs(price - cachedPrice4) > tolerance) {
        BOOST_FAIL("failed to reproduce cached price:\n"
                   << std::fixed << "    calculated: " << price << "\n"
                   << "    expected:   " << cachedPrice4 << "\n"
                   << "    error:      " << price - cachedPrice4);
    }
}

BOOST_AUTO_TEST_CASE(testBrazilianCached) {

    BOOST_TEST_MESSAGE(
        "Testing Brazilian public bond prices against Andima cached values...");

    CommonVars vars;

    Natural settlementDays = 1;
    Real faceAmount = 1000.0;
    Date today(6,June,2007);
    Date issueDate(1,January,2007);

    // The tolerance is high because Andima truncate yields
    Real tolerance = 1.0e-4;

    // Reset evaluation date
    Settings::instance().evaluationDate() = today;

    // NTN-F maturity dates
    std::vector<Date> maturityDates(6);
    maturityDates[0] = Date(1,January,2008);
    maturityDates[1] = Date(1,January,2010);
    maturityDates[2] = Date(1,July,2010);
    maturityDates[3] = Date(1,January,2012);
    maturityDates[4] = Date(1,January,2014);
    maturityDates[5] = Date(1,January,2017);

    // Andima NTN-F yields
    std::vector<Rate> yields(6);
    yields[0] = 0.114614;
    yields[1] = 0.105726;
    yields[2] = 0.105328;
    yields[3] = 0.104283;
    yields[4] = 0.103218;
    yields[5] = 0.102948;

    // Andima NTN-F prices
    std::vector<Rate> prices(6);
    prices[0] = 1034.63031372;
    prices[1] = 1030.09919487;
    prices[2] = 1029.98307160;
    prices[3] = 1028.13585068;
    prices[4] = 1028.33383817;
    prices[5] = 1026.19716497;

    std::vector<InterestRate> couponRates(1);
    couponRates[0] = InterestRate(0.1, Thirty360(Thirty360::BondBasis), Compounded,Annual);

    for (Size bondIndex = 0; bondIndex < maturityDates.size(); bondIndex++) {

        InterestRate yield(yields[bondIndex],
                           Business252(Brazil()),
                           Compounded, Annual);

        Schedule schedule(Date(1,January,2007),
                          maturityDates[bondIndex], Period(Semiannual),
                          Brazil(Brazil::Settlement),
                          Unadjusted, Unadjusted,
                          DateGeneration::Backward, false);

        Leg coupons = FixedRateLeg(schedule)
            .withNotionals(faceAmount)
            .withCouponRates(couponRates)
            .withPaymentAdjustment(Following);

        Bond bond(settlementDays,
                  schedule.calendar(),
                  issueDate,
                  coupons);

        Real cachedPrice = prices[bondIndex];
        Real price = faceAmount *
            (BondFunctions::cleanPrice(bond, yield.rate(), yield.dayCounter(),
                                 yield.compounding(), yield.frequency(),
                                 today) + bond.accruedAmount(today)) / 100.0;

        if (std::fabs(price-cachedPrice) > tolerance) {
            BOOST_ERROR("failed to reproduce Andima cached price:\n"
                        << std::fixed
                        << "    calculated: " << price << "\n"
                        << "    expected:   " << cachedPrice << "\n"
                        << "    error:      " << price-cachedPrice  << "\n"
                        );
        }
    }
}

BOOST_AUTO_TEST_CASE(testExCouponGilt) {
    BOOST_TEST_MESSAGE(
        "Testing ex-coupon UK Gilt price against market values...");
    /* UK Gilts have an exCouponDate 7 business days before the coupon
       is due (see <http://www.dmo.gov.uk/index.aspx?page=Gilts/Gilt_Faq>).
       On the exCouponDate the bond still trades cum-coupon so we use
       6 days below and UK calendar

       Output verified with Bloomberg:

       ISIN: GB0009997999
       Issue Date: February 29th, 1996
       Interest Accrue: February 29th, 1996
       First Coupon: June 7th, 1996
       Maturity: June 7th, 2021
       coupon: 8
       period: 6M

       Settlement date: May 29th, 2013
       Test Price : 103
       Accrued : 38021.97802
       NPV : 106.8021978
       Yield : 7.495180593
       Yield->NPV : 106.8021978
       Yield->NPV->Price : 103
       Mod duration : 5.676044458
       Convexity : 0.4215314859
       PV 0.01 : 0.0606214023

       Settlement date: May 30th, 2013
       Test Price : 103
       Accrued : -1758.241758
       NPV : 102.8241758
       Yield : 7.496183543
       Yield->NPV : 102.8241758
       Yield->NPV->Price : 103
       Mod duration : 5.892816328
       Convexity : 0.4375621862
       PV 0.01 : 0.06059239822

       Settlement date: May 31st, 2013
       Test Price : 103
       Accrued : -1538.461538
       NPV : 102.8461538
       Yield : 7.495987492
       Yield->NPV : 102.8461539
       Yield->NPV->Price : 103
       Mod duration : 5.890186028
       Convexity : 0.4372394381
       PV 0.01 : 0.06057829784
    */
    struct test_case {
        Date settlementDate;
        Real testPrice;
        Real accruedAmount;
        Real NPV;
        Rate yield;
        Real duration;
        Real convexity;
    };

    Calendar calendar = UnitedKingdom();

    Natural settlementDays = 3;

    Date issueDate(29, February, 1996);
    Date startDate(29, February, 1996);
    Date firstCouponDate(07, June, 1996);
    Date maturityDate(07, June, 2021);

    Rate coupon = 0.08;

    Period tenor = 6*Months;
    Period exCouponPeriod = 6*Days;

    Compounding comp = Compounded;
    Frequency freq   = Semiannual;
    
    Schedule schedule = Schedule(startDate, maturityDate, tenor,
        NullCalendar(), Unadjusted, Unadjusted,
        DateGeneration::Forward, true, firstCouponDate);
    DayCounter dc = ActualActual(ActualActual::ISMA, schedule);

    FixedRateBond bond(settlementDays, 100.0,
                       schedule,
                       std::vector<Rate>(1, coupon),
                       dc, Unadjusted, 100.0,
                       issueDate, calendar, exCouponPeriod, calendar);

    const Leg& leg = bond.cashflows();

    test_case cases[] = {
        { Date(29,May,2013), 103.0,
          3.8021978, 106.8021978, 0.0749518,
          5.6760445, 42.1531486 },
        { Date(30,May,2013), 103.0,
          -0.1758242, 102.8241758, 0.0749618,
          5.8928163, 43.7562186 },
        { Date(31,May,2013), 103.0,
          -0.1538462, 102.8461538, 0.0749599,
          5.8901860, 43.7239438 }
    };

    for (auto& i : cases) {
        Real accrued = bond.accruedAmount(i.settlementDate);
        ASSERT_CLOSE("accrued amount", i.settlementDate, accrued, i.accruedAmount, 1e-6);

        Real npv = i.testPrice + accrued;
        ASSERT_CLOSE("NPV", i.settlementDate, npv, i.NPV, 1e-6);

        Rate yield = CashFlows::yield(leg, npv, dc, comp, freq, false, i.settlementDate);
        ASSERT_CLOSE("yield", i.settlementDate, yield, i.yield, 1e-6);

        Time duration = CashFlows::duration(leg, yield, dc, comp, freq, Duration::Modified, false,
                                            i.settlementDate);
        ASSERT_CLOSE("duration", i.settlementDate, duration, i.duration, 1e-6);

        Real convexity = CashFlows::convexity(leg, yield, dc, comp, freq, false, i.settlementDate);
        ASSERT_CLOSE("convexity", i.settlementDate, convexity, i.convexity, 1e-6);

        Real calcnpv = CashFlows::npv(leg, yield, dc, comp, freq, false, i.settlementDate);
        ASSERT_CLOSE("NPV from yield", i.settlementDate, calcnpv, i.NPV, 1e-6);

        Real calcprice = calcnpv - accrued;
        ASSERT_CLOSE("price from yield", i.settlementDate, calcprice, i.testPrice, 1e-6);
    }
}

BOOST_AUTO_TEST_CASE(testExCouponAustralianBond) {
    BOOST_TEST_MESSAGE(
        "Testing ex-coupon Australian bond price against market values...");
    /* Australian Government Bonds have an exCouponDate 7 calendar
       days before the coupon is due.  On the exCouponDate the bond
       trades ex-coupon so we use 7 days below and NullCalendar.
       AGB accrued interest is rounded to 3dp.

       Output verified with Bloomberg:

       ISIN: AU300TB01208
       Issue Date: June 10th, 2004
       Interest Accrue: February 15th, 2004
       First Coupon: August 15th, 2004
       Maturity: February 15th, 2017
       coupon: 6
       period: 6M

       Settlement date: August 7th, 2014
       Test Price : 103
       Accrued : 28670
       NPV : 105.867
       Yield : 4.723814867
       Yield->NPV : 105.867
       Yield->NPV->Price : 103
       Mod duration : 2.262763296
       Convexity : 0.0654870275
       PV 0.01 : 0.02395519619

       Settlement date: August 8th, 2014
       Test Price : 103
       Accrued : -1160
       NPV : 102.884
       Yield : 4.72354833
       Yield->NPV : 102.884
       Yield->NPV->Price : 103
       Mod duration : 2.325360055
       Convexity : 0.06725307785
       PV 0.01 : 0.02392423439

       Settlement date: August 11th, 2014
       Test Price : 103
       Accrued : -660
       NPV : 102.934
       Yield : 4.719277687
       Yield->NPV : 102.934
       Yield->NPV->Price : 103
       Mod duration : 2.317320093
       Convexity : 0.06684074058
       PV 0.01 : 0.02385310264
    */
    struct test_case {
        Date settlementDate;
        Real testPrice;
        Real accruedAmount;
        Real NPV;
        Rate yield;
        Real duration;
        Real convexity;
    };

    Calendar calendar = Australia();

    Natural settlementDays = 3;

    Date issueDate(10, June, 2004);
    Date startDate(15, February, 2004);
    Date firstCouponDate(15, August, 2004);
    Date maturityDate(15, February, 2017);

    Rate coupon = 0.06;

    Period tenor = 6*Months;
    Period exCouponPeriod = 7*Days;

    Compounding comp = Compounded;
    Frequency freq   = Semiannual;
    
    Schedule schedule = Schedule(startDate, maturityDate, tenor,
        NullCalendar(), Unadjusted, Unadjusted,
        DateGeneration::Forward, true, firstCouponDate);
    DayCounter dc = ActualActual(ActualActual::ISMA, schedule);

    FixedRateBond bond(settlementDays, 100.0,
                       schedule,
                       std::vector<Rate>(1, coupon),
                       dc, Unadjusted, 100.0,
                       issueDate, calendar, exCouponPeriod, NullCalendar());

    const Leg& leg = bond.cashflows();

    test_case cases[] = {
        { Date(7,August,2014), 103.0,
          2.8670, 105.867, 0.04723,
          2.26276, 6.54870 },
        { Date(8,August,2014), 103.0,
          -0.1160, 102.884, 0.047235,
          2.32536, 6.72531 },
        { Date(11,August,2014), 103.0,
          -0.0660, 102.934, 0.04719,
          2.31732, 6.68407 }
    };

    for (auto& i : cases) {
        Real accrued = bond.accruedAmount(i.settlementDate);
        ASSERT_CLOSE("accrued amount", i.settlementDate, accrued, i.accruedAmount, 1e-3);

        Real npv = i.testPrice + accrued;
        ASSERT_CLOSE("NPV", i.settlementDate, npv, i.NPV, 1e-3);

        Rate yield = CashFlows::yield(leg, npv, dc, comp, freq, false, i.settlementDate);
        ASSERT_CLOSE("yield", i.settlementDate, yield, i.yield, 1e-5);

        Time duration = CashFlows::duration(leg, yield, dc, comp, freq, Duration::Modified, false,
                                            i.settlementDate);
        ASSERT_CLOSE("duration", i.settlementDate, duration, i.duration, 1e-5);

        Real convexity = CashFlows::convexity(leg, yield, dc, comp, freq, false, i.settlementDate);
        ASSERT_CLOSE("convexity", i.settlementDate, convexity, i.convexity, 1e-4);

        Real calcnpv = CashFlows::npv(leg, yield, dc, comp, freq, false, i.settlementDate);
        ASSERT_CLOSE("NPV from yield", i.settlementDate, calcnpv, i.NPV, 1e-3);

        Real calcprice = calcnpv - accrued;
        ASSERT_CLOSE("price from yield", i.settlementDate, calcprice, i.testPrice, 1e-3);
    }
}

/// <summary>
/// Test calculation of South African R2048 bond
/// This requires the use of the Schedule to be constructed
/// with a custom date vector
/// </summary>
BOOST_AUTO_TEST_CASE(testBondFromScheduleWithDateVector)
{
    BOOST_TEST_MESSAGE("Testing South African R2048 bond price using Schedule constructor with Date vector...");
    //When pricing bond from Yield To Maturity, use NullCalendar()
    Calendar calendar = NullCalendar();

    Natural settlementDays = 3;

    Date issueDate(29, June, 2012);
    Date today(7, September, 2015);
    Date evaluationDate = calendar.adjust(today);
    Date settlementDate = calendar.advance(evaluationDate, settlementDays * Days);
    Settings::instance().evaluationDate() = evaluationDate;

    // For the schedule to generate correctly for Feb-28's, make maturity date on Feb 29
    Date maturityDate(29, February, 2048);

    Rate coupon = 0.0875;
    Compounding comp = Compounded;
    Frequency freq = Semiannual;
    

    
    
    Period tenor = 6 * Months;
    Period exCouponPeriod = 10 * Days;

    // Generate coupon dates for 31 Aug and end of Feb each year
    // For leap years, this will generate 29 Feb, but the bond
    // actually pays coupons on 28 Feb, regardsless of whether
    // it is a leap year or not. 
    Schedule schedule(issueDate, maturityDate, tenor,
        NullCalendar(), Unadjusted, Unadjusted,
        DateGeneration::Backward, true);

    // Adjust the 29 Feb's to 28 Feb
    std::vector<Date> dates;
    for (Size i = 0; i < schedule.size(); ++i) {
        Date d = schedule.date(i);
        if (d.month() == February && d.dayOfMonth() == 29)
            dates.emplace_back(28, February, d.year());
        else
            dates.push_back(d);
    }

    schedule = Schedule(dates, 
                        schedule.calendar(),
                        schedule.businessDayConvention(),
                        schedule.terminationDateBusinessDayConvention(),
                        schedule.tenor(),
                        schedule.rule(),
                        schedule.endOfMonth(),
                        schedule.isRegular());
    DayCounter dc = ActualActual(ActualActual::Bond, schedule);
    FixedRateBond bond(
        0, 
        100.0,
        schedule,
        std::vector<Rate>(1, coupon),
        dc, Following, 100.0,
        issueDate, calendar, 
        exCouponPeriod, calendar, Unadjusted, false);

    // Yield as quoted in market
    InterestRate yield(0.09185, dc, comp, freq);

    Real calculatedPrice = BondFunctions::dirtyPrice(bond, yield, settlementDate);
    Real expectedPrice = 95.75706;
    Real tolerance = 1e-5;
    if (std::fabs(calculatedPrice - expectedPrice) > tolerance) {
        BOOST_FAIL("failed to reproduce R2048 dirty price"
            << std::fixed << std::setprecision(5)
            << "\n  expected:   " << expectedPrice
            << "\n  calculated: " << calculatedPrice);
    }
}

BOOST_AUTO_TEST_CASE(testFixedBondWithGivenDates) {

    BOOST_TEST_MESSAGE("Testing fixed-coupon bond built on schedule with given dates...");

    CommonVars vars;

    Date today(22,November,2004);
    Settings::instance().evaluationDate() = today;

    Natural settlementDays = 1;

    Handle<YieldTermStructure> discountCurve(flatRate(today,0.03,Actual360()));

    Real tolerance = 1.0e-6;

    ext::shared_ptr<PricingEngine> bondEngine(
                                    new DiscountingBondEngine(discountCurve));
    // plain

    Schedule sch1(Date(30,November,2004),
                  Date(30,November,2008), Period(Semiannual),
                  UnitedStates(UnitedStates::GovernmentBond),
                  Unadjusted, Unadjusted, DateGeneration::Backward, false);
    FixedRateBond bond1(settlementDays, vars.faceAmount, sch1,
                        std::vector<Rate>(1, 0.02875),
                        ActualActual(ActualActual::ISMA),
                        ModifiedFollowing,
                        100.0, Date(30,November,2004));
    bond1.setPricingEngine(bondEngine);

    Schedule sch1_copy(sch1.dates(), UnitedStates(UnitedStates::GovernmentBond),
                       Unadjusted, Unadjusted, Period(Semiannual),
                       DateGeneration::Backward,
                       false, std::vector<bool>(sch1.size()-1, true));
    FixedRateBond bond1_copy(settlementDays, vars.faceAmount, sch1_copy,
                             std::vector<Rate>(1, 0.02875),
                             ActualActual(ActualActual::ISMA),
                             ModifiedFollowing,
                             100.0, Date(30,November,2004));
    bond1_copy.setPricingEngine(bondEngine);

    Real expected = bond1.cleanPrice();
    Real calculated = bond1_copy.cleanPrice();
    if (std::fabs(expected-calculated) > tolerance) {
        BOOST_FAIL("failed to reproduce cached price:\n"
                   << std::fixed
                   << "    calculated: " << calculated << "\n"
                   << "    expected:   " << expected << "\n"
                   << "    error:      " << expected-calculated);
    }

    // varying coupons

    std::vector<Rate> couponRates(4);
    couponRates[0] = 0.02875;
    couponRates[1] = 0.03;
    couponRates[2] = 0.03125;
    couponRates[3] = 0.0325;

    FixedRateBond bond2(settlementDays, vars.faceAmount, sch1,
                        couponRates,
                        ActualActual(ActualActual::ISMA),
                        ModifiedFollowing,
                        100.0, Date(30,November,2004));
    bond2.setPricingEngine(bondEngine);

    FixedRateBond bond2_copy(settlementDays, vars.faceAmount, sch1_copy,
                             couponRates,
                             ActualActual(ActualActual::ISMA),
                             ModifiedFollowing,
                             100.0, Date(30,November,2004));
    bond2_copy.setPricingEngine(bondEngine);

    expected = bond2.cleanPrice();
    calculated = bond2_copy.cleanPrice();
    if (std::fabs(expected-calculated) > tolerance) {
        BOOST_FAIL("failed to reproduce cached price:\n"
                   << std::fixed
                   << "    calculated: " << calculated << "\n"
                   << "    expected:   " << expected << "\n"
                   << "    error:      " << expected-calculated);
    }


    // stub date

    Schedule sch3(Date(30,November,2004),
                  Date(30,March,2009), Period(Semiannual),
                  UnitedStates(UnitedStates::GovernmentBond),
                  Unadjusted, Unadjusted, DateGeneration::Backward, false,
                  Date(), Date(30,November,2008));
    FixedRateBond bond3(settlementDays, vars.faceAmount, sch3,
                        couponRates,
                        Actual360(),
                        ModifiedFollowing,
                        100.0, Date(30,November,2004));
    bond3.setPricingEngine(bondEngine);

    Schedule sch3_copy(sch3.dates(), UnitedStates(UnitedStates::GovernmentBond),
                       Unadjusted, Unadjusted, Period(Semiannual),
                       DateGeneration::Backward,
                       false, std::vector<bool>(sch3.size()-1, true));
    FixedRateBond bond3_copy(settlementDays, vars.faceAmount, sch3_copy,
                             couponRates,
                             Actual360(),
                             ModifiedFollowing,
                             100.0, Date(30,November,2004));
    bond3_copy.setPricingEngine(bondEngine);

    expected = bond3.cleanPrice();
    calculated = bond3_copy.cleanPrice();
    if (std::fabs(expected-calculated) > tolerance) {
        BOOST_FAIL("failed to reproduce cached price:\n"
                   << std::fixed
                   << "    calculated: " << calculated << "\n"
                   << "    expected:   " << expected << "\n"
                   << "    error:      " << expected-calculated);
    }
}

BOOST_AUTO_TEST_CASE(testRiskyBondWithGivenDates) {

    BOOST_TEST_MESSAGE("Testing risky bond engine...");

    CommonVars vars;

    Date today(22, November, 2005);
    Settings::instance().evaluationDate() = today;

    // Probability Structure
    Handle<Quote> hazardRate(ext::shared_ptr<Quote>(new SimpleQuote(0.1)));
    Handle<DefaultProbabilityTermStructure> defaultProbability(
        ext::shared_ptr<DefaultProbabilityTermStructure>(
            new FlatHazardRate(0, TARGET(), hazardRate, Actual360())));

    // Yield term structure
    RelinkableHandle<YieldTermStructure> riskFree;
    riskFree.linkTo(ext::shared_ptr<YieldTermStructure>(new FlatForward(today, 0.02, Actual360())));
    Schedule sch1(Date(30, November, 2004), Date(30, November, 2008), Period(Semiannual),
                  UnitedStates(UnitedStates::GovernmentBond), Unadjusted, Unadjusted,
                  DateGeneration::Backward, false);

    // Create Bond
    Natural settlementDays = 1;
    std::vector<Real> notionals = {0.0167, 0.023, 0.03234, 0.034, 0.038, 0.042, 0.047, 0.053};

    std::vector<Rate> couponRates(4);
    couponRates[0] = 0.02875;
    couponRates[1] = 0.03;
    couponRates[2] = 0.03125;
    couponRates[3] = 0.0325;
    Real recoveryRate = 0.4;

    FixedRateBond bond(settlementDays, vars.faceAmount, sch1, couponRates,
                       ActualActual(ActualActual::ISMA), ModifiedFollowing, 100.0,
                       Date(20, November, 2004));

    // Create Engine
    ext::shared_ptr<PricingEngine> bondEngine(new RiskyBondEngine(defaultProbability, recoveryRate, riskFree));
    bond.setPricingEngine(bondEngine);

    // Calculate and validate NPV and price
    Real expected = 888458.819055;
    Real calculated = bond.NPV();
    Real tolerance = 1.0e-6;
    if (std::fabs(expected - calculated) > tolerance) {
        BOOST_FAIL("Failed to reproduce risky bond NPV:\n"
                   << std::fixed
                   << "    calculated: " << calculated << "\n"
                   << "    expected:   " << expected << "\n"
                   << "    error:      " << expected - calculated);
    }

    expected = 87.407883;
    calculated = bond.cleanPrice();
    if (std::fabs(expected - calculated) > tolerance) {
        BOOST_FAIL("Failed to reproduce risky bond price:\n"
                   << std::fixed
                   << "    calculated: " << calculated << "\n"
                   << "    expected:   " << expected << "\n"
                   << "    error:      " << expected - calculated);
    }
}

BOOST_AUTO_TEST_CASE(testFixedRateBondWithArbitrarySchedule) {
    BOOST_TEST_MESSAGE("Testing fixed-rate bond with arbitrary schedule...");
    Calendar calendar = NullCalendar();

    Natural settlementDays = 3;

    Date today(1, January, 2019);
    Settings::instance().evaluationDate() = today;

    // For the schedule to generate correctly for Feb-28's, make maturity date on Feb 29
    std::vector<Date> dates(4);
    dates[0] = Date(1, February, 2019);
    dates[1] = Date(7, February, 2019);
    dates[2] = Date(1, April, 2019);
    dates[3] = Date(27, May, 2019);

    Schedule schedule(dates, calendar, Unadjusted);

    Rate coupon = 0.01;
    DayCounter dc = Actual365Fixed();

    FixedRateBond bond(
        settlementDays,
        100.0,
        schedule,
        std::vector<Rate>(1, coupon),
        dc, Following, 100.0);

    if (bond.frequency() != NoFrequency) {
        BOOST_ERROR("unexpected frequency: " << bond.frequency());
    }

    Handle<YieldTermStructure> discountCurve(flatRate(today, 0.03, Actual360()));
    bond.setPricingEngine(ext::shared_ptr<PricingEngine>(new DiscountingBondEngine(discountCurve)));

    BOOST_CHECK_NO_THROW(bond.cleanPrice());
}

BOOST_AUTO_TEST_CASE(testThirty360BondWithSettlementOn31st){
    BOOST_TEST_MESSAGE(
        "Testing Thirty/360 bond with settlement on 31st of the month...");

    // cusip 3130A0X70, data is from Bloomberg
    Settings::instance().evaluationDate() = Date(28, July, 2017);

    Date datedDate(13, February, 2014);
    Date settlement(31, July, 2017);
    Date maturity(13, August, 2018);

    DayCounter dayCounter = Thirty360(Thirty360::USA);
    Compounding compounding = Compounded;

    Schedule fixedBondSchedule(datedDate,
            maturity,
            Period(Semiannual),
            UnitedStates(UnitedStates::GovernmentBond),
            Unadjusted, Unadjusted, DateGeneration::Forward, false);

    FixedRateBond fixedRateBond(
            1,
            100,
            fixedBondSchedule,
            std::vector<Rate>(1, 0.015),
            dayCounter,
            Unadjusted,
            100.0);

    Bond::Price cleanPrice(100.0, Bond::Price::Clean);

    Real yield = BondFunctions::yield(fixedRateBond, cleanPrice, dayCounter, compounding, Semiannual, settlement);
    ASSERT_CLOSE("yield", settlement, yield, 0.015, 1e-4);

    Real duration = BondFunctions::duration(fixedRateBond, InterestRate(yield, dayCounter, compounding, Semiannual), Duration::Macaulay, settlement);
    ASSERT_CLOSE("duration", settlement, duration, 1.022, 1e-3);

    Real convexity = BondFunctions::convexity(fixedRateBond, InterestRate(yield, dayCounter, compounding, Semiannual), settlement)/100;
    ASSERT_CLOSE("convexity", settlement, convexity, 0.015, 1e-3);

    Real accrued = BondFunctions::accruedAmount(fixedRateBond, settlement);
    ASSERT_CLOSE("accrued", settlement, accrued, 0.7, 1e-6);
}

BOOST_AUTO_TEST_CASE(testBasisPointValue) {

    BOOST_TEST_MESSAGE("Testing consistency of bond basisPointValue and yieldValueBasisPoint calculations...");

    CommonVars vars;

    Date today(29, January, 2024);
    Settings::instance().evaluationDate() = today;

    Date datedDate(15, November, 2023);
    Date maturity(15, August, 2033);

    DayCounter dayCounter = Thirty360(Thirty360::USA);
    Compounding compounding = Compounded;
    Frequency frequency = Semiannual;
    auto period = Period(frequency);

    Schedule fixedBondSchedule(datedDate,
            maturity,
            period,
            UnitedStates(UnitedStates::GovernmentBond),
            Unadjusted, Unadjusted, DateGeneration::Forward, false);

    FixedRateBond fixedRateBond(
            1,
            vars.faceAmount,
            fixedBondSchedule,
            std::vector<Rate>(1, 0.045),
            dayCounter,
            Unadjusted,
            100.0);

    Date defaultSettlement = fixedRateBond.settlementDate();
    Bond::Price cleanPrice(102.890625, Bond::Price::Clean);

    Real tolerance = 1e-6;

    Real yield = BondFunctions::yield(fixedRateBond, cleanPrice, dayCounter, compounding, frequency);
    ASSERT_CLOSE("yield", defaultSettlement, yield, 0.041301, tolerance);

    struct test_case {
        Date settlement;
        Real bpv;
        Real yvbp;
    };
    test_case cases[] = {
        { Date(), -795.459834, -0.0012571287},
        { defaultSettlement, -795.459834, -0.0012571287 },
        { Date(12, February, 2024), -793.149033, -0.0012607913 },
    };

    for (auto& i : cases)
    {
        Real bvp1 = BondFunctions::basisPointValue(fixedRateBond, yield, dayCounter, compounding, frequency, i.settlement);
        ASSERT_CLOSE("basisPointValue from yield", i.settlement, bvp1, i.bpv, tolerance);
        Real bvp2 = BondFunctions::basisPointValue(fixedRateBond, InterestRate(yield, dayCounter, compounding, frequency), i.settlement);
        ASSERT_CLOSE("basisPointValue from InterestRate", i.settlement, bvp2, i.bpv, tolerance);

        Real yvbp1 = BondFunctions::yieldValueBasisPoint(fixedRateBond, yield, dayCounter, compounding, frequency, i.settlement);
        yvbp1 *= vars.faceAmount;
        ASSERT_CLOSE("yieldValueBasisPoint from yield", i.settlement, yvbp1, i.yvbp, tolerance);
        Real yvbp2 = BondFunctions::yieldValueBasisPoint(fixedRateBond, InterestRate(yield, dayCounter, compounding, frequency), i.settlement);
        yvbp2 *= vars.faceAmount;
        ASSERT_CLOSE("yieldValueBasisPoint from InterestRate", i.settlement, yvbp2, i.yvbp, tolerance);

    }
}

BOOST_AUTO_TEST_SUITE_END()

BOOST_AUTO_TEST_SUITE_END()