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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2003 RiskMap srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
#include "toplevelfixture.hpp"
#include "utilities.hpp"
#include <ql/instruments/compositeinstrument.hpp>
#include <ql/instruments/europeanoption.hpp>
#include <ql/instruments/stock.hpp>
#include <ql/pricingengines/vanilla/analyticeuropeanengine.hpp>
#include <ql/quotes/simplequote.hpp>
#include <ql/time/daycounters/actual360.hpp>
using namespace QuantLib;
using namespace boost::unit_test;
BOOST_FIXTURE_TEST_SUITE(QuantLibTests, QuantLib::TopLevelFixture)
BOOST_AUTO_TEST_SUITE(InstrumentTests)
BOOST_AUTO_TEST_CASE(testObservable) {
BOOST_TEST_MESSAGE("Testing observability of instruments...");
ext::shared_ptr<SimpleQuote> me1(new SimpleQuote(0.0));
RelinkableHandle<Quote> h(me1);
ext::shared_ptr<Instrument> s(new Stock(h));
Flag f;
f.registerWith(s);
s->NPV();
me1->setValue(3.14);
if (!f.isUp())
BOOST_FAIL("Observer was not notified of instrument change");
s->NPV();
f.lower();
ext::shared_ptr<SimpleQuote> me2(new SimpleQuote(0.0));
h.linkTo(me2);
if (!f.isUp())
BOOST_FAIL("Observer was not notified of instrument change");
f.lower();
s->freeze();
s->NPV();
me2->setValue(2.71);
if (f.isUp())
BOOST_FAIL("Observer was notified of frozen instrument change");
s->NPV();
s->unfreeze();
if (!f.isUp())
BOOST_FAIL("Observer was not notified of instrument change");
}
BOOST_AUTO_TEST_CASE(testCompositeWhenShiftingDates) {
BOOST_TEST_MESSAGE(
"Testing reaction of composite instrument to date changes...");
Date today = Date::todaysDate();
DayCounter dc = Actual360();
ext::shared_ptr<StrikedTypePayoff> payoff(
new PlainVanillaPayoff(Option::Call, 100.0));
ext::shared_ptr<Exercise> exercise(new EuropeanExercise(today+30));
ext::shared_ptr<Instrument> option(new EuropeanOption(payoff, exercise));
ext::shared_ptr<SimpleQuote> spot(new SimpleQuote(100.0));
ext::shared_ptr<YieldTermStructure> qTS = flatRate(0.0, dc);
ext::shared_ptr<YieldTermStructure> rTS = flatRate(0.01, dc);
ext::shared_ptr<BlackVolTermStructure> volTS = flatVol(0.1, dc);
ext::shared_ptr<BlackScholesMertonProcess> process(
new BlackScholesMertonProcess(Handle<Quote>(spot),
Handle<YieldTermStructure>(qTS),
Handle<YieldTermStructure>(rTS),
Handle<BlackVolTermStructure>(volTS)));
ext::shared_ptr<PricingEngine> engine(new AnalyticEuropeanEngine(process));
option->setPricingEngine(engine);
CompositeInstrument composite;
composite.add(option);
Settings::instance().evaluationDate() = today+45;
if (!composite.isExpired())
BOOST_FAIL("Composite didn't detect expiration");
if (composite.NPV() != 0.0)
BOOST_FAIL("Composite didn't return a null NPV");
Settings::instance().evaluationDate() = today;
if (composite.isExpired())
BOOST_FAIL("Composite didn't detect aliveness");
if (composite.NPV() == 0.0)
BOOST_FAIL("Composite didn't recalculate");
}
BOOST_AUTO_TEST_SUITE_END()
BOOST_AUTO_TEST_SUITE_END()
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