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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/termstructures/yield/compositezeroyieldstructure.hpp>
#include <ql/termstructures/yield/ratehelpers.hpp>
#include <ql/termstructures/yield/flatforward.hpp>
#include <ql/termstructures/yield/piecewiseyieldcurve.hpp>
#include <ql/termstructures/yield/impliedtermstructure.hpp>
#include <ql/termstructures/yield/forwardspreadedtermstructure.hpp>
#include <ql/termstructures/yield/piecewiseforwardspreadedtermstructure.hpp>
#include <ql/termstructures/yield/zerospreadedtermstructure.hpp>
#include <ql/time/calendars/target.hpp>
#include <ql/time/calendars/nullcalendar.hpp>
#include <ql/time/daycounters/actual360.hpp>
#include <ql/time/daycounters/thirty360.hpp>
#include <ql/math/comparison.hpp>
#include <ql/math/interpolation.hpp>
#include <ql/math/interpolations/forwardflatinterpolation.hpp>
#include <ql/indexes/iborindex.hpp>
#include <ql/currency.hpp>
#include <ql/utilities/dataformatters.hpp>
using namespace QuantLib;
using namespace boost::unit_test_framework;
BOOST_FIXTURE_TEST_SUITE(QuantLibTests, TopLevelFixture)
BOOST_AUTO_TEST_SUITE(TermStructureTests)
struct Datum {
Integer n;
TimeUnit units;
Rate rate;
};
struct CommonVars {
// common data
Calendar calendar;
Natural settlementDays;
ext::shared_ptr<YieldTermStructure> termStructure;
ext::shared_ptr<YieldTermStructure> dummyTermStructure;
// setup
CommonVars() {
calendar = TARGET();
settlementDays = 2;
Date today = calendar.adjust(Date::todaysDate());
Settings::instance().evaluationDate() = today;
Date settlement = calendar.advance(today,settlementDays,Days);
Datum depositData[] = {
{ 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 },
{ 5, Years, 4.99 },
{ 10, Years, 5.47 },
{ 20, Years, 5.89 },
{ 30, Years, 5.96 }
};
Size deposits = std::size(depositData),
swaps = std::size(swapData);
std::vector<ext::shared_ptr<RateHelper> > instruments(deposits+swaps);
for (Size i=0; i<deposits; i++) {
instruments[i] = ext::shared_ptr<RateHelper>(new
DepositRateHelper(depositData[i].rate/100,
depositData[i].n*depositData[i].units,
settlementDays, calendar,
ModifiedFollowing, true,
Actual360()));
}
ext::shared_ptr<IborIndex> index(new IborIndex("dummy",
6*Months,
settlementDays,
Currency(),
calendar,
ModifiedFollowing,
false,
Actual360()));
for (Size i=0; i<swaps; ++i) {
instruments[i+deposits] = ext::shared_ptr<RateHelper>(new
SwapRateHelper(swapData[i].rate/100,
swapData[i].n*swapData[i].units,
calendar,
Annual, Unadjusted, Thirty360(Thirty360::BondBasis),
index));
}
termStructure = ext::shared_ptr<YieldTermStructure>(new
PiecewiseYieldCurve<Discount,LogLinear>(settlement,
instruments, Actual360()));
dummyTermStructure = ext::shared_ptr<YieldTermStructure>(new
PiecewiseYieldCurve<Discount,LogLinear>(settlement,
instruments, Actual360()));
}
};
Real sub(Real x, Real y) { return x - y; }
BOOST_AUTO_TEST_CASE(testReferenceChange) {
BOOST_TEST_MESSAGE("Testing term structure against evaluation date change...");
CommonVars vars;
ext::shared_ptr<SimpleQuote> flatRate (new SimpleQuote);
Handle<Quote> flatRateHandle(flatRate);
vars.termStructure = ext::shared_ptr<YieldTermStructure>(
new FlatForward(vars.settlementDays, NullCalendar(),
flatRateHandle, Actual360()));
Date today = Settings::instance().evaluationDate();
flatRate->setValue(.03);
Integer days[] = { 10, 30, 60, 120, 360, 720 };
Size i;
std::vector<DiscountFactor> expected(std::size(days));
for (i=0; i<std::size(days); i++)
expected[i] = vars.termStructure->discount(today+days[i]);
Settings::instance().evaluationDate() = today+30;
std::vector<DiscountFactor> calculated(std::size(days));
for (i=0; i<std::size(days); i++)
calculated[i] = vars.termStructure->discount(today+30+days[i]);
for (i=0; i<std::size(days); i++) {
if (!close(expected[i],calculated[i]))
BOOST_ERROR("\n Discount at " << days[i] << " days:\n"
<< std::setprecision(12)
<< " before date change: " << expected[i] << "\n"
<< " after date change: " << calculated[i]);
}
}
BOOST_AUTO_TEST_CASE(testImplied) {
BOOST_TEST_MESSAGE("Testing consistency of implied term structure...");
CommonVars vars;
Real tolerance = 1.0e-10;
Date today = Settings::instance().evaluationDate();
Date newToday = today + 3*Years;
Date newSettlement = vars.calendar.advance(newToday,
vars.settlementDays,Days);
Date testDate = newSettlement + 5*Years;
ext::shared_ptr<YieldTermStructure> implied(
new ImpliedTermStructure(Handle<YieldTermStructure>(vars.termStructure),
newSettlement));
DiscountFactor baseDiscount = vars.termStructure->discount(newSettlement);
DiscountFactor discount = vars.termStructure->discount(testDate);
DiscountFactor impliedDiscount = implied->discount(testDate);
if (std::fabs(discount - baseDiscount*impliedDiscount) > tolerance)
BOOST_ERROR(
"unable to reproduce discount from implied curve\n"
<< std::fixed << std::setprecision(10)
<< " calculated: " << baseDiscount*impliedDiscount << "\n"
<< " expected: " << discount);
}
BOOST_AUTO_TEST_CASE(testImpliedObs) {
BOOST_TEST_MESSAGE("Testing observability of implied term structure...");
CommonVars vars;
Date today = Settings::instance().evaluationDate();
Date newToday = today + 3*Years;
Date newSettlement = vars.calendar.advance(newToday,
vars.settlementDays,Days);
RelinkableHandle<YieldTermStructure> h;
ext::shared_ptr<YieldTermStructure> implied(
new ImpliedTermStructure(h, newSettlement));
Flag flag;
flag.registerWith(implied);
h.linkTo(vars.termStructure);
if (!flag.isUp())
BOOST_ERROR("Observer was not notified of term structure change");
}
BOOST_AUTO_TEST_CASE(testFSpreaded) {
BOOST_TEST_MESSAGE("Testing consistency of forward-spreaded term structure...");
CommonVars vars;
Real tolerance = 1.0e-10;
ext::shared_ptr<Quote> me(new SimpleQuote(0.01));
Handle<Quote> mh(me);
ext::shared_ptr<YieldTermStructure> spreaded(
new ForwardSpreadedTermStructure(
Handle<YieldTermStructure>(vars.termStructure),mh));
Date testDate = vars.termStructure->referenceDate() + 5*Years;
DayCounter tsdc = vars.termStructure->dayCounter();
DayCounter sprdc = spreaded->dayCounter();
Rate forward = vars.termStructure->forwardRate(testDate, testDate, tsdc,
Continuous, NoFrequency);
Rate spreadedForward = spreaded->forwardRate(testDate, testDate, sprdc,
Continuous, NoFrequency);
if (std::fabs(forward - (spreadedForward-me->value())) > tolerance)
BOOST_ERROR(
"unable to reproduce forward from spreaded curve\n"
<< std::setprecision(10)
<< " calculated: "
<< io::rate(spreadedForward-me->value()) << "\n"
<< " expected: " << io::rate(forward));
}
BOOST_AUTO_TEST_CASE(testFSpreadedObs) {
BOOST_TEST_MESSAGE("Testing observability of forward-spreaded "
"term structure...");
CommonVars vars;
ext::shared_ptr<SimpleQuote> me(new SimpleQuote(0.01));
Handle<Quote> mh(me);
RelinkableHandle<YieldTermStructure> h; //(vars.dummyTermStructure);
ext::shared_ptr<YieldTermStructure> spreaded(
new ForwardSpreadedTermStructure(h,mh));
Flag flag;
flag.registerWith(spreaded);
h.linkTo(vars.termStructure);
if (!flag.isUp())
BOOST_ERROR("Observer was not notified of term structure change");
flag.lower();
me->setValue(0.005);
if (!flag.isUp())
BOOST_ERROR("Observer was not notified of spread change");
}
BOOST_AUTO_TEST_CASE(testZSpreaded) {
BOOST_TEST_MESSAGE("Testing consistency of zero-spreaded term structure...");
CommonVars vars;
Real tolerance = 1.0e-10;
ext::shared_ptr<Quote> me(new SimpleQuote(0.01));
Handle<Quote> mh(me);
ext::shared_ptr<YieldTermStructure> spreaded(
new ZeroSpreadedTermStructure(
Handle<YieldTermStructure>(vars.termStructure),mh));
Date testDate = vars.termStructure->referenceDate() + 5*Years;
DayCounter rfdc = vars.termStructure->dayCounter();
Rate zero = vars.termStructure->zeroRate(testDate, rfdc,
Continuous, NoFrequency);
Rate spreadedZero = spreaded->zeroRate(testDate, rfdc,
Continuous, NoFrequency);
if (std::fabs(zero - (spreadedZero-me->value())) > tolerance)
BOOST_ERROR(
"unable to reproduce zero yield from spreaded curve\n"
<< std::setprecision(10)
<< " calculated: " << io::rate(spreadedZero-me->value()) << "\n"
<< " expected: " << io::rate(zero));
}
BOOST_AUTO_TEST_CASE(testZSpreadedObs) {
BOOST_TEST_MESSAGE("Testing observability of zero-spreaded term structure...");
CommonVars vars;
ext::shared_ptr<SimpleQuote> me(new SimpleQuote(0.01));
Handle<Quote> mh(me);
RelinkableHandle<YieldTermStructure> h(vars.dummyTermStructure);
ext::shared_ptr<YieldTermStructure> spreaded(
new ZeroSpreadedTermStructure(h,mh));
Flag flag;
flag.registerWith(spreaded);
h.linkTo(vars.termStructure);
if (!flag.isUp())
BOOST_ERROR("Observer was not notified of term structure change");
flag.lower();
me->setValue(0.005);
if (!flag.isUp())
BOOST_ERROR("Observer was not notified of spread change");
}
BOOST_AUTO_TEST_CASE(testCreateWithNullUnderlying) {
BOOST_TEST_MESSAGE(
"Testing that a zero-spreaded curve can be created with "
"a null underlying curve...");
CommonVars vars;
Handle<Quote> spread(ext::shared_ptr<Quote>(new SimpleQuote(0.01)));
RelinkableHandle<YieldTermStructure> underlying;
// this shouldn't throw
ext::shared_ptr<YieldTermStructure> spreaded(
new ZeroSpreadedTermStructure(underlying,spread));
// if we do this, the curve can work.
underlying.linkTo(vars.termStructure);
// check that we can use it
spreaded->referenceDate();
}
BOOST_AUTO_TEST_CASE(testLinearInterpolationSpreadedForwardRate) {
BOOST_TEST_MESSAGE("Testing linear interpolation of forward rates between two dates...");
CommonVars vars;
// Define the forward rate spreads
auto calendar = vars.calendar;
auto dc = vars.termStructure->dayCounter();
Date today = Settings::instance().evaluationDate();
Date settlement = calendar.advance(today, vars.settlementDays, Days);
ext::shared_ptr<SimpleQuote> spread1 = ext::make_shared<SimpleQuote>(0.02);
ext::shared_ptr<SimpleQuote> spread2 = ext::make_shared<SimpleQuote>(0.03);
std::vector<Handle<Quote>> spreads = { Handle<Quote>(spread1), Handle<Quote>(spread2) };
// Define the dates where spreads are specified
std::vector<Date> spreadDates = { vars.calendar.advance(today, 100, Days),
vars.calendar.advance(today, 150, Days) };
Date interpolationDate = vars.calendar.advance(today, 120, Days);
// Create the forward spreaded term structure
ext::shared_ptr<YieldTermStructure> spreadedTermStructure =
ext::make_shared<InterpolatedPiecewiseForwardSpreadedTermStructure<Linear>>(
Handle<YieldTermStructure>(vars.termStructure),
spreads, spreadDates);
// Reference dates
Date d0 = vars.calendar.advance(today, 100, Days);
Date d1 = vars.calendar.advance(today, 150, Days);
Date d2 = vars.calendar.advance(today, 120, Days);
// Compute expected interpolated forward rate
Real time0 = dc.yearFraction(settlement, d0);
Real time1 = dc.yearFraction(settlement, d1);
Real time2 = dc.yearFraction(settlement, d2);
Real m = (0.03 - 0.02) / (time1 - time0);
Time t = dc.yearFraction(settlement, interpolationDate);
Rate expectedForwardRate = vars.termStructure->forwardRate(t, t, Continuous, NoFrequency, true) + (m * (time2 - time0) + 0.02);
Rate interpolatedForwardRate = spreadedTermStructure->forwardRate(t, t, Continuous, NoFrequency, true);
Real tolerance = 1e-9;
if (std::fabs(interpolatedForwardRate - expectedForwardRate) > tolerance)
BOOST_ERROR(
"unable to reproduce interpolated forward rate\n"
<< std::setprecision(10)
<< " calculated: " << io::rate(interpolatedForwardRate) << "\n"
<< " expected: " << io::rate(expectedForwardRate));
}
BOOST_AUTO_TEST_CASE(testForwardFlatInterpolationSpreadedForwardRate) {
BOOST_TEST_MESSAGE("Testing forward flat interpolation of forward rates between two dates...");
CommonVars vars;
auto dc = vars.termStructure->dayCounter();
Date today = Settings::instance().evaluationDate();
// Define the forward rate spreads
ext::shared_ptr<SimpleQuote> spread1 = ext::make_shared<SimpleQuote>(0.02);
ext::shared_ptr<SimpleQuote> spread2 = ext::make_shared<SimpleQuote>(0.03);
std::vector<Handle<Quote>> spreads = { Handle<Quote>(spread1), Handle<Quote>(spread2) };
// Define the spread dates
std::vector<Date> spreadDates = { vars.calendar.advance(today, 75, Days),
vars.calendar.advance(today, 260, Days) };
Date interpolationDate = vars.calendar.advance(today, 100, Days);
// Create the forward spreaded term structure using ForwardFlat interpolation
ext::shared_ptr<YieldTermStructure> spreadedTermStructure =
ext::make_shared<InterpolatedPiecewiseForwardSpreadedTermStructure<ForwardFlat>>(
Handle<YieldTermStructure>(vars.termStructure),
spreads, spreadDates);
Time t = dc.yearFraction(today, interpolationDate);
Rate expectedForwardRate = vars.termStructure->forwardRate(t, t, Continuous, NoFrequency, true) +
spread1->value();
Rate interpolatedForwardRate = spreadedTermStructure->forwardRate(t, t, Continuous, NoFrequency, true);
Real tolerance = 1e-9;
if (std::fabs(interpolatedForwardRate - expectedForwardRate) > tolerance)
BOOST_ERROR(
"unable to reproduce interpolated forward rate\n"
<< std::setprecision(10)
<< " calculated: " << io::rate(interpolatedForwardRate) << "\n"
<< " expected: " << io::rate(expectedForwardRate));
}
BOOST_AUTO_TEST_CASE(testBackwardFlatInterpolationSpreadedForwardRate) {
BOOST_TEST_MESSAGE("Testing backward flat interpolation of forward rates between two dates...");
CommonVars vars;
auto dc = vars.termStructure->dayCounter();
Date today = Settings::instance().evaluationDate();
// Define the forward rate spreads
ext::shared_ptr<SimpleQuote> spread1 = ext::make_shared<SimpleQuote>(0.02);
ext::shared_ptr<SimpleQuote> spread2 = ext::make_shared<SimpleQuote>(0.03);
ext::shared_ptr<SimpleQuote> spread3 = ext::make_shared<SimpleQuote>(0.04);
std::vector<Handle<Quote>> spreads = {
Handle<Quote>(spread1), Handle<Quote>(spread2), Handle<Quote>(spread3)
};
// Define the spread dates
std::vector<Date> spreadDates = { vars.calendar.advance(today, 100, Days),
vars.calendar.advance(today, 200, Days),
vars.calendar.advance(today, 300, Days) };
Date interpolationDate = vars.calendar.advance(today, 110, Days);
ext::shared_ptr<YieldTermStructure> spreadedTermStructure =
ext::make_shared<InterpolatedPiecewiseForwardSpreadedTermStructure<BackwardFlat>>(
Handle<YieldTermStructure>(vars.termStructure),
spreads, spreadDates);
Time t = dc.yearFraction(today, interpolationDate);
Rate expectedForwardRate = vars.termStructure->forwardRate(t, t, Continuous, NoFrequency, true) +
spread2->value();
Rate interpolatedForwardRate = spreadedTermStructure->forwardRate(t, t, Continuous, NoFrequency, true);
Real tolerance = 1e-9;
if (std::fabs(interpolatedForwardRate - expectedForwardRate) > tolerance)
BOOST_ERROR(
"unable to reproduce interpolated forward rate\n"
<< std::setprecision(10)
<< " calculated: " << io::rate(interpolatedForwardRate) << "\n"
<< " expected: " << io::rate(expectedForwardRate));
}
BOOST_AUTO_TEST_CASE(testBackwardFlatInterpolationZeroRate) {
BOOST_TEST_MESSAGE("Testing backward flat interpolation of zero rates between two dates...");
CommonVars vars;
auto dc = vars.termStructure->dayCounter();
Date today = Settings::instance().evaluationDate();
Date referenceDate = vars.termStructure->referenceDate();
// Define the zero rate spreads
ext::shared_ptr<SimpleQuote> spread1 = ext::make_shared<SimpleQuote>(0.02);
ext::shared_ptr<SimpleQuote> spread2 = ext::make_shared<SimpleQuote>(0.03);
ext::shared_ptr<SimpleQuote> spread3 = ext::make_shared<SimpleQuote>(0.04);
std::vector<Handle<Quote>> spreads = {
Handle<Quote>(spread1), Handle<Quote>(spread2), Handle<Quote>(spread3)
};
// Define the spread dates
std::vector<Date> spreadDates = { vars.calendar.advance(today, 100, Days),
vars.calendar.advance(today, 200, Days),
vars.calendar.advance(today, 300, Days) };
std::vector<Time> times(spreadDates.size());
std::vector<Real> spreadValues(spreadDates.size());
for (Size i = 0; i < spreadDates.size(); i++) {
times[i] = dc.yearFraction(referenceDate, spreadDates[i]);
spreadValues[i] = spreads[i]->value();
}
Date interpolationDate = vars.calendar.advance(today, 110, Days);
ext::shared_ptr<YieldTermStructure> spreadedTermStructure =
ext::make_shared<InterpolatedPiecewiseForwardSpreadedTermStructure<BackwardFlat>>(
Handle<YieldTermStructure>(vars.termStructure),
spreads, spreadDates);
BackwardFlatInterpolation bckFlatInterpolation(times.begin(), times.end(),
spreadValues.begin());
Time t = dc.yearFraction(today, interpolationDate);
Rate nonSpreadedRate = vars.termStructure->zeroRate(t, Continuous, NoFrequency, true);
Rate spreadPrimitive = bckFlatInterpolation.primitive(t, true) / t;
Rate expectedZeroRate = nonSpreadedRate + spreadPrimitive;
Rate interpolatedZeroRate = spreadedTermStructure->zeroRate(t, Continuous, NoFrequency, true);
Real tolerance = 1e-9;
if (std::fabs(interpolatedZeroRate - expectedZeroRate) > tolerance)
BOOST_ERROR(
"unable to reproduce interpolated zero rate\n"
<< std::setprecision(10)
<< " calculated: " << io::rate(interpolatedZeroRate) << "\n"
<< " expected: " << io::rate(expectedZeroRate));
}
BOOST_AUTO_TEST_CASE(testLinkToNullUnderlying) {
BOOST_TEST_MESSAGE(
"Testing that an underlying curve can be relinked to "
"a null underlying curve...");
CommonVars vars;
Handle<Quote> spread(ext::shared_ptr<Quote>(new SimpleQuote(0.01)));
RelinkableHandle<YieldTermStructure> underlying(vars.termStructure);
ext::shared_ptr<YieldTermStructure> spreaded(
new ZeroSpreadedTermStructure(underlying,spread));
// check that we can use it
spreaded->referenceDate();
// if we do this, the curve can't work anymore. But it shouldn't
// throw as long as we don't try to use it.
underlying.reset();
}
BOOST_AUTO_TEST_CASE(testCompositeZeroYieldStructures) {
BOOST_TEST_MESSAGE(
"Testing composite zero yield structures...");
Settings::instance().evaluationDate() = Date(10, Nov, 2017);
// First curve
std::vector<Date> dates = {Date(10, Nov, 2017), Date(13, Nov, 2017), Date(12, Feb, 2018),
Date(10, May, 2018), Date(10, Aug, 2018), Date(12, Nov, 2018),
Date(21, Dec, 2018), Date(15, Jan, 2020), Date(31, Mar, 2021),
Date(28, Feb, 2023), Date(21, Dec, 2026), Date(31, Jan, 2030),
Date(28, Feb, 2031), Date(31, Mar, 2036), Date(28, Feb, 2041),
Date(28, Feb, 2048), Date(31, Dec, 2141)};
std::vector<Rate> rates = {0.0655823213132524, 0.0655823213132524, 0.0699455024156877,
0.0799107139233497, 0.0813931951022577, 0.0841615820666691,
0.0501297919004145, 0.0823483583439658, 0.0860720030924466,
0.0922887604375688, 0.10588902278996, 0.117021968693922,
0.109824660896137, 0.109231572878364, 0.119218123236241,
0.128647300167664, 0.0506086995288751};
ext::shared_ptr<YieldTermStructure> termStructure1 = ext::shared_ptr<YieldTermStructure>(
new ForwardCurve(dates, rates, Actual365Fixed(), NullCalendar()));
// Second curve
dates = {Date(10, Nov, 2017), Date(13, Nov, 2017), Date(11, Dec, 2017), Date(12, Feb, 2018),
Date(10, May, 2018), Date(31, Jan, 2022), Date(7, Dec, 2023), Date(31, Jan, 2025),
Date(31, Mar, 2028), Date(7, Dec, 2033), Date(1, Feb, 2038), Date(2, Apr, 2046),
Date(2, Jan, 2051), Date(31, Dec, 2141)};
rates = {0.056656806197189, 0.056656806197189, 0.0419541633454473, 0.0286681050019797,
0.0148840226959593, 0.0246680238374363, 0.0255349067810599, 0.0298907184711927,
0.0263943927922053, 0.0291924526539802, 0.0270049276163556, 0.028775807327614,
0.0293567711641792, 0.010518655099659};
ext::shared_ptr<YieldTermStructure> termStructure2 = ext::shared_ptr<YieldTermStructure>(
new ForwardCurve(dates, rates, Actual365Fixed(), NullCalendar()));
typedef Real(*binary_f)(Real, Real);
ext::shared_ptr<YieldTermStructure> compoundCurve = ext::shared_ptr<YieldTermStructure>(
new CompositeZeroYieldStructure<binary_f>(Handle<YieldTermStructure>(termStructure1), Handle<YieldTermStructure>(termStructure2), sub));
// Expected values
dates = {Date(10, Nov, 2017), Date(15, Dec, 2017), Date(15, Jun, 2018), Date(15, Sep, 2029),
Date(15, Sep, 2038), Date(15, Mar, 2046), Date(15, Dec, 2141)};
rates = {0.00892551511527986, 0.0278755322562788, 0.0512001768603456, 0.0729941474263546,
0.0778333309498459, 0.0828451659139004, 0.0503573807521742};
Real tolerance = 1.0e-10;
for (Size i = 0; i < dates.size(); ++i) {
Rate actual = compoundCurve->zeroRate(dates[i], Actual365Fixed(), Continuous).rate();
Rate expected = rates[i];
if (std::fabs(actual - expected) > tolerance)
BOOST_ERROR(
"unable to reproduce zero yield rate from composite input curve\n"
<< std::fixed << std::setprecision(10)
<< " calculated: " << actual << "\n"
<< " expected: " << expected);
}
}
BOOST_AUTO_TEST_CASE(testNullTimeToReference) {
BOOST_TEST_MESSAGE("Testing zero-rate calculation for null time-to-reference...");
Rate rate = 0.02;
auto dayCount = Thirty360(Thirty360::BondBasis);
auto curve = FlatForward(Date(30, August, 2023), rate, dayCount);
// the time between August 30th and 31st is null for the 30/360 day count convention
Rate expected = rate;
Rate calculated = curve.zeroRate(Date(31, August, 2023), dayCount, Continuous);
Real tolerance = 1.0e-10;
if (std::fabs(calculated - expected) > tolerance)
BOOST_ERROR("unable to reproduce zero yield rate from curve\n"
<< std::fixed << std::setprecision(10)
<< " calculated: " << calculated << "\n"
<< " expected: " << expected);
}
BOOST_AUTO_TEST_SUITE_END()
BOOST_AUTO_TEST_SUITE_END()
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