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/*
Copyright (C) 2023 Nathaniel Brough
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
<https://www.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 <ql/cashflows/fixedratecoupon.hpp>
#include <ql/instruments/bonds/amortizingfixedratebond.hpp>
#include <ql/settings.hpp>
#include <ql/time/calendars/brazil.hpp>
#include <ql/time/calendars/nullcalendar.hpp>
#include <ql/time/calendars/unitedstates.hpp>
#include <ql/time/daycounters/actual360.hpp>
#include <ql/time/daycounters/actualactual.hpp>
#include <ql/time/daycounters/business252.hpp>
#include <cassert>
#include <fuzzer/FuzzedDataProvider.h>
#include <limits>
#define _unused(x) ((void)(x))
using namespace QuantLib;
std::vector<Real> fuzzedRates(FuzzedDataProvider& fdp, const size_t length) {
std::vector<Real> result;
for (size_t i = 0; i < length; i++) {
result.push_back(fdp.ConsumeProbability<Real>());
}
return result;
}
extern "C" int LLVMFuzzerTestOneInput(const uint8_t* Data, size_t Size) {
FuzzedDataProvider fdp(Data, Size);
// Ensure settings are reset each iteration of the fuzzing loop.
// NOTE: this class manages the settings singleton using default
// (con/des)tructors.
SavedSettings saved_settings;
constexpr size_t kMaxSize = 512;
auto length = fdp.ConsumeIntegralInRange<size_t>(0, kMaxSize);
Date refDate = Settings::instance().evaluationDate();
auto rates = fuzzedRates(fdp, length);
Frequency freq = Monthly;
for (size_t i = 0; i < length; ++i) {
auto schedule = sinkingSchedule(refDate, Period(30, Years), freq, NullCalendar());
auto notionals = sinkingNotionals(Period(30, Years), freq, rates[i], 100.0);
AmortizingFixedRateBond myBond(0, notionals, schedule, {rates[i]},
ActualActual(ActualActual::ISMA));
Leg cashflows = myBond.cashflows();
Real lastTotalAmount = 0.0;
for (size_t k = 0; k < cashflows.size() / 2; ++k) {
Real coupon = cashflows[2 * k]->amount();
Real principal = cashflows[2 * k + 1]->amount();
Real totalAmount = coupon + principal;
// Assert invariants, these should always be true.
assert(coupon > 0.0);
assert(principal > 0.0);
assert(totalAmount > lastTotalAmount);
lastTotalAmount = totalAmount;
_unused(lastTotalAmount);
}
}
return 0;
}
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