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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
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 "toplevelfixture.hpp"
#include "utilities.hpp"
#include <ql/time/businessdayconvention.hpp>
#include <ql/time/calendars/southafrica.hpp>
#include <ql/time/daycounter.hpp>
#include <ql/time/period.hpp>
#include <utility>
using namespace QuantLib;
using namespace boost::unit_test_framework;
BOOST_FIXTURE_TEST_SUITE(QuantLibTests, TopLevelFixture)
BOOST_AUTO_TEST_SUITE(BusinessDayConventionTests)
struct SingleCase {
SingleCase(Calendar calendar,
const BusinessDayConvention& convention,
const Date& start,
const Period& period,
const bool endOfMonth,
Date result)
: calendar(std::move(calendar)), convention(convention), start(start), period(period),
endOfMonth(endOfMonth), result(result) {}
Calendar calendar;
BusinessDayConvention convention;
Date start;
Period period;
bool endOfMonth;
Date result;
};
BOOST_AUTO_TEST_CASE(testConventions) {
BOOST_TEST_MESSAGE("Testing business day conventions...");
SingleCase testCases[] = {
// Following
SingleCase(SouthAfrica(), Following, Date(3,February,2015), Period(1,Months), false, Date(3,March,2015)),
SingleCase(SouthAfrica(), Following, Date(3,February,2015), Period(4,Days), false, Date(9,February,2015)),
SingleCase(SouthAfrica(), Following, Date(31,January,2015), Period(1,Months), true, Date(27,February,2015)),
SingleCase(SouthAfrica(), Following, Date(31,January,2015), Period(1,Months), false, Date(2,March,2015)),
//ModifiedFollowing
SingleCase(SouthAfrica(), ModifiedFollowing, Date(3,February,2015), Period(1,Months), false, Date(3,March,2015)),
SingleCase(SouthAfrica(), ModifiedFollowing, Date(3,February,2015), Period(4,Days), false, Date(9,February,2015)),
SingleCase(SouthAfrica(), ModifiedFollowing, Date(31,January,2015), Period(1,Months), true, Date(27,February,2015)),
SingleCase(SouthAfrica(), ModifiedFollowing, Date(31,January,2015), Period(1,Months), false, Date(27,February,2015)),
SingleCase(SouthAfrica(), ModifiedFollowing, Date(25,March,2015), Period(1,Months), false, Date(28,April,2015)),
SingleCase(SouthAfrica(), ModifiedFollowing, Date(7,February,2015), Period(1,Months), false, Date(9,March,2015)),
//Preceding
SingleCase(SouthAfrica(), Preceding, Date(3,March,2015), Period(-1,Months), false, Date(3,February,2015)),
SingleCase(SouthAfrica(), Preceding, Date(3,February,2015), Period(-2,Days), false, Date(30,January,2015)),
SingleCase(SouthAfrica(), Preceding, Date(1,March,2015), Period(-1,Months), true, Date(30,January,2015)),
SingleCase(SouthAfrica(), Preceding, Date(1,March,2015), Period(-1,Months), false, Date(30,January,2015)),
//ModifiedPreceding
SingleCase(SouthAfrica(), ModifiedPreceding, Date(3,March,2015), Period(-1,Months), false, Date(3,February,2015)),
SingleCase(SouthAfrica(), ModifiedPreceding, Date(3,February,2015), Period(-2,Days), false, Date(30,January,2015)),
SingleCase(SouthAfrica(), ModifiedPreceding, Date(1,March,2015), Period(-1,Months), true, Date(2,February,2015)),
SingleCase(SouthAfrica(), ModifiedPreceding, Date(1,March,2015), Period(-1,Months), false, Date(2,February,2015)),
//Unadjusted
SingleCase(SouthAfrica(), Unadjusted, Date(3,February,2015), Period(1,Months), false, Date(3,March,2015)),
SingleCase(SouthAfrica(), Unadjusted, Date(3,February,2015), Period(4,Days), false, Date(9,February,2015)),
SingleCase(SouthAfrica(), Unadjusted, Date(31,January,2015), Period(1,Months), true, Date(28,February,2015)),
SingleCase(SouthAfrica(), Unadjusted, Date(30,January,2015), Period(1,Months), true, Date(28,February,2015)),
SingleCase(SouthAfrica(), Unadjusted, Date(27,February,2015), Period(1,Months), true, Date(27,March,2015)),
SingleCase(SouthAfrica(), Unadjusted, Date(31,January,2015), Period(1,Months), false, Date(28,February,2015)),
//HalfMonthModifiedFollowing
SingleCase(SouthAfrica(), HalfMonthModifiedFollowing, Date(3,February,2015), Period(1,Months), false, Date(3,March,2015)),
SingleCase(SouthAfrica(), HalfMonthModifiedFollowing, Date(3,February,2015), Period(4,Days), false, Date(9,February,2015)),
SingleCase(SouthAfrica(), HalfMonthModifiedFollowing, Date(31,January,2015), Period(1,Months), true, Date(27,February,2015)),
SingleCase(SouthAfrica(), HalfMonthModifiedFollowing, Date(31,January,2015), Period(1,Months), false, Date(27,February,2015)),
SingleCase(SouthAfrica(), HalfMonthModifiedFollowing, Date(3,January,2015), Period(1,Weeks), false, Date(12,January,2015)),
SingleCase(SouthAfrica(), HalfMonthModifiedFollowing, Date(21,March,2015), Period(1,Weeks), false, Date(30,March,2015)),
SingleCase(SouthAfrica(), HalfMonthModifiedFollowing, Date(7,February,2015), Period(1,Months), false, Date(9,March,2015)),
//Nearest
SingleCase(SouthAfrica(), Nearest, Date(3,February,2015), Period(1,Months), false, Date(3,March,2015)),
SingleCase(SouthAfrica(), Nearest, Date(3,February,2015), Period(4,Days), false, Date(9,February,2015)),
SingleCase(SouthAfrica(), Nearest, Date(16,April,2015), Period(1,Months), false, Date(15,May,2015)),
SingleCase(SouthAfrica(), Nearest, Date(17,April,2015), Period(1,Months), false, Date(18,May,2015)),
SingleCase(SouthAfrica(), Nearest, Date(4,March,2015), Period(1,Months), false, Date(2,April,2015)),
SingleCase(SouthAfrica(), Nearest, Date(2,April,2015), Period(1,Months), false, Date(4,May,2015))
};
Size n = sizeof(testCases)/sizeof(SingleCase);
for (Size i=0; i<n; i++) {
Calendar calendar(testCases[i].calendar);
Date result = calendar.advance(
testCases[i].start,
testCases[i].period,
testCases[i].convention,
testCases[i].endOfMonth);
BOOST_CHECK_MESSAGE(result == testCases[i].result,
"\ncase " << i << ":\n" //<< j << " ("<< desc << "): "
<< "start date: " << testCases[i].start << "\n"
<< "calendar: " << calendar << "\n"
<< "period: " << testCases[i].period << ", end of month: " << testCases[i].endOfMonth << "\n"
<< "convention: " << testCases[i].convention << "\n"
<< "expected: " << testCases[i].result << " vs. actual: " << result);
}
}
BOOST_AUTO_TEST_SUITE_END()
BOOST_AUTO_TEST_SUITE_END()
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