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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2013 Peter Caspers
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/experimental/risk/creditriskplus.hpp>
#include <ql/math/comparison.hpp>
using namespace QuantLib;
using namespace boost::unit_test_framework;
QL_DEPRECATED_DISABLE_WARNING
BOOST_FIXTURE_TEST_SUITE(QuantLibTests, TopLevelFixture)
BOOST_AUTO_TEST_SUITE(CreditRiskPlusTests)
BOOST_AUTO_TEST_CASE(testReferenceValues) {
BOOST_TEST_MESSAGE(
"Testing extended credit risk plus model against reference values...");
static const Real tol = 1E-8;
/* Reference Values are taken from [1] Integrating Correlations, Risk,
July 1999, table A, table B and figure 1 */
std::vector<Real> sector1Exposure(1000, 1.0);
std::vector<Real> sector1Pd(1000, 0.04);
std::vector<Size> sector1Sector(1000, 0);
std::vector<Real> sector2Exposure(1000, 2.0);
std::vector<Real> sector2Pd(1000, 0.02);
std::vector<Size> sector2Sector(1000, 1);
std::vector<Real> exposure;
exposure.insert(exposure.end(), sector1Exposure.begin(),
sector1Exposure.end());
exposure.insert(exposure.end(), sector2Exposure.begin(),
sector2Exposure.end());
std::vector<Real> pd;
pd.insert(pd.end(), sector1Pd.begin(), sector1Pd.end());
pd.insert(pd.end(), sector2Pd.begin(), sector2Pd.end());
std::vector<Size> sector;
sector.insert(sector.end(), sector1Sector.begin(), sector1Sector.end());
sector.insert(sector.end(), sector2Sector.begin(), sector2Sector.end());
std::vector<Real> relativeDefaultVariance;
relativeDefaultVariance.push_back(0.75 * 0.75);
relativeDefaultVariance.push_back(0.75 * 0.75);
Matrix rho(2, 2);
rho[0][0] = rho[1][1] = 1.0;
rho[0][1] = rho[1][0] = 0.50;
Real unit = 0.1;
CreditRiskPlus cr(exposure, pd, sector, relativeDefaultVariance, rho, unit);
if ( std::fabs(cr.sectorExposures()[0] - 1000.0) > tol )
BOOST_FAIL("failed to reproduce sector 1 exposure ("
<< cr.sectorExposures()[0] << ", should be 1000)");
if ( std::fabs(cr.sectorExposures()[1] - 2000.0) > tol )
BOOST_FAIL("failed to reproduce sector 2 exposure ("
<< cr.sectorExposures()[1] << ", should be 2000)");
if ( std::fabs(cr.sectorExpectedLoss()[0] - 40.0) > tol )
BOOST_FAIL("failed to reproduce sector 1 expected loss ("
<< cr.sectorExpectedLoss()[0] << ", should be 40)");
if ( std::fabs(cr.sectorExpectedLoss()[1] - 40.0) > tol )
BOOST_FAIL("failed to reproduce sector 2 expected loss ("
<< cr.sectorExpectedLoss()[1] << ", should be 40)");
if ( std::fabs(cr.sectorUnexpectedLoss()[0] - 30.7) > 0.05 )
BOOST_FAIL("failed to reproduce sector 1 unexpected loss ("
<< cr.sectorUnexpectedLoss()[0] << ", should be 30.7)");
if ( std::fabs(cr.sectorUnexpectedLoss()[1] - 31.3) > 0.05 )
BOOST_FAIL("failed to reproduce sector 2 unexpected loss ("
<< cr.sectorUnexpectedLoss()[1] << ", should be 31.3)");
if ( std::fabs(cr.exposure() - 3000.0) > tol )
BOOST_FAIL("failed to reproduce overall exposure ("
<< cr.exposure() << ", should be 3000)");
if ( std::fabs(cr.expectedLoss() - 80.0) > tol )
BOOST_FAIL("failed to reproduce overall expected loss ("
<< cr.expectedLoss() << ", should be 80)");
if ( std::fabs(cr.unexpectedLoss() - 53.1) > 0.01 )
BOOST_FAIL("failed to reproduce overall unexpected loss ("
<< cr.unexpectedLoss() << ", should be 53.1)");
// the overall relative default variance in the paper seems generously rounded,
// but since EL and UL is matching closely and the former is retrieved
// as a simple expression in the latter, we do not suspect a problem in our
// calculation
if ( std::fabs(cr.relativeDefaultVariance() - 0.65 * 0.65) > 0.001 )
BOOST_FAIL("failed to reproduce overall relative default variance ("
<< cr.relativeDefaultVariance() << ", should be 0.4225)");
if ( std::fabs(cr.lossQuantile(0.99) - 250) > 0.5 )
BOOST_FAIL("failed to reproduce overall 99 percentile ("
<< cr.lossQuantile(0.99) << ", should be 250)");
}
BOOST_AUTO_TEST_SUITE_END()
BOOST_AUTO_TEST_SUITE_END()
QL_DEPRECATED_ENABLE_WARNING
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