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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2023 Marcin Rybacki
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/currencies/europe.hpp>
#include <ql/indexes/equityindex.hpp>
#include <ql/time/calendars/target.hpp>
#include <ql/quotes/simplequote.hpp>
#include <string>
using namespace QuantLib;
using namespace boost::unit_test_framework;
BOOST_FIXTURE_TEST_SUITE(QuantLibTests, TopLevelFixture)
BOOST_AUTO_TEST_SUITE(EquityIndexTests)
struct CommonVars {
Date today;
Calendar calendar;
DayCounter dayCount;
ext::shared_ptr<EquityIndex> equityIndex;
RelinkableHandle<YieldTermStructure> interestHandle;
RelinkableHandle<YieldTermStructure> dividendHandle;
ext::shared_ptr<Quote> spot;
RelinkableHandle<Quote> spotHandle;
// utilities
CommonVars(bool addTodaysFixing = true) {
calendar = TARGET();
dayCount = Actual365Fixed();
equityIndex = ext::make_shared<EquityIndex>("eqIndex", calendar, EURCurrency(), interestHandle,
dividendHandle, spotHandle);
today = calendar.adjust(Date(27, January, 2023));
if (addTodaysFixing)
equityIndex->addFixing(today, 8690.0);
Settings::instance().evaluationDate() = today;
interestHandle.linkTo(flatRate(0.03, dayCount));
dividendHandle.linkTo(flatRate(0.01, dayCount));
spot = ext::make_shared<SimpleQuote>(8700.0);
spotHandle.linkTo(spot);
}
};
BOOST_AUTO_TEST_CASE(testTodaysFixing) {
BOOST_TEST_MESSAGE("Testing today's fixing...");
CommonVars vars;
const Real tolerance = 1.0e-8;
const Real historicalIndex = 8690.0;
Real todaysFixing = vars.equityIndex->fixing(vars.today);
if ((std::fabs(todaysFixing - historicalIndex) > tolerance))
BOOST_ERROR("today's fixing should be equal to historical index\n"
<< " actual fixing: " << todaysFixing << "\n"
<< " expected fixing: " << historicalIndex << "\n");
const Real spot = 8700.0;
Real forecastedFixing = vars.equityIndex->fixing(vars.today, true);
if ((std::fabs(forecastedFixing - spot) > tolerance))
BOOST_ERROR("today's fixing forecast should be equal to spot\n"
<< " actual forecast: " << forecastedFixing << "\n"
<< " expected forecast: " << spot << "\n");
}
BOOST_AUTO_TEST_CASE(testTodaysFixingWithSpotAsProxy) {
BOOST_TEST_MESSAGE("Testing today's fixing with spot as proxy...");
CommonVars vars(false);
const Real tolerance = 1.0e-8;
const Real spot = 8700.0;
Real fixing = vars.equityIndex->fixing(vars.today);
if ((std::fabs(fixing - spot) > tolerance))
BOOST_ERROR("today's fixing should be equal to spot when historical index not added\n"
<< " actual fixing: " << fixing << "\n"
<< " expected fixing: " << spot << "\n");
}
BOOST_AUTO_TEST_CASE(testFixingForecast) {
BOOST_TEST_MESSAGE("Testing fixing forecast...");
CommonVars vars;
const Real tolerance = 1.0e-8;
Date forecastedDate(20, May, 2030);
Real forecast = vars.equityIndex->fixing(forecastedDate);
Real expectedForecast = vars.spotHandle->value() *
vars.dividendHandle->discount(forecastedDate) /
vars.interestHandle->discount(forecastedDate);
if ((std::fabs(forecast - expectedForecast) > tolerance))
BOOST_ERROR("could not replicate index forecast\n"
<< " actual forecast: " << forecast << "\n"
<< " expected forecast: " << expectedForecast << "\n");
}
BOOST_AUTO_TEST_CASE(testFixingForecastWithoutDividend) {
BOOST_TEST_MESSAGE("Testing fixing forecast without dividend...");
CommonVars vars;
const Real tolerance = 1.0e-8;
Date forecastedDate(20, May, 2030);
auto equityIndexExDiv =
vars.equityIndex->clone(vars.interestHandle, Handle<YieldTermStructure>(), vars.spotHandle);
Real forecast = equityIndexExDiv->fixing(forecastedDate);
Real expectedForecast =
vars.spotHandle->value() / vars.interestHandle->discount(forecastedDate);
if ((std::fabs(forecast - expectedForecast) > tolerance))
BOOST_ERROR("could not replicate index forecast without dividend\n"
<< " actual forecast: " << forecast << "\n"
<< " expected forecast: " << expectedForecast << "\n");
}
BOOST_AUTO_TEST_CASE(testFixingForecastWithoutSpot) {
BOOST_TEST_MESSAGE("Testing fixing forecast without spot handle...");
CommonVars vars;
const Real tolerance = 1.0e-8;
Date forecastedDate(20, May, 2030);
auto equityIndexExSpot =
vars.equityIndex->clone(vars.interestHandle, vars.dividendHandle, Handle<Quote>());
Real forecast = equityIndexExSpot->fixing(forecastedDate);
Real expectedForecast = equityIndexExSpot->pastFixing(vars.today) *
vars.dividendHandle->discount(forecastedDate) /
vars.interestHandle->discount(forecastedDate);
if ((std::fabs(forecast - expectedForecast) > tolerance))
BOOST_ERROR("could not replicate index forecast without spot handle\n"
<< " actual forecast: " << forecast << "\n"
<< " expected forecast: " << expectedForecast << "\n");
}
BOOST_AUTO_TEST_CASE(testFixingForecastWithoutSpotAndHistoricalFixing) {
BOOST_TEST_MESSAGE("Testing fixing forecast without spot handle and historical fixing...");
CommonVars vars(false);
Date forecastedDate(20, May, 2030);
auto equityIndexExSpot =
vars.equityIndex->clone(vars.interestHandle, vars.dividendHandle, Handle<Quote>());
BOOST_CHECK_EXCEPTION(
equityIndexExSpot->fixing(forecastedDate), Error,
ExpectedErrorMessage(
"Cannot forecast equity index, missing both spot and historical index"));
}
BOOST_AUTO_TEST_CASE(testSpotChange) {
BOOST_TEST_MESSAGE("Testing spot change...");
CommonVars vars;
const Real tolerance = 1.0e-8;
ext::shared_ptr<Quote> newSpot = ext::make_shared<SimpleQuote>(9000.0);
vars.spotHandle.linkTo(newSpot);
if ((std::fabs(newSpot->value() - vars.equityIndex->spot()->value()) > tolerance))
BOOST_ERROR("could not re-link spot quote to new value\n"
<< " actual spot: " << vars.equityIndex->spot()->value() << "\n"
<< " expected spot: " << newSpot->value() << "\n");
vars.spotHandle.linkTo(vars.spot);
if ((std::fabs(vars.spot->value() - vars.equityIndex->spot()->value()) > tolerance))
BOOST_ERROR("could not re-link spot quote back to old value\n"
<< " actual spot: " << vars.equityIndex->spot()->value() << "\n"
<< " expected spot: " << vars.spot->value() << "\n");
}
BOOST_AUTO_TEST_CASE(testErrorWhenInvalidFixingDate) {
BOOST_TEST_MESSAGE("Testing error when invalid fixing date is used...");
CommonVars vars;
BOOST_CHECK_EXCEPTION(
vars.equityIndex->fixing(Date(1, January, 2023)), Error,
ExpectedErrorMessage("Fixing date January 1st, 2023 is not valid"));
}
BOOST_AUTO_TEST_CASE(testErrorWhenFixingMissing) {
BOOST_TEST_MESSAGE("Testing error when required fixing is missing...");
CommonVars vars;
BOOST_CHECK_EXCEPTION(
vars.equityIndex->fixing(Date(2, January, 2023)), Error,
ExpectedErrorMessage("Missing eqIndex fixing for January 2nd, 2023"));
}
BOOST_AUTO_TEST_CASE(testErrorWhenInterestHandleMissing) {
BOOST_TEST_MESSAGE("Testing error when interest handle is missing...");
CommonVars vars;
Date forecastedDate(20, May, 2030);
auto equityIndexExDiv =
vars.equityIndex->clone(
Handle<YieldTermStructure>(), Handle<YieldTermStructure>(), Handle<Quote>());
BOOST_CHECK_EXCEPTION(equityIndexExDiv->fixing(forecastedDate), Error,
ExpectedErrorMessage(
"null interest rate term structure set to this instance of eqIndex"));
}
BOOST_AUTO_TEST_CASE(testFixingObservability) {
BOOST_TEST_MESSAGE("Testing observability of index fixings...");
CommonVars vars;
ext::shared_ptr<EquityIndex> i1 =
ext::make_shared<EquityIndex>("observableEquityIndex", vars.calendar, EURCurrency());
Flag flag;
flag.registerWith(i1);
flag.lower();
ext::shared_ptr<Index> i2 =
ext::make_shared<EquityIndex>("observableEquityIndex", vars.calendar, EURCurrency());
i2->addFixing(vars.today, 100.0);
if (!flag.isUp())
BOOST_FAIL("Observer was not notified of added equity index fixing");
}
BOOST_AUTO_TEST_CASE(testNoErrorIfTodayIsNotBusinessDay) {
BOOST_TEST_MESSAGE("Testing that no error is thrown if today is not a business day...");
CommonVars vars;
Date today(28, January, 2023);
Date forecastedDate(20, May, 2030);
Settings::instance().evaluationDate() = today;
auto equityIndex =
vars.equityIndex->clone(vars.interestHandle, vars.dividendHandle, Handle<Quote>());
BOOST_REQUIRE_NO_THROW(vars.equityIndex->fixing(forecastedDate));
}
BOOST_AUTO_TEST_SUITE_END()
BOOST_AUTO_TEST_SUITE_END()
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