1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
|
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2018 Tom Anderson
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/handle.hpp>
#include <ql/indexes/ibor/usdlibor.hpp>
#include <ql/instruments/forwardrateagreement.hpp>
#include <ql/quotes/simplequote.hpp>
#include <ql/termstructures/yield/piecewiseyieldcurve.hpp>
#include <ql/termstructures/yield/ratehelpers.hpp>
using namespace QuantLib;
using namespace boost::unit_test_framework;
BOOST_FIXTURE_TEST_SUITE(QuantLibTests, TopLevelFixture)
BOOST_AUTO_TEST_SUITE(ForwardRateAgreementTests)
BOOST_AUTO_TEST_CASE(testConstructionWithoutACurve) {
BOOST_TEST_MESSAGE("Testing forward rate agreement construction...");
Date today = QuantLib::Settings::instance().evaluationDate();
// set up the index
RelinkableHandle<YieldTermStructure> curveHandle;
ext::shared_ptr<IborIndex> index = ext::make_shared<USDLibor>(Period(3, Months), curveHandle);
// determine the settlement date for a FRA
Date settlementDate = index->fixingCalendar().advance(today, index->fixingDays() * Days);
// set up quotes with no values
std::vector<ext::shared_ptr<SimpleQuote> > quotes = {
ext::make_shared<SimpleQuote>(),
ext::make_shared<SimpleQuote>(),
ext::make_shared<SimpleQuote>()
};
#ifdef QL_USE_INDEXED_COUPON
bool useIndexedFra = false;
#else
bool useIndexedFra = true;
#endif
// set up the curve (this bit is a very rough sketch - i'm actually using swaps !)
std::vector<ext::shared_ptr<RateHelper> > helpers;
helpers.push_back(ext::make_shared<FraRateHelper>(Handle<Quote>(quotes[0]),
Period(1, Years), index,
Pillar::LastRelevantDate, Date(),
useIndexedFra));
helpers.push_back(ext::make_shared<FraRateHelper>(Handle<Quote>(quotes[1]),
Period(2, Years), index,
Pillar::LastRelevantDate, Date(),
useIndexedFra));
helpers.push_back(ext::make_shared<FraRateHelper>(Handle<Quote>(quotes[2]),
Period(3, Years), index,
Pillar::LastRelevantDate, Date(),
useIndexedFra));
ext::shared_ptr<PiecewiseYieldCurve<ForwardRate, QuantLib::Cubic> > curve =
ext::make_shared<PiecewiseYieldCurve<ForwardRate, QuantLib::Cubic> >(
today, helpers, index->dayCounter());
curveHandle.linkTo(curve);
// set up the instrument to price
// check the constructor without maturity date
// inferring maturity date from the index
ForwardRateAgreement fra(index,
settlementDate + Period(12, Months),
Position::Long,
0,
1,
curveHandle);
// finally put values in the quotes
quotes[0]->setValue(0.01);
quotes[1]->setValue(0.02);
quotes[2]->setValue(0.03);
Real rate = fra.forwardRate();
if (std::fabs(rate - 0.01) > 1e-6) {
BOOST_ERROR("grid creation failed for FRA without maturityDate, got rate " << rate << " expected " << 0.01);
}
// check the constructor with explicit maturity date
ForwardRateAgreement fra2(index,
settlementDate + Period(12, Months),
settlementDate + Period(15, Months),
Position::Long,
0,
1,
curveHandle);
Real rate2 = fra2.forwardRate();
if (std::fabs(rate2 - 0.01) > 1e-6) {
BOOST_ERROR("grid creation failed for FRA with maturityDate, got rate " << rate << " expected " << 0.01);
}
}
BOOST_AUTO_TEST_SUITE_END()
BOOST_AUTO_TEST_SUITE_END()
|
