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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2020 StatPro Italia srl
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/indexes/bmaindex.hpp>
#include <ql/indexes/ibor/custom.hpp>
#include <ql/indexes/ibor/cdi.hpp>
#include <ql/indexes/ibor/euribor.hpp>
#include <ql/termstructures/yield/flatforward.hpp>
#include <ql/time/calendars/bespokecalendar.hpp>
#include <ql/time/calendars/brazil.hpp>
#include <ql/time/calendars/target.hpp>
#include <ql/time/daycounters/actual360.hpp>
#include <ql/utilities/dataformatters.hpp>
#include <ql/quotes/simplequote.hpp>
#include <boost/algorithm/string/case_conv.hpp>
using namespace QuantLib;
using namespace boost::unit_test_framework;
BOOST_FIXTURE_TEST_SUITE(QuantLibTests, TopLevelFixture)
BOOST_AUTO_TEST_SUITE(IndexTests)
BOOST_AUTO_TEST_CASE(testFixingObservability) {
BOOST_TEST_MESSAGE("Testing observability of index fixings...");
ext::shared_ptr<InterestRateIndex> i1 = ext::make_shared<Euribor6M>();
ext::shared_ptr<InterestRateIndex> i2 = ext::make_shared<BMAIndex>();
Flag f1;
f1.registerWith(i1);
f1.lower();
Flag f2;
f2.registerWith(i2);
f2.lower();
Date today = Date::todaysDate();
ext::shared_ptr<Index> euribor = ext::make_shared<Euribor6M>();
Date d1 = today;
while (!euribor->isValidFixingDate(d1))
d1++;
euribor->addFixing(d1, -0.003);
if (!f1.isUp())
BOOST_FAIL("Observer was not notified of added Euribor fixing");
ext::shared_ptr<Index> bma = ext::make_shared<BMAIndex>();
Date d2 = today;
while (!bma->isValidFixingDate(d2))
d2++;
bma->addFixing(d2, 0.01);
if (!f2.isUp())
BOOST_FAIL("Observer was not notified of added BMA fixing");
}
BOOST_AUTO_TEST_CASE(testFixingHasHistoricalFixing) {
BOOST_TEST_MESSAGE("Testing if index has historical fixings...");
auto testCase = [](const std::string& indexName, const bool& expected, const bool& testResult) {
if (expected != testResult) {
BOOST_FAIL("Historical fixing " << (testResult ? "" : "not ") << "found for "
<< indexName << ".");
}
};
std::string name;
auto fixingFound = true;
auto fixingNotFound = false;
auto euribor3M = ext::make_shared<Euribor3M>();
auto euribor6M = ext::make_shared<Euribor6M>();
auto euribor6M_a = ext::make_shared<Euribor6M>();
Date today = Settings::instance().evaluationDate();
while (!euribor6M->isValidFixingDate(today))
today--;
euribor6M->addFixing(today, 0.01);
name = euribor3M->name();
testCase(name, fixingNotFound, euribor3M->hasHistoricalFixing(today));
name = euribor6M->name();
testCase(name, fixingFound, euribor6M->hasHistoricalFixing(today));
testCase(name, fixingFound, euribor6M_a->hasHistoricalFixing(today));
IndexManager::instance().clearHistories();
name = euribor3M->name();
testCase(name, fixingNotFound, euribor3M->hasHistoricalFixing(today));
name = euribor6M->name();
testCase(name, fixingNotFound, euribor6M->hasHistoricalFixing(today));
testCase(name, fixingNotFound, euribor6M_a->hasHistoricalFixing(today));
}
BOOST_AUTO_TEST_CASE(testTenorNormalization) {
BOOST_TEST_MESSAGE("Testing that interest-rate index tenor is normalized correctly...");
auto i12m = IborIndex("foo", 12*Months, 2, Currency(),
TARGET(), Following, false, Actual360());
auto i1y = IborIndex("foo", 1*Years, 2, Currency(),
TARGET(), Following, false, Actual360());
if (i12m.name() != i1y.name())
BOOST_ERROR("12M index and 1Y index yield different names");
auto i6d = IborIndex("foo", 6*Days, 2, Currency(),
TARGET(), Following, false, Actual360());
auto i7d = IborIndex("foo", 7*Days, 2, Currency(),
TARGET(), Following, false, Actual360());
Date testDate(28, April, 2023);
Date maturity6d = i6d.maturityDate(testDate);
Date maturity7d = i7d.maturityDate(testDate);
if (maturity6d >= maturity7d) {
BOOST_ERROR("inconsistent maturity dates and tenors"
<< "\n maturity date for 6-days index: " << maturity6d
<< "\n maturity date for 7-days index: " << maturity7d);
}
}
BOOST_AUTO_TEST_CASE(testCustomIborIndex) {
BOOST_TEST_MESSAGE("Testing CustomIborIndex...");
auto fixCal = BespokeCalendar("Fixings");
fixCal.addHoliday(Date(8, January, 2025));
auto valCal = BespokeCalendar("Value");
valCal.addHoliday(Date(21, January, 2025));
auto matCal = BespokeCalendar("Maturity");
matCal.addHoliday(Date(7, January, 2025));
matCal.addHoliday(Date(15, January, 2025));
matCal.addHoliday(Date(23, April, 2025));
matCal.addHoliday(Date(30, April, 2025));
auto ibor = CustomIborIndex(
"Custom Ibor", 3*Months, 2, Currency(), fixCal, valCal, matCal, // NOLINT(cppcoreguidelines-slicing)
ModifiedFollowing, true, Actual360()
);
auto iborClone = ibor.clone(Handle<YieldTermStructure>());
for (IborIndex* index : {static_cast<IborIndex*>(&ibor), iborClone.get()}) {
auto* as_custom = dynamic_cast<CustomIborIndex*>(index);
BOOST_CHECK_EQUAL(index->fixingCalendar(), fixCal);
BOOST_CHECK_EQUAL(as_custom->valueCalendar(), valCal);
BOOST_CHECK_EQUAL(as_custom->maturityCalendar(), matCal);
BOOST_CHECK_EXCEPTION(
index->valueDate(Date(8, January, 2025)), Error,
ExpectedErrorMessage("Fixing date January 8th, 2025 is not valid"));
BOOST_CHECK_EQUAL(index->valueDate(Date(7, January, 2025)),
Date(9, January, 2025));
BOOST_CHECK_EQUAL(index->valueDate(Date(13, January, 2025)),
Date(16, January, 2025));
BOOST_CHECK_EQUAL(index->valueDate(Date(20, January, 2025)),
Date(23, January, 2025));
BOOST_CHECK_EQUAL(index->fixingDate(Date(23, January, 2025)),
Date(20, January, 2025));
BOOST_CHECK_EQUAL(index->fixingDate(Date(16, January, 2025)),
Date(14, January, 2025));
BOOST_CHECK_EQUAL(index->fixingDate(Date(10, January, 2025)),
Date(7, January, 2025));
BOOST_CHECK_EQUAL(index->maturityDate(Date(23, January, 2025)),
Date(24, April, 2025));
BOOST_CHECK_EQUAL(index->maturityDate(Date(30, January, 2025)),
Date(29, April, 2025));
BOOST_CHECK_EQUAL(index->maturityDate(Date(28, February, 2025)),
Date(31, May, 2025));
}
}
BOOST_AUTO_TEST_CASE(testCdiIndex) {
BOOST_TEST_MESSAGE("Testing Brazil CDI forecastFixing...");
Date today = Settings::instance().evaluationDate();
auto flatRate = ext::make_shared<SimpleQuote>(0.05);
Handle<YieldTermStructure> ts(
ext::make_shared<FlatForward>(today, Handle<Quote>(flatRate), Business252()));
auto cdi = ext::make_shared<Cdi>(ts);
auto testFixingDate = Brazil(Brazil::Settlement).advance(today, Period(1, Months));
auto forecast = cdi->forecastFixing(testFixingDate);
DiscountFactor discountStart = ts->discount(testFixingDate);
DiscountFactor discountEnd = ts->discount(
Brazil(Brazil::Settlement).advance(testFixingDate, Period(1, Days)));
auto approx = pow(discountStart / discountEnd, 252.0) - 1.0;
QL_ASSERT(std::fabs(0.05127 - forecast) < 1e-5, "discrepancy in fixing forecast computation\n");
QL_ASSERT(std::fabs(approx - forecast) < 1e-6, "discrepancy in fixing forecast computation with approximation\n");
}
BOOST_AUTO_TEST_SUITE_END()
BOOST_AUTO_TEST_SUITE_END()
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