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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2004 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/money.hpp>
#include <ql/currencies/europe.hpp>
#include <ql/currencies/america.hpp>
#include <ql/currencies/exchangeratemanager.hpp>
#include <ql/math/comparison.hpp>
using namespace QuantLib;
using namespace boost::unit_test_framework;
BOOST_FIXTURE_TEST_SUITE(QuantLibTests, TopLevelFixture)
BOOST_AUTO_TEST_SUITE(MoneyTests)
bool IsSameCurrencyAndValuesAreClose(const Money& lhs, const Money& rhs) {
return (lhs.currency() == rhs.currency())
&& std::abs(lhs.value() - rhs.value()) < 0.01;
}
const Currency EUR = EURCurrency();
const Currency GBP = GBPCurrency();
const Currency USD = USDCurrency();
const ExchangeRate eur_usd = ExchangeRate(EUR, USD, 1.2042);
const ExchangeRate eur_gbp = ExchangeRate(EUR, GBP, 0.6612);
BOOST_AUTO_TEST_CASE(testNone) {
BOOST_TEST_MESSAGE("Testing money arithmetic without conversions...");
const Money m1 = 50000.0 * EUR;
const Money m2 = 100000.0 * EUR;
const Money m3 = 500000.0 * EUR;
Money::Settings::instance().conversionType() = Money::NoConversion;
const Money calculated = m1*3.0 + 2.5*m2 - m3/5.0 + m1 * (m2 / m3);
const Decimal x = m1.value() * 3.0
+ 2.5 * m2.value()
- m3.value() / 5.0
+ m1.value() * (m2.value() / m3.value());
const Money expected(x, EUR);
if (!IsSameCurrencyAndValuesAreClose(calculated, expected)) {
BOOST_FAIL("Wrong result: \n"
<< " expected: " << expected << "\n"
<< " calculated: " << calculated);
}
}
BOOST_AUTO_TEST_CASE(testBaseCurrency) {
BOOST_TEST_MESSAGE("Testing money arithmetic with conversion to base currency...");
const Money gbp = 50000.0 * GBP;
const Money eur = 100000.0 * EUR;
const Money usd = 500000.0 * USD;
ExchangeRateManager::instance().clear();
ExchangeRateManager::instance().add(eur_usd);
ExchangeRateManager::instance().add(eur_gbp);
const auto GBP_to_EUR = [eur_gbp = eur_gbp.rate()](const Real gbp) -> Real { return gbp / eur_gbp; };
const auto USD_to_EUR = [eur_usd = eur_usd.rate()](const Real usd) -> Real { return usd / eur_usd; };
Money::Settings::instance().conversionType() = Money::BaseCurrencyConversion;
Money::Settings::instance().baseCurrency() = EUR;
const Money calculated = gbp*3.0 + 2.5*eur - usd/5.0 + gbp * (eur/usd);
const Decimal x = GBP_to_EUR(gbp.value()) * 3.0
+ 2.5 * eur.value()
- USD_to_EUR(usd.value()) / 5.0
+ GBP_to_EUR(gbp.value()) * eur.value() / USD_to_EUR(usd.value());
const Money expected(x, EUR);
ExchangeRateManager::instance().clear();
Money::Settings::instance().conversionType() = Money::NoConversion;
if (!IsSameCurrencyAndValuesAreClose(calculated, expected)) {
BOOST_FAIL("Wrong result: \n"
<< " expected: " << expected << "\n"
<< " calculated: " << calculated);
}
}
BOOST_AUTO_TEST_CASE(testAutomated) {
BOOST_TEST_MESSAGE("Testing money arithmetic with automated conversion...");
const Money gbp = 50000.0 * GBP;
const Money eur = 100000.0 * EUR;
const Money usd = 500000.0 * USD;
ExchangeRateManager::instance().clear();
ExchangeRateManager::instance().add(eur_usd);
ExchangeRateManager::instance().add(eur_gbp);
const auto EUR_to_GBP = [eur_gbp = eur_gbp.rate()](const Real eur) -> Real { return eur * eur_gbp; };
const auto USD_to_EUR = [eur_usd = eur_usd.rate()](const Real usd) -> Real { return usd / eur_usd; };
const auto USD_to_GBP = [eur_gbp = eur_gbp.rate(), eur_usd = eur_usd.rate()](const Real usd) -> Real
{ return usd * eur_gbp / eur_usd; };
Money::Settings::instance().conversionType() = Money::AutomatedConversion;
const Money calculated = (gbp*3.0 + 2.5*eur) - usd/5.0 + gbp * (eur/usd);
const Decimal x = gbp.value() * 3.0
+ 2.5 * EUR_to_GBP(eur.value())
- USD_to_GBP(usd.value()) / 5.0
+ gbp.value() * eur.value() / USD_to_EUR(usd.value());
const Money expected(x, GBP);
ExchangeRateManager::instance().clear();
Money::Settings::instance().conversionType() = Money::NoConversion;
if (!IsSameCurrencyAndValuesAreClose(calculated, expected)) {
BOOST_FAIL("Wrong result: \n"
<< " expected: " << expected << "\n"
<< " calculated: " << calculated);
}
}
BOOST_AUTO_TEST_CASE(testComparisons) {
BOOST_TEST_MESSAGE("Testing money comparisons...");
for (const auto conversionType : {Money::AutomatedConversion, Money::NoConversion, Money::BaseCurrencyConversion}) {
ExchangeRateManager::instance().add(eur_usd);
ExchangeRateManager::instance().add(eur_gbp);
Money::Settings::instance().conversionType() = conversionType;
if (conversionType == Money::BaseCurrencyConversion)
Money::Settings::instance().baseCurrency() = EUR;
// equality
BOOST_CHECK_EQUAL(Money(123.45, EUR), Money(123.45, EUR));
if (conversionType != Money::NoConversion)
BOOST_CHECK_EQUAL(Money(1, EUR), Money(eur_usd.rate(), USD));
// unequal
BOOST_CHECK_NE(Money(1, EUR), Money(2, EUR));
if (conversionType != Money::NoConversion)
BOOST_CHECK_NE(Money(1, EUR), Money(100, USD));
// less than
BOOST_CHECK_LT(Money(1, EUR), Money(2, EUR));
if (conversionType != Money::NoConversion)
BOOST_CHECK_LT(Money(1, EUR), Money(100, USD));
// less or equal than
BOOST_CHECK_LE(Money(1, EUR), Money(2, EUR));
BOOST_CHECK_LE(Money(2, EUR), Money(2, EUR));
if (conversionType != Money::NoConversion)
BOOST_CHECK_LE(Money(1, EUR), Money(100, USD));
// greater than
BOOST_CHECK_GT(Money(2, EUR), Money(1, EUR));
if (conversionType != Money::NoConversion)
BOOST_CHECK_GT(Money(100, EUR), Money(1, USD));
// less or equal than
BOOST_CHECK_GE(Money(2, EUR), Money(1, EUR));
BOOST_CHECK_GE(Money(2, EUR), Money(2, EUR));
if (conversionType != Money::NoConversion)
BOOST_CHECK_GE(Money(100, EUR), Money(1, USD));
// close
BOOST_CHECK(close(Money(1, EUR), Money(1, EUR)));
BOOST_CHECK(close(Money(1+1e-15, EUR), Money(1, EUR)));
if (conversionType != Money::NoConversion){
BOOST_CHECK(close(Money(1, EUR), Money(eur_usd.rate(), USD)));
BOOST_CHECK(close(Money(1+1e-15, EUR), Money(eur_usd.rate(), USD)));
}
// close enough
BOOST_CHECK(close_enough(Money(1, EUR), Money(1, EUR)));
BOOST_CHECK(close_enough(Money(1+1e-15, EUR), Money(1, EUR)));
if (conversionType != Money::NoConversion){
BOOST_CHECK(close_enough(Money(1, EUR), Money(eur_usd.rate(), USD)));
BOOST_CHECK(close_enough(Money(1+1e-15, EUR), Money(eur_usd.rate(), USD)));
}
ExchangeRateManager::instance().clear();
Money::Settings::instance().conversionType() = Money::NoConversion;
}
}
BOOST_AUTO_TEST_SUITE_END()
BOOST_AUTO_TEST_SUITE_END()
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