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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2003 RiskMap 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/quotes/simplequote.hpp>
#include <ql/quotes/derivedquote.hpp>
#include <ql/quotes/compositequote.hpp>
#include <ql/quotes/forwardvaluequote.hpp>
#include <ql/quotes/impliedstddevquote.hpp>
#include <ql/time/calendars/target.hpp>
#include <ql/time/daycounters/actualactual.hpp>
#include <ql/termstructures/yield/flatforward.hpp>
#include <ql/indexes/ibor/euribor.hpp>
#include <ql/pricingengines/blackformula.hpp>
using namespace QuantLib;
using namespace boost::unit_test_framework;
BOOST_FIXTURE_TEST_SUITE(QuantLibTests, TopLevelFixture)
BOOST_AUTO_TEST_SUITE(QuoteTests)
Real add10(Real x) { return x+10; }
Real mul10(Real x) { return x*10; }
Real sub10(Real x) { return x-10; }
Real add(Real x, Real y) { return x+y; }
Real mul(Real x, Real y) { return x*y; }
Real sub(Real x, Real y) { return x-y; }
BOOST_AUTO_TEST_CASE(testObservable) {
BOOST_TEST_MESSAGE("Testing observability of quotes...");
ext::shared_ptr<SimpleQuote> me(new SimpleQuote(0.0));
Flag f;
f.registerWith(me);
me->setValue(3.14);
if (!f.isUp())
BOOST_FAIL("Observer was not notified of quote change");
}
BOOST_AUTO_TEST_CASE(testObservableHandle) {
BOOST_TEST_MESSAGE("Testing observability of quote handles...");
ext::shared_ptr<SimpleQuote> me1(new SimpleQuote(0.0));
RelinkableHandle<Quote> h(me1);
Flag f;
f.registerWith(h);
me1->setValue(3.14);
if (!f.isUp())
BOOST_FAIL("Observer was not notified of quote change");
f.lower();
ext::shared_ptr<SimpleQuote> me2(new SimpleQuote(0.0));
h.linkTo(me2);
if (!f.isUp())
BOOST_FAIL("Observer was not notified of quote change");
}
BOOST_AUTO_TEST_CASE(testDerived) {
BOOST_TEST_MESSAGE("Testing derived quotes...");
typedef Real (*unary_f)(Real);
unary_f funcs[3] = { add10, mul10, sub10 };
ext::shared_ptr<Quote> me(new SimpleQuote(17.0));
Handle<Quote> h(me);
for (auto& func : funcs) {
DerivedQuote<unary_f> derived(h, func);
Real x = derived.value(), y = func(me->value());
if (std::fabs(x-y) > 1.0e-10)
BOOST_FAIL("derived quote yields " << x << "\n"
<< "function result is " << y);
}
}
BOOST_AUTO_TEST_CASE(testComposite) {
BOOST_TEST_MESSAGE("Testing composite quotes...");
typedef Real (*binary_f)(Real,Real);
binary_f funcs[3] = { add, mul, sub };
ext::shared_ptr<Quote> me1(new SimpleQuote(12.0)),
me2(new SimpleQuote(13.0));
Handle<Quote> h1(me1), h2(me2);
for (auto& func : funcs) {
CompositeQuote<binary_f> composite(h1, h2, func);
Real x = composite.value(), y = func(me1->value(), me2->value());
if (std::fabs(x-y) > 1.0e-10)
BOOST_FAIL("composite quote yields " << x << "\n"
<< "function result is " << y);
}
}
BOOST_AUTO_TEST_CASE(testForwardValueQuoteAndImpliedStdevQuote){
BOOST_TEST_MESSAGE(
"Testing forward-value and implied-standard-deviation quotes...");
Real forwardRate = .05;
DayCounter dc = ActualActual(ActualActual::ISDA);
Calendar calendar = TARGET();
ext::shared_ptr<SimpleQuote> forwardQuote(new SimpleQuote(forwardRate));
Handle<Quote> forwardHandle(forwardQuote);
Date evaluationDate = Settings::instance().evaluationDate();
ext::shared_ptr<YieldTermStructure>yc (new FlatForward(
evaluationDate, forwardHandle, dc));
Handle<YieldTermStructure> ycHandle(yc);
Period euriborTenor(1,Years);
ext::shared_ptr<Index> euribor(new Euribor(euriborTenor, ycHandle));
Date fixingDate = calendar.advance(evaluationDate, euriborTenor);
ext::shared_ptr<ForwardValueQuote> forwardValueQuote( new
ForwardValueQuote(euribor, fixingDate));
Rate forwardValue = forwardValueQuote->value();
Rate expectedForwardValue = euribor->fixing(fixingDate, true);
// we test if the forward value given by the quote is consistent
// with the one directly given by the index
if (std::fabs(forwardValue-expectedForwardValue) > 1.0e-15)
BOOST_FAIL("Foward Value Quote quote yields " << forwardValue << "\n"
<< "expected result is " << expectedForwardValue);
// then we test the observer/observable chain
Flag f;
f.registerWith(forwardValueQuote);
forwardQuote->setValue(0.04);
if (!f.isUp())
BOOST_FAIL("Observer was not notified of quote change");
// and we retest if the values are still matching
forwardValue = forwardValueQuote->value();
expectedForwardValue = euribor->fixing(fixingDate, true);
if (std::fabs(forwardValue-expectedForwardValue) > 1.0e-15)
BOOST_FAIL("Foward Value Quote quote yields " << forwardValue << "\n"
<< "expected result is " << expectedForwardValue);
// we test the ImpliedStdevQuote class
f.unregisterWith(forwardValueQuote);
f.lower();
Real price = 0.02;
Rate strike = 0.04;
Volatility guess = .15;
Real accuracy = 1.0e-6;
Option::Type optionType = Option::Call;
ext::shared_ptr<SimpleQuote> priceQuote(new SimpleQuote(price));
Handle<Quote> priceHandle(priceQuote);
ext::shared_ptr<ImpliedStdDevQuote> impliedStdevQuote(new
ImpliedStdDevQuote(optionType, forwardHandle, priceHandle,
strike, guess, accuracy));
Real impliedStdev = impliedStdevQuote->value();
Real expectedImpliedStdev =
blackFormulaImpliedStdDev(optionType, strike,
forwardQuote->value(), price,
1.0, 0.0, guess, 1.0e-6);
if (std::fabs(impliedStdev-expectedImpliedStdev) > 1.0e-15)
BOOST_FAIL("\nimpliedStdevQuote yields :" << impliedStdev <<
"\nexpected result is :" << expectedImpliedStdev);
// then we test the observer/observable chain
ext::shared_ptr<Quote> quote = impliedStdevQuote;
f.registerWith(quote);
forwardQuote->setValue(0.05);
if (!f.isUp())
BOOST_FAIL("Observer was not notified of quote change");
quote->value();
f.lower();
quote->value();
priceQuote->setValue(0.11);
if (!f.isUp())
BOOST_FAIL("Observer was not notified of quote change");
}
BOOST_AUTO_TEST_SUITE_END()
BOOST_AUTO_TEST_SUITE_END()
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