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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2004 Ferdinando Ametrano
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/interestrate.hpp>
#include <ql/math/rounding.hpp>
#include <ql/math/comparison.hpp>
#include <ql/time/daycounters/actual360.hpp>
#include <ql/utilities/dataformatters.hpp>
#include <iomanip>
using namespace QuantLib;
using namespace boost::unit_test_framework;
BOOST_FIXTURE_TEST_SUITE(QuantLibTests, TopLevelFixture)
BOOST_AUTO_TEST_SUITE(InterestRateTests)
struct InterestRateData {
Rate r;
Compounding comp;
Frequency freq;
Time t;
Compounding comp2;
Frequency freq2;
Rate expected;
Size precision;
};
BOOST_AUTO_TEST_CASE(testConversions) {
BOOST_TEST_MESSAGE("Testing interest-rate conversions...");
InterestRateData cases[] = {
// data from "Option Pricing Formulas", Haug, pag.181-182
// Rate,Compounding, Frequency, Time, Compounding2, Frequency2, Rate2, precision
{0.0800, Compounded, Quarterly, 1.00, Continuous, Annual, 0.0792, 4},
{0.1200, Continuous, Annual, 1.00, Compounded, Annual, 0.1275, 4},
{0.0800, Compounded, Quarterly, 1.00, Compounded, Annual, 0.0824, 4},
{0.0700, Compounded, Quarterly, 1.00, Compounded, Semiannual, 0.0706, 4},
// undocumented, but reasonable :)
{0.0100, Compounded, Annual, 1.00, Simple, Annual, 0.0100, 4},
{0.0200, Simple, Annual, 1.00, Compounded, Annual, 0.0200, 4},
{0.0300, Compounded, Semiannual, 0.50, Simple, Annual, 0.0300, 4},
{0.0400, Simple, Annual, 0.50, Compounded, Semiannual, 0.0400, 4},
{0.0500, Compounded, EveryFourthMonth, 1.0/3, Simple, Annual, 0.0500, 4},
{0.0600, Simple, Annual, 1.0/3, Compounded, EveryFourthMonth, 0.0600, 4},
{0.0500, Compounded, Quarterly, 0.25, Simple, Annual, 0.0500, 4},
{0.0600, Simple, Annual, 0.25, Compounded, Quarterly, 0.0600, 4},
{0.0700, Compounded, Bimonthly, 1.0/6, Simple, Annual, 0.0700, 4},
{0.0800, Simple, Annual, 1.0/6, Compounded, Bimonthly, 0.0800, 4},
{0.0900, Compounded, Monthly, 1.0/12, Simple, Annual, 0.0900, 4},
{0.1000, Simple, Annual, 1.0/12, Compounded, Monthly, 0.1000, 4},
{0.0300, SimpleThenCompounded, Semiannual, 0.25, Simple, Annual, 0.0300, 4},
{0.0300, SimpleThenCompounded, Semiannual, 0.25, Simple, Semiannual, 0.0300, 4},
{0.0300, SimpleThenCompounded, Semiannual, 0.25, Simple, Quarterly, 0.0300, 4},
{0.0300, SimpleThenCompounded, Semiannual, 0.50, Simple, Annual, 0.0300, 4},
{0.0300, SimpleThenCompounded, Semiannual, 0.50, Simple, Semiannual, 0.0300, 4},
{0.0300, SimpleThenCompounded, Semiannual, 0.75, Compounded, Semiannual, 0.0300, 4},
{0.0400, Simple, Semiannual, 0.25, SimpleThenCompounded, Quarterly, 0.0400, 4},
{0.0400, Simple, Semiannual, 0.25, SimpleThenCompounded, Semiannual, 0.0400, 4},
{0.0400, Simple, Semiannual, 0.25, SimpleThenCompounded, Annual, 0.0400, 4},
{0.0400, Compounded, Quarterly, 0.50, SimpleThenCompounded, Quarterly, 0.0400, 4},
{0.0400, Simple, Semiannual, 0.50, SimpleThenCompounded, Semiannual, 0.0400, 4},
{0.0400, Simple, Semiannual, 0.50, SimpleThenCompounded, Annual, 0.0400, 4},
{0.0400, Compounded, Quarterly, 0.75, SimpleThenCompounded, Quarterly, 0.0400, 4},
{0.0400, Compounded, Semiannual, 0.75, SimpleThenCompounded, Semiannual, 0.0400, 4},
{0.0400, Simple, Semiannual, 0.75, SimpleThenCompounded, Annual, 0.0400, 4}
};
Rounding roundingPrecision;
Rate r3, r2;
Date d1 = Date::todaysDate(), d2;
InterestRate ir, ir2, ir3, expectedIR;
Real compoundf, error;
DiscountFactor disc;
for (auto& i : cases) {
ir = InterestRate(i.r, Actual360(), i.comp, i.freq);
d2 = d1 + timeToDays(i.t);
roundingPrecision = Rounding(i.precision);
// check that the compound factor is the inverse of the discount factor
compoundf = ir.compoundFactor(d1, d2);
disc = ir.discountFactor(d1, d2);
error = std::fabs(disc-1.0/compoundf);
if (error>1e-15)
BOOST_FAIL("\n " << ir
<< std::setprecision(16)
<< "\n 1.0/compound_factor: " << 1.0/compoundf
<< "\n discount_factor: " << disc
<< "\n error: " << error);
// check that the equivalent InterestRate with *same* daycounter,
// compounding, and frequency is the *same* InterestRate
ir2 = ir.equivalentRate(ir.dayCounter(),
ir.compounding(),
ir.frequency(),
d1, d2);
error = std::fabs(ir.rate()-ir2.rate());
if (error>1e-15)
BOOST_FAIL(std::setprecision(12)
<< "\n original interest rate: " << ir
<< "\n equivalent interest rate: " << ir2
<< "\n rate error: " << error);
if (ir.dayCounter()!=ir2.dayCounter())
BOOST_FAIL("\n day counter error"
<< "\n original interest rate: " << ir
<< "\n equivalent interest rate: " << ir2);
if (ir.compounding()!=ir2.compounding())
BOOST_FAIL("\n compounding error"
<< "\n original interest rate: " << ir
<< "\n equivalent interest rate: " << ir2);
if (ir.frequency()!=ir2.frequency())
BOOST_FAIL("\n frequency error"
<< "\n original interest rate: " << ir
<< "\n equivalent interest rate: " << ir2);
// check that the equivalent rate with *same* daycounter,
// compounding, and frequency is the *same* rate
r2 = ir.equivalentRate(ir.dayCounter(),
ir.compounding(),
ir.frequency(),
d1, d2);
error = std::fabs(ir.rate()-r2);
if (error>1e-15)
BOOST_FAIL(std::setprecision(12)
<< "\n original rate: " << ir
<< "\n equivalent rate: " << io::rate(r2)
<< "\n error: " << error);
// check that the equivalent InterestRate with *different*
// compounding, and frequency is the *expected* InterestRate
ir3 = ir.equivalentRate(ir.dayCounter(), i.comp2, i.freq2, d1, d2);
expectedIR = InterestRate(i.expected, ir.dayCounter(), i.comp2, i.freq2);
r3 = roundingPrecision(ir3.rate());
error = std::fabs(r3-expectedIR.rate());
if (error>1.0e-17)
BOOST_FAIL(std::setprecision(i.precision + 1)
<< "\n original interest rate: " << ir
<< "\n calculated equivalent interest rate: " << ir3
<< "\n truncated equivalent rate: " << io::rate(r3)
<< "\n expected equivalent interest rate: " << expectedIR
<< "\n rate error: " << error);
if (ir3.dayCounter()!=expectedIR.dayCounter())
BOOST_FAIL("\n day counter error"
<< "\n original interest rate: " << ir3
<< "\n equivalent interest rate: " << expectedIR);
if (ir3.compounding()!=expectedIR.compounding())
BOOST_FAIL("\n compounding error"
<< "\n original interest rate: " << ir3
<< "\n equivalent interest rate: " << expectedIR);
if (ir3.frequency()!=expectedIR.frequency())
BOOST_FAIL("\n frequency error"
<< "\n original interest rate: " << ir3
<< "\n equivalent interest rate: " << expectedIR);
// check that the equivalent rate with *different*
// compounding, and frequency is the *expected* rate
r3 = ir.equivalentRate(ir.dayCounter(), i.comp2, i.freq2, d1, d2);
r3 = roundingPrecision(r3);
error = std::fabs(r3 - i.expected);
if (error>1.0e-17)
BOOST_FAIL(std::setprecision(i.precision - 2)
<< "\n calculated equivalent rate: " << io::rate(r3)
<< "\n expected equivalent rate: " << io::rate(i.expected)
<< "\n error: " << error);
}
}
BOOST_AUTO_TEST_SUITE_END()
BOOST_AUTO_TEST_SUITE_END()
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