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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2018 Tom Anderson
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18 */
19
20#include "forwardrateagreement.hpp"
21#include "utilities.hpp"
22#include <ql/handle.hpp>
23#include <ql/indexes/ibor/usdlibor.hpp>
24#include <ql/instruments/forwardrateagreement.hpp>
25#include <ql/quotes/simplequote.hpp>
26#include <ql/termstructures/yield/piecewiseyieldcurve.hpp>
27#include <ql/termstructures/yield/ratehelpers.hpp>
28
29
30using namespace QuantLib;
31using namespace boost::unit_test_framework;
32
33void ForwardRateAgreementTest::testConstructionWithoutACurve() {
34 BOOST_TEST_MESSAGE("Testing forward rate agreement construction...");
35
36 Date today = QuantLib::Settings::instance().evaluationDate();
37
38 // set up the index
39 RelinkableHandle<YieldTermStructure> curveHandle;
40 ext::shared_ptr<IborIndex> index = ext::make_shared<USDLibor>(args: Period(3, Months), args&: curveHandle);
41
42 // determine the settlement date for a FRA
43 Date settlementDate = index->fixingCalendar().advance(date: today, period: index->fixingDays() * Days);
44
45 // set up quotes with no values
46 std::vector<ext::shared_ptr<SimpleQuote> > quotes = {
47 ext::make_shared<SimpleQuote>(),
48 ext::make_shared<SimpleQuote>(),
49 ext::make_shared<SimpleQuote>()
50 };
51
52#ifdef QL_USE_INDEXED_COUPON
53 bool useIndexedFra = false;
54#else
55 bool useIndexedFra = true;
56#endif
57
58 // set up the curve (this bit is a very rough sketch - i'm actually using swaps !)
59 std::vector<ext::shared_ptr<RateHelper> > helpers;
60 helpers.push_back(x: ext::make_shared<FraRateHelper>(args: Handle<Quote>(quotes[0]),
61 args: Period(1, Years), args&: index,
62 args: Pillar::LastRelevantDate, args: Date(),
63 args&: useIndexedFra));
64 helpers.push_back(x: ext::make_shared<FraRateHelper>(args: Handle<Quote>(quotes[1]),
65 args: Period(2, Years), args&: index,
66 args: Pillar::LastRelevantDate, args: Date(),
67 args&: useIndexedFra));
68 helpers.push_back(x: ext::make_shared<FraRateHelper>(args: Handle<Quote>(quotes[2]),
69 args: Period(3, Years), args&: index,
70 args: Pillar::LastRelevantDate, args: Date(),
71 args&: useIndexedFra));
72 ext::shared_ptr<PiecewiseYieldCurve<ForwardRate, QuantLib::Cubic> > curve =
73 ext::make_shared<PiecewiseYieldCurve<ForwardRate, QuantLib::Cubic> >(
74 args&: today, args&: helpers, args: index->dayCounter());
75
76 curveHandle.linkTo(h: curve);
77
78 // set up the instrument to price
79 // check the constructor without maturity date
80 // inferring maturity date from the index
81 ForwardRateAgreement fra(index,
82 settlementDate + Period(12, Months),
83 Position::Long,
84 0,
85 1,
86 curveHandle);
87
88 // finally put values in the quotes
89 quotes[0]->setValue(0.01);
90 quotes[1]->setValue(0.02);
91 quotes[2]->setValue(0.03);
92
93 Real rate = fra.forwardRate();
94 if (std::fabs(x: rate - 0.01) > 1e-6) {
95 BOOST_ERROR("grid creation failed for FRA without maturityDate, got rate " << rate << " expected " << 0.01);
96 }
97
98 // check the constructor with explicit maturity date
99 ForwardRateAgreement fra2(index,
100 settlementDate + Period(12, Months),
101 settlementDate + Period(15, Months),
102 Position::Long,
103 0,
104 1,
105 curveHandle);
106
107 Real rate2 = fra2.forwardRate();
108 if (std::fabs(x: rate2 - 0.01) > 1e-6) {
109 BOOST_ERROR("grid creation failed for FRA with maturityDate, got rate " << rate << " expected " << 0.01);
110 }
111
112}
113
114test_suite* ForwardRateAgreementTest::suite() {
115 auto* suite = BOOST_TEST_SUITE("forward rate agreement");
116 suite->add(QUANTLIB_TEST_CASE(&ForwardRateAgreementTest::testConstructionWithoutACurve));
117 return suite;
118}
119

source code of quantlib/test-suite/forwardrateagreement.cpp