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| 1 | +/* |
| 2 | + Copyright (C) 2023 Skandinaviska Enskilda Banken AB (publ) |
| 3 | + All rights reserved. |
| 4 | +
|
| 5 | + This file is part of ORE, a free-software/open-source library |
| 6 | + for transparent pricing and risk analysis - http://opensourcerisk.org |
| 7 | +
|
| 8 | + ORE is free software: you can redistribute it and/or modify it |
| 9 | + under the terms of the Modified BSD License. You should have received a |
| 10 | + copy of the license along with this program. |
| 11 | + The license is also available online at <http://opensourcerisk.org> |
| 12 | +
|
| 13 | + This program is distributed on the basis that it will form a useful |
| 14 | + contribution to risk analytics and model standardisation, but WITHOUT |
| 15 | + ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or |
| 16 | + FITNESS FOR A PARTICULAR PURPOSE. See the license for more details. |
| 17 | +*/ |
| 18 | + |
| 19 | +#include "toplevelfixture.hpp" |
| 20 | +#include <boost/test/unit_test.hpp> |
| 21 | +#include <ql/indexes/inflation/ukrpi.hpp> |
| 22 | +#include <ql/termstructures/yield/flatforward.hpp> |
| 23 | +#include <ql/time/calendars/all.hpp> |
| 24 | +#include <ql/time/daycounters/actualactual.hpp> |
| 25 | +#include <qle/cashflows/cpicoupon.hpp> |
| 26 | + |
| 27 | +using namespace QuantLib; |
| 28 | +using namespace boost::unit_test_framework; |
| 29 | + |
| 30 | +BOOST_FIXTURE_TEST_SUITE(QuantExtTestSuite, qle::test::TopLevelFixture) |
| 31 | + |
| 32 | +BOOST_AUTO_TEST_SUITE(CpiLegTest) |
| 33 | + |
| 34 | +BOOST_AUTO_TEST_CASE(testCpiLegPaymentLag) { |
| 35 | + |
| 36 | + BOOST_TEST_MESSAGE("Testing QuantExt::CPILeg for payment lag..."); |
| 37 | + |
| 38 | + Date evaluationDate(6, October, 2023); |
| 39 | + Settings::instance().evaluationDate() = evaluationDate; |
| 40 | + Calendar calendar = WeekendsOnly(); |
| 41 | + DayCounter dayCounter = ActualActual(ActualActual::ISDA); |
| 42 | + |
| 43 | + Date startDate(6, October, 2023); |
| 44 | + Date endDate(6, October, 2026); |
| 45 | + Schedule fixedSchedule = MakeSchedule() |
| 46 | + .from(startDate) |
| 47 | + .to(endDate) |
| 48 | + .withTenor(Period(6, Months)) |
| 49 | + .withCalendar(calendar) |
| 50 | + .withConvention(ModifiedFollowing) |
| 51 | + .backwards(); |
| 52 | + |
| 53 | + auto flatYts = ext::shared_ptr<YieldTermStructure>(new FlatForward(evaluationDate, 0.025, dayCounter)); |
| 54 | + RelinkableHandle<YieldTermStructure> yTS(flatYts); |
| 55 | + |
| 56 | + auto ukrpi = ext::make_shared<UKRPI>(); |
| 57 | + Leg cpiLeg = QuantExt::CPILeg(fixedSchedule, ukrpi, yTS, 100, Period(3, Months)) |
| 58 | + .withNotionals(1e6) |
| 59 | + .withFixedRates(0.01) |
| 60 | + .withPaymentCalendar(calendar) |
| 61 | + .withPaymentLag(2); |
| 62 | + |
| 63 | + for (auto& coupon : cpiLeg) { |
| 64 | + if (auto cpiCoupon = ext::dynamic_pointer_cast<CPICoupon>(coupon)) |
| 65 | + // The setup leg will have six regular coupons |
| 66 | + BOOST_CHECK_EQUAL(cpiCoupon->date(), cpiCoupon->accrualEndDate() + 2 * Days); |
| 67 | + else if (auto cpiNotionalCashflow = ext::dynamic_pointer_cast<CPICashFlow>(coupon)) |
| 68 | + // and one of these flows |
| 69 | + BOOST_CHECK_EQUAL(cpiNotionalCashflow->date(), fixedSchedule.endDate() + 2 * Days); |
| 70 | + } |
| 71 | +} |
| 72 | + |
| 73 | +BOOST_AUTO_TEST_SUITE_END() |
| 74 | + |
| 75 | +BOOST_AUTO_TEST_SUITE_END() |
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