Add test for payment lag on CPI legs

Author: gbfredrik

QuantExt/test/cpileg.cpp

@@ -0,0 +1,74 @@
+/*
+ Copyright (C) 2023 Skandinaviska Enskilda Banken AB (publ)
+ All rights reserved.
+
+ This file is part of ORE, a free-software/open-source library
+ for transparent pricing and risk analysis - http://opensourcerisk.org
+
+ ORE is free software: you can redistribute it and/or modify it
+ under the terms of the Modified BSD License.  You should have received a
+ copy of the license along with this program.
+ The license is also available online at <http://opensourcerisk.org>
+
+ This program is distributed on the basis that it will form a useful
+ contribution to risk analytics and model standardisation, 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 <boost/test/unit_test.hpp>
+#include <ql/indexes/inflation/ukrpi.hpp>
+#include <ql/termstructures/yield/flatforward.hpp>
+#include <ql/time/calendars/all.hpp>
+#include <ql/time/daycounters/actualactual.hpp>
+#include <qle/cashflows/cpicoupon.hpp>
+
+using namespace QuantLib;
+using namespace boost::unit_test_framework;
+
+BOOST_FIXTURE_TEST_SUITE(QuantExtTestSuite, qle::test::TopLevelFixture)
+
+BOOST_AUTO_TEST_SUITE(CpiLegTest)
+
+BOOST_AUTO_TEST_CASE(testCpiLegPaymentLag) {
+
+    BOOST_TEST_MESSAGE("Testing QuantExt::CPILeg for payment lag...");
+
+    Date evaluationDate(6, October, 2023);
+    Settings::instance().evaluationDate() = evaluationDate;
+    Calendar calendar = WeekendsOnly();
+    DayCounter dayCounter = ActualActual(ActualActual::ISDA);
+
+    Date startDate(6, October, 2023);
+    Date endDate(6, October, 2026);
+    Schedule fixedSchedule = MakeSchedule()
+                                 .from(startDate)
+                                 .to(endDate)
+                                 .withTenor(Period(6, Months))
+                                 .withCalendar(calendar)
+                                 .withConvention(ModifiedFollowing)
+                                 .backwards();
+
+    auto flatYts = ext::shared_ptr<YieldTermStructure>(new FlatForward(evaluationDate, 0.025, dayCounter));
+    RelinkableHandle<YieldTermStructure> yTS(flatYts);
+
+    auto ukrpi = ext::make_shared<UKRPI>();
+    Leg cpiLeg = QuantExt::CPILeg(fixedSchedule, ukrpi, yTS, 100, Period(3, Months))
+                     .withNotionals(1e6)
+                     .withPaymentCalendar(calendar)
+                     .withPaymentLag(2);
+
+    for (auto& coupon : cpiLeg) {
+        if (auto cpiCoupon = ext::dynamic_pointer_cast<CPICoupon>(coupon))
+            // The setup leg will have six regular coupons
+            BOOST_CHECK_EQUAL(cpiCoupon->date(), cpiCoupon->accrualEndDate() + 2 * Days);
+        else if (auto cpiNotionalCashflow = ext::dynamic_pointer_cast<CPICashFlow>(coupon))
+            // and one of these flows
+            BOOST_CHECK_EQUAL(cpiNotionalCashflow->date(), fixedSchedule.endDate() + 2 * Days);
+    }
+}
+
+BOOST_AUTO_TEST_SUITE_END()
+
+BOOST_AUTO_TEST_SUITE_END()