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Sebastien Bouvardjenkins
Sebastien Bouvard
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jenkins
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QPR-12223 Unit Testing for pricing based on referencedata and XML and modification indent referencedata.xsd
1 parent 41d7574 commit d0ea9d4

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Lines changed: 191 additions & 22 deletions

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‎OREData/ored/portfolio/referencedata.cpp‎

Lines changed: 5 additions & 2 deletions
Original file line numberDiff line numberDiff line change
@@ -508,8 +508,11 @@ XMLNode* PortfolioBasketReferenceDatum::toXML(XMLDocument& doc) const {
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XMLNode* node = ReferenceDatum::toXML(doc);
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XMLNode* rdNode = XMLUtils::addChild(doc, node, type() + "ReferenceData");
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XMLUtils::appendNode(node, rdNode);
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XMLUtils::addChild(doc, rdNode, "Components");
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//I need to add back the trade object but it is a shared_ptr Trade so need to convert into XML
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XMLNode* cNode = XMLUtils::addChild(doc, rdNode, "Components");
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for (auto& u : tradecomponents_) {
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auto test = u->toXML(doc);
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XMLUtils::appendNode(cNode, test);
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}
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return node;
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}

‎OREData/test/compositetrade.cpp‎

Lines changed: 99 additions & 0 deletions
Original file line numberDiff line numberDiff line change
@@ -20,6 +20,8 @@
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#include <boost/make_shared.hpp>
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#include <boost/test/unit_test.hpp>
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#include <boost/test/data/test_case.hpp>
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#include <oret/datapaths.hpp>
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#include <ored/marketdata/marketimpl.hpp>
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#include <ored/portfolio/builders/equityforward.hpp>
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#include <ored/portfolio/builders/equityoption.hpp>
@@ -211,6 +213,103 @@ BOOST_AUTO_TEST_CASE(testMultiCcyComposite) {
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BOOST_CHECK_CLOSE(npv_usd_composite, npv_eurCall * 1.25 + npv_usdCall / 1.0, 0.01);
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}
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BOOST_AUTO_TEST_CASE(testCompositeReferenceData) {
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BOOST_TEST_MESSAGE("Testing Composite Trade with and w/o reference data...");
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SavedSettings backup;
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InstrumentConventions::instance().setConventions(QuantLib::ext::make_shared<Conventions>());
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// build CompositeTrade with referencedata
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auto rdm = QuantLib::ext::make_shared<BasicReferenceDataManager>(TEST_INPUT_FILE("reference_data.xml"));
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auto ptfReferenceDatum = boost::dynamic_pointer_cast<PortfolioBasketReferenceDatum>(rdm->getData("PortfolioBasket", "MSFDSJP"));
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auto refData = ptfReferenceDatum->getTrades();
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QuantLib::ext::shared_ptr<Trade> eqRefCall = refData[0];
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QuantLib::ext::shared_ptr<Trade> eqRefPut = refData[1];
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Envelope env("CP1");
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CompositeTrade RefData("EUR", {eqRefCall, eqRefPut}, "Mean", 0.0, env);
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RefData.id() = "Reference Data Test";
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// build market
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QuantLib::ext::shared_ptr<Market> market = QuantLib::ext::make_shared<TestMarket>();
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Settings::instance().evaluationDate() = market->asofDate();
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Date expiry = market->asofDate() + 6 * Months + 1 * Days;
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ostringstream o;
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o << QuantLib::io::iso_date(expiry);
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string exp_str = o.str();
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// build CompositeTrade without referencedata
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OptionData callData("Long", "Call", "European", true, vector<string>(1, exp_str));
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OptionData putData("Short", "Put", "European", true, vector<string>(1, exp_str));
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//Envelope env("CP1");
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TradeStrike tradeStrike(95.0, "EUR");
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QuantLib::ext::shared_ptr<Trade> eqCall =
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QuantLib::ext::make_shared<EquityOption>(env, callData, EquityUnderlying("eurCorp"), "EUR", 1.0, tradeStrike);
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eqCall->id() = "Long Call";
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QuantLib::ext::shared_ptr<Trade> eqPut =
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QuantLib::ext::make_shared<EquityOption>(env, putData, EquityUnderlying("eurCorp"), "EUR", 1.0, tradeStrike);
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eqPut->id() = "Short Put";
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CompositeTrade noRefData("EUR", {eqCall, eqPut}, "Mean", 0.0, env);
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noRefData.id() = "No Reference Data Test";
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// Build and price
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QuantLib::ext::shared_ptr<EngineData> engineData = QuantLib::ext::make_shared<EngineData>();
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engineData->model("EquityOption") = "BlackScholesMerton";
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engineData->engine("EquityOption") = "AnalyticEuropeanEngine";
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QuantLib::ext::shared_ptr<EngineFactory> engineFactory =
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QuantLib::ext::make_shared<EngineFactory>(engineData, market);
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noRefData.build(engineFactory);
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RefData.build(engineFactory);
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Real npv_composite_NoRefData = noRefData.instrument()->NPV();
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Real npv_composite_RefData = RefData.instrument()->NPV();
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BOOST_CHECK_CLOSE(npv_composite_NoRefData, npv_composite_RefData, 0.01);
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BOOST_CHECK_CLOSE(noRefData.notional(), RefData.notional(), 0.01);
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}
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BOOST_AUTO_TEST_CASE(testConstructionWithCompositeTradeReferenceData) {
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// CompoiteTrade with Reference Data
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auto rdm = QuantLib::ext::make_shared<BasicReferenceDataManager>(TEST_INPUT_FILE("reference_data.xml"));
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auto ptfReferenceDatum =
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boost::dynamic_pointer_cast<PortfolioBasketReferenceDatum>(rdm->getData("PortfolioBasket", "MSFDSJP"));
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string xmlRefData = ptfReferenceDatum->toXMLString();
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PortfolioBasketReferenceDatum xmlPortfolioBasket("MSFDSJP");
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xmlPortfolioBasket.fromXMLString(xmlRefData);
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BOOST_CHECK_EQUAL(ptfReferenceDatum->id(), xmlPortfolioBasket.id());
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BOOST_CHECK_EQUAL(ptfReferenceDatum->getTrades()[0]->notional(), xmlPortfolioBasket.getTrades()[0]->notional());
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BOOST_CHECK_EQUAL(ptfReferenceDatum->getTrades()[1]->notional(), xmlPortfolioBasket.getTrades()[1]->notional());
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BOOST_CHECK_EQUAL(ptfReferenceDatum->getTrades()[0]->id(), xmlPortfolioBasket.getTrades()[0]->id());
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BOOST_CHECK_EQUAL(ptfReferenceDatum->getTrades()[1]->id(), xmlPortfolioBasket.getTrades()[1]->id());
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auto refData = ptfReferenceDatum->getTrades();
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QuantLib::ext::shared_ptr<Trade> eqRefCall = refData[0];
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QuantLib::ext::shared_ptr<Trade> eqRefPut = refData[1];
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Envelope env("CP1");
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CompositeTrade compRefData("EUR", {eqRefCall, eqRefPut}, "Mean", 0.0, env);
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// Use toXml to serialise to string
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string xmlStr = compRefData.toXMLString();
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CompositeTrade xmlComposite;
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xmlComposite.fromXMLString(xmlStr);
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BOOST_CHECK_EQUAL(compRefData.id(), xmlComposite.id());
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BOOST_CHECK_EQUAL(compRefData.currency(), xmlComposite.currency());
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BOOST_CHECK_EQUAL(compRefData.notionalCalculation(), xmlComposite.notionalCalculation());
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BOOST_CHECK_EQUAL(compRefData.trades()[0]->tradeType(), xmlComposite.trades()[0]->tradeType());
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BOOST_CHECK_EQUAL(compRefData.trades()[0]->notional(), xmlComposite.trades()[0]->notional());
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BOOST_CHECK_EQUAL(compRefData.trades()[1]->tradeType(), xmlComposite.trades()[1]->tradeType());
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BOOST_CHECK_EQUAL(compRefData.trades()[1]->notional(), xmlComposite.trades()[1]->notional());
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}
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BOOST_AUTO_TEST_SUITE_END()
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BOOST_AUTO_TEST_SUITE_END()

‎OREData/test/input/compositetrade/reference_data.xml‎

Lines changed: 67 additions & 0 deletions
Original file line numberDiff line numberDiff line change
@@ -0,0 +1,67 @@
1+
<?xml version="1.0"?>
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<ReferenceData>
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<ReferenceDatum id="MSFDSJP">
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<Type>PortfolioBasket</Type>
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<PortfolioBasketReferenceData>
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<Components>
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<Trade id="EqOption1">
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<TradeType>EquityOption</TradeType>
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<Envelope>
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<CounterParty>{{netting_set_id}}</CounterParty>
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<NettingSetId>{{netting_set_id}}</NettingSetId>
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<AdditionalFields>
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<valuation_date>2023-11-07</valuation_date>
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<im_model>SIMM</im_model>
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<post_regulations>SEC</post_regulations>
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<collect_regulations>SEC</collect_regulations>
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</AdditionalFields>
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</Envelope>
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<EquityOptionData>
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<OptionData>
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<LongShort>Long</LongShort>
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<OptionType>Call</OptionType>
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<Style>European</Style>
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<Settlement>Cash</Settlement>
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<ExerciseDates>
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<ExerciseDate>2016-08-04</ExerciseDate>
27+
</ExerciseDates>
28+
</OptionData>
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<Name>eurCorp</Name>
30+
<Currency>EUR</Currency>
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<Strike>95</Strike>
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<Quantity>1</Quantity>
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</EquityOptionData>
34+
</Trade>
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<Trade id="EqOption2">
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<TradeType>EquityOption</TradeType>
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<Envelope>
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<CounterParty>{{netting_set_id}}</CounterParty>
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<NettingSetId>{{netting_set_id}}</NettingSetId>
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<AdditionalFields>
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<valuation_date>2023-11-07</valuation_date>
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<im_model>SIMM</im_model>
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<post_regulations>SEC</post_regulations>
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<collect_regulations>SEC</collect_regulations>
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</AdditionalFields>
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</Envelope>
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<EquityOptionData>
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<OptionData>
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<LongShort>Short</LongShort>
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<OptionType>Put</OptionType>
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<Style>European</Style>
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<Settlement>Cash</Settlement>
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<ExerciseDates>
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<ExerciseDate>2016-08-04</ExerciseDate>
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</ExerciseDates>
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</OptionData>
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<Name>eurCorp</Name>
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<Currency>EUR</Currency>
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<Strike>95</Strike>
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<StrikeCurrency>EUR</StrikeCurrency>
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<Quantity>1</Quantity>
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</EquityOptionData>
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</Trade>
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</Components>
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</PortfolioBasketReferenceData>
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</ReferenceDatum>
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</ReferenceData>

‎xsd/referencedata.xsd‎

Lines changed: 20 additions & 20 deletions
Original file line numberDiff line numberDiff line change
@@ -156,25 +156,25 @@
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</xs:sequence>
157157
</xs:complexType>
158158

159-
<xs:complexType name="portfolioBasketReferenceDatum">
160-
<xs:sequence>
161-
<xs:element name="Components">
162-
<xs:complexType>
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<xs:sequence>
164-
<xs:element name="Trade" maxOccurs="unbounded">
165-
<xs:complexType>
166-
<xs:sequence>
167-
<xs:element type="oreTradeType" name="TradeType"/>
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<xs:element type="envelope" name="Envelope" minOccurs="0"/>
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<xs:group ref="oreTradeData"/>
170-
</xs:sequence>
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<xs:attribute type="xs:string" name="id"/>
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</xs:complexType>
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</xs:element>
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</xs:sequence>
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</xs:complexType>
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</xs:element>
177-
</xs:sequence>
178-
</xs:complexType>
159+
<xs:complexType name="portfolioBasketReferenceDatum">
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<xs:sequence>
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<xs:element name="Components">
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<xs:complexType>
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<xs:sequence>
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<xs:element name="Trade" maxOccurs="unbounded">
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<xs:complexType>
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<xs:sequence>
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<xs:element type="oreTradeType" name="TradeType"/>
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<xs:element type="envelope" name="Envelope" minOccurs="0"/>
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<xs:group ref="oreTradeData"/>
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</xs:sequence>
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<xs:attribute type="xs:string" name="id"/>
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</xs:complexType>
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</xs:element>
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</xs:sequence>
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</xs:complexType>
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</xs:element>
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</xs:sequence>
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</xs:complexType>
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</xs:schema>

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