C++：实现量化daycounters 日计数器测试实例
2024-05-09 10:15:27
C++：实现量化daycounters 日计数器测试实例
#include "daycounters.hpp"
#include "utilities.hpp"
#include <ql/time/daycounters/actual360.hpp>
#include <ql/time/daycounters/actualactual.hpp>
#include <ql/time/daycounters/actual365fixed.hpp>
#include <ql/time/daycounters/actual36525.hpp>
#include <ql/time/daycounters/actual366.hpp>
#include <ql/time/daycounters/one.hpp>
#include <ql/time/daycounters/simpledaycounter.hpp>
#include <ql/time/daycounters/business252.hpp>
#include <ql/time/daycounters/thirty360.hpp>
#include <ql/time/daycounters/thirty365.hpp>
#include <ql/time/calendars/brazil.hpp>
#include <ql/time/calendars/canada.hpp>
#include <ql/time/calendars/unitedstates.hpp>
#include <ql/time/schedule.hpp>
#include <cmath>
#include <iomanip>
#include <ql/time/calendars/china.hpp>using namespace QuantLib;
using namespace boost::unit_test_framework;namespace day_counters_test {struct SingleCase {SingleCase(ActualActual::Convention convention,const Date& start,const Date& end,const Date& refStart,const Date& refEnd,Time result): convention(convention), start(start), end(end),refStart(refStart), refEnd(refEnd), result(result) {}SingleCase(ActualActual::Convention convention,const Date& start,const Date& end,Time result): convention(convention), start(start), end(end), result(result) {}ActualActual::Convention convention;Date start;Date end;Date refStart;Date refEnd;Time result;};struct Thirty360Case {Date start;Date end;Date::serial_type expected;};Time ISMAYearFractionWithReferenceDates(const DayCounter& dayCounter, Date start, Date end, Date refStart, Date refEnd) {Real referenceDayCount = Real(dayCounter.dayCount(refStart, refEnd));// guess how many coupon periods per year:auto couponsPerYear = (Integer)std::lround(365.0 / referenceDayCount);// the above is good enough for annual or semi annual payments.return Real(dayCounter.dayCount(start, end))/ (referenceDayCount*couponsPerYear);}Time actualActualDaycountComputation(const Schedule& schedule, Date start, Date end) {DayCounter daycounter = ActualActual(ActualActual::ISMA, schedule);Time yearFraction = 0.0;for (Size i = 1; i < schedule.size() - 1; i++) {Date referenceStart = schedule.date(i);Date referenceEnd = schedule.date(i+1);if (start < referenceEnd && end > referenceStart) {yearFraction += ISMAYearFractionWithReferenceDates(daycounter,(start > referenceStart) ? start : referenceStart,(end < referenceEnd) ? end : referenceEnd,referenceStart,referenceEnd);};}return yearFraction;}}void DayCounterTest::testActualActual() {BOOST_TEST_MESSAGE("Testing actual/actual day counters...");using namespace day_counters_test;SingleCase testCases[] = {// first exampleSingleCase(ActualActual::ISDA,Date(1,November,2003), Date(1,May,2004),0.497724380567),SingleCase(ActualActual::ISMA,Date(1,November,2003), Date(1,May,2004),Date(1,November,2003), Date(1,May,2004),0.500000000000),SingleCase(ActualActual::AFB,Date(1,November,2003), Date(1,May,2004),0.497267759563),// short first calculation period (first period)SingleCase(ActualActual::ISDA,Date(1,February,1999), Date(1,July,1999),0.410958904110),SingleCase(ActualActual::ISMA,Date(1,February,1999), Date(1,July,1999),Date(1,July,1998), Date(1,July,1999),0.410958904110),SingleCase(ActualActual::AFB,Date(1,February,1999), Date(1,July,1999),0.410958904110),// short first calculation period (second period)SingleCase(ActualActual::ISDA,Date(1,July,1999), Date(1,July,2000),1.001377348600),SingleCase(ActualActual::ISMA,Date(1,July,1999), Date(1,July,2000),Date(1,July,1999), Date(1,July,2000),1.000000000000),SingleCase(ActualActual::AFB,Date(1,July,1999), Date(1,July,2000),1.000000000000),// long first calculation period (first period)SingleCase(ActualActual::ISDA,Date(15,August,2002), Date(15,July,2003),0.915068493151),SingleCase(ActualActual::ISMA,Date(15,August,2002), Date(15,July,2003),Date(15,January,2003), Date(15,July,2003),0.915760869565),SingleCase(ActualActual::AFB,Date(15,August,2002), Date(15,July,2003),0.915068493151),// long first calculation period (second period)/* Warning: the ISDA case is in disagreement with mktc1198.pdf */SingleCase(ActualActual::ISDA,Date(15,July,2003), Date(15,January,2004),0.504004790778),SingleCase(ActualActual::ISMA,Date(15,July,2003), Date(15,January,2004),Date(15,July,2003), Date(15,January,2004),0.500000000000),SingleCase(ActualActual::AFB,Date(15,July,2003), Date(15,January,2004),0.504109589041),// short final calculation period (penultimate period)SingleCase(ActualActual::ISDA,Date(30,July,1999), Date(30,January,2000),0.503892506924),SingleCase(ActualActual::ISMA,Date(30,July,1999), Date(30,January,2000),Date(30,July,1999), Date(30,January,2000),0.500000000000),SingleCase(ActualActual::AFB,Date(30,July,1999), Date(30,January,2000),0.504109589041),// short final calculation period (final period)SingleCase(ActualActual::ISDA,Date(30,January,2000), Date(30,June,2000),0.415300546448),SingleCase(ActualActual::ISMA,Date(30,January,2000), Date(30,June,2000),Date(30,January,2000), Date(30,July,2000),0.417582417582),SingleCase(ActualActual::AFB,Date(30,January,2000), Date(30,June,2000),0.41530054644)};Size n = sizeof(testCases)/sizeof(SingleCase);for (Size i=0; i<n; i++) {ActualActual dayCounter(testCases[i].convention);Date d1 = testCases[i].start,d2 = testCases[i].end,rd1 = testCases[i].refStart,rd2 = testCases[i].refEnd;Time calculated = dayCounter.yearFraction(d1,d2,rd1,rd2);if (std::fabs(calculated-testCases[i].result) > 1.0e-10) {std::ostringstream period, refPeriod;period << "period: " << d1 << " to " << d2;if (testCases[i].convention == ActualActual::ISMA)refPeriod << "referencePeriod: " << rd1 << " to " << rd2;BOOST_ERROR(dayCounter.name() << ":\n"<< period.str() << "\n" << refPeriod.str() << "\n"<< std::setprecision(10)<< " calculated: " << calculated << "\n"<< " expected: " << testCases[i].result);}}
}void DayCounterTest::testActualActualIsma()
{BOOST_TEST_MESSAGE("Testing actual/actual (ISMA) with odd last period...");bool isEndOfMonth(false);Frequency frequency(Semiannual);Date interestAccrualDate(30, Jan, 1999);Date maturityDate(30, Jun, 2000);Date firstCouponDate(30, Jul, 1999);Date penultimateCouponDate(30, Jan, 2000);Date d1(30, Jan, 2000);Date d2(30, Jun, 2000);double expected(152. / (182. * 2));Schedule schedule = MakeSchedule().from(interestAccrualDate).to(maturityDate).withFrequency(frequency).withFirstDate(firstCouponDate).withNextToLastDate(penultimateCouponDate).endOfMonth(isEndOfMonth);DayCounter dayCounter = ActualActual(ActualActual::ISMA, schedule);Real calculated(dayCounter.yearFraction(d1, d2));if (std::fabs(calculated - expected) > 1.0e-10) {std::ostringstream period;period << "period: " << d1 << " to " << d2 << "\n"<< "firstCouponDate: " << firstCouponDate << "\n"<< "penultimateCouponDate: " << penultimateCouponDate << "\n";BOOST_ERROR(dayCounter.name() << ":\n"<< period.str()<< std::setprecision(10)<< " calculated: " << calculated << "\n"<< " expected: " << expected);}//isEndOfMonth = true;frequency = Quarterly;interestAccrualDate = Date(31, May, 1999);maturityDate = Date(30, Apr, 2000);firstCouponDate = Date(31, Aug, 1999);penultimateCouponDate = Date(30, Nov, 1999);d1 = Date(30, Nov, 1999);d2 = Date(30, Apr, 2000);expected = 91.0 / (91.0 * 4) + 61.0 / (92.0 * 4);schedule = MakeSchedule().from(interestAccrualDate).to(maturityDate).withFrequency(frequency).withFirstDate(firstCouponDate).withNextToLastDate(penultimateCouponDate).endOfMonth(isEndOfMonth);dayCounter = ActualActual(ActualActual::ISMA, schedule);calculated = dayCounter.yearFraction(d1, d2);if (std::fabs(calculated - expected) > 1.0e-10) {std::ostringstream period;period << "period: " << d1 << " to " << d2 << "\n"<< "firstCouponDate: " << firstCouponDate << "\n"<< "penultimateCouponDate: " << penultimateCouponDate << "\n";BOOST_ERROR(dayCounter.name() << ":\n"<< period.str()<< std::setprecision(10)<< " calculated: " << calculated << "\n"<< " expected: " << expected);}//isEndOfMonth = false;frequency = Quarterly;interestAccrualDate = Date(31, May, 1999);maturityDate = Date(30, Apr, 2000);firstCouponDate = Date(31, Aug, 1999);penultimateCouponDate = Date(30, Nov, 1999);d1 = Date(30, Nov, 1999);d2 = Date(30, Apr, 2000);expected = 91.0 / (91.0 * 4) + 61.0 / (90.0 * 4);schedule = MakeSchedule().from(interestAccrualDate).to(maturityDate).withFrequency(frequency).withFirstDate(firstCouponDate).withNextToLastDate(penultimateCouponDate).endOfMonth(isEndOfMonth);dayCounter = ActualActual(ActualActual::ISMA, schedule);calculated = dayCounter.yearFraction(d1, d2);if (std::fabs(calculated - expected) > 1.0e-10) {std::ostringstream period;period << "period: " << d1 << " to " << d2 << "\n"<< "firstCouponDate: " << firstCouponDate << "\n"<< "penultimateCouponDate: " << penultimateCouponDate << "\n";BOOST_ERROR(dayCounter.name() << ":\n"<< period.str()<< std::setprecision(10)<< " calculated: " << calculated << "\n"<< " expected: " << expected);}
}void DayCounterTest::testActualActualWithSemiannualSchedule() {BOOST_TEST_MESSAGE("Testing actual/actual with schedule ""for undefined semiannual reference periods...");using namespace day_counters_test;Calendar calendar = UnitedStates(UnitedStates::GovernmentBond);Date fromDate = Date(10, January, 2017);Date firstCoupon = Date(31, August, 2017);Date quasiCoupon = Date(28, February, 2017);Date quasiCoupon2 = Date(31, August, 2016);Schedule schedule = MakeSchedule().from(fromDate).withFirstDate(firstCoupon).to(Date(28, February, 2026)).withFrequency(Semiannual).withCalendar(calendar).withConvention(Unadjusted).backwards().endOfMonth(true);Date testDate = schedule.date(1);DayCounter dayCounter = ActualActual(ActualActual::ISMA, schedule);DayCounter dayCounterNoSchedule = ActualActual(ActualActual::ISMA);Date referencePeriodStart = schedule.date(1);Date referencePeriodEnd = schedule.date(2);//TestQL_ASSERT(dayCounter.yearFraction(referencePeriodStart,referencePeriodStart) == 0.0,"This should be zero.");QL_ASSERT(dayCounterNoSchedule.yearFraction(referencePeriodStart,referencePeriodStart) == 0.0,"This should be zero");QL_ASSERT(dayCounterNoSchedule.yearFraction(referencePeriodStart,referencePeriodStart,referencePeriodStart,referencePeriodStart) == 0.0,"This should be zero");QL_ASSERT(dayCounter.yearFraction(referencePeriodStart,referencePeriodEnd) == 0.5,"This should be exact using schedule; "<< referencePeriodStart << " to " << referencePeriodEnd<< "Should be 0.5");QL_ASSERT(dayCounterNoSchedule.yearFraction(referencePeriodStart,referencePeriodEnd,referencePeriodStart,referencePeriodEnd) == 0.5,"This should be exact for explicit reference ""periods with no schedule");while (testDate < referencePeriodEnd) {Time difference =dayCounter.yearFraction(testDate, referencePeriodEnd,referencePeriodStart, referencePeriodEnd) -dayCounter.yearFraction(testDate, referencePeriodEnd);if (std::fabs(difference) > 1.0e-10) {BOOST_ERROR("Failed to correctly use the schedule ""to find the reference period for Act/Act");};testDate = calendar.advance(testDate, 1, Days);}//Test long first couponReal calculatedYearFraction =dayCounter.yearFraction(fromDate, firstCoupon);Real expectedYearFraction =0.5 + ((Real) dayCounter.dayCount(fromDate, quasiCoupon))/(2*dayCounter.dayCount(quasiCoupon2, quasiCoupon));QL_ASSERT(std::fabs(calculatedYearFraction-expectedYearFraction) < 1.0e-10,"Failed to compute the expected year fraction ""\n expected: " << expectedYearFraction <<"\n calculated: " << calculatedYearFraction);// test multiple periodsschedule = MakeSchedule().from(Date(10, January, 2017)).withFirstDate(Date(31, August, 2017)).to(Date(28, February, 2026)).withFrequency(Semiannual).withCalendar(calendar).withConvention(Unadjusted).backwards().endOfMonth(false);Date periodStartDate = schedule.date(1);Date periodEndDate = schedule.date(2);dayCounter = ActualActual(ActualActual::ISMA, schedule);while (periodEndDate < schedule.date(schedule.size()-2)) {Time expected =actualActualDaycountComputation(schedule,periodStartDate,periodEndDate);Time calculated = dayCounter.yearFraction(periodStartDate,periodEndDate);if (std::fabs(expected - calculated) > 1e-8) {BOOST_ERROR("Failed to compute the correct year fraction ""given a schedule: " << periodStartDate <<" to " << periodEndDate <<"\n expected: " << expected <<" calculated: " << calculated);}periodEndDate = calendar.advance(periodEndDate, 1, Days);}
}void DayCounterTest::testActualActualWithAnnualSchedule(){BOOST_TEST_MESSAGE("Testing actual/actual with schedule ""for undefined annual reference periods...");using namespace day_counters_test;// Now do an annual scheduleCalendar calendar = UnitedStates(UnitedStates::GovernmentBond);Schedule schedule = MakeSchedule().from(Date(10, January, 2017)).withFirstDate(Date(31, August, 2017)).to(Date(28, February, 2026)).withFrequency(Annual).withCalendar(calendar).withConvention(Unadjusted).backwards().endOfMonth(false);Date referencePeriodStart = schedule.date(1);Date referencePeriodEnd = schedule.date(2);Date testDate = schedule.date(1);DayCounter dayCounter = ActualActual(ActualActual::ISMA, schedule);while (testDate < referencePeriodEnd) {Time difference =ISMAYearFractionWithReferenceDates(dayCounter,testDate, referencePeriodEnd,referencePeriodStart, referencePeriodEnd) -dayCounter.yearFraction(testDate, referencePeriodEnd);if (std::fabs(difference) > 1.0e-10) {BOOST_ERROR("Failed to correctly use the schedule ""to find the reference period for Act/Act:\n"<< testDate << " to " << referencePeriodEnd<< "\n Ref: " << referencePeriodStart<< " to " << referencePeriodEnd);}testDate = calendar.advance(testDate, 1, Days);}
}void DayCounterTest::testActualActualWithSchedule() {BOOST_TEST_MESSAGE("Testing actual/actual day counter with schedule...");using namespace day_counters_test;// long first couponDate issueDateExpected = Date(17, January, 2017);Date firstCouponDateExpected = Date(31, August, 2017);Schedule schedule =MakeSchedule().from(issueDateExpected).withFirstDate(firstCouponDateExpected).to(Date(28, February, 2026)).withFrequency(Semiannual).withCalendar(Canada()).withConvention(Unadjusted).backwards().endOfMonth();Date issueDate = schedule.date(0);QL_REQUIRE(issueDate == issueDateExpected,"This is not the expected issue date " << issueDate<< " expected " << issueDateExpected);Date firstCouponDate = schedule.date(1);QL_REQUIRE(firstCouponDate == firstCouponDateExpected,"This is not the expected first coupon date " << firstCouponDate<< " expected: " << firstCouponDateExpected);//Make thw quasi coupon dates:Date quasiCouponDate2 = schedule.calendar().advance(firstCouponDate,-schedule.tenor(),schedule.businessDayConvention(),schedule.endOfMonth());Date quasiCouponDate1 = schedule.calendar().advance(quasiCouponDate2,-schedule.tenor(),schedule.businessDayConvention(),schedule.endOfMonth());Date quasiCouponDate1Expected = Date(31, August, 2016);Date quasiCouponDate2Expected = Date(28, February, 2017);QL_REQUIRE(quasiCouponDate2 == quasiCouponDate2Expected,"Expected " << quasiCouponDate2Expected<< " as the later quasi coupon date but received "<< quasiCouponDate2);QL_REQUIRE(quasiCouponDate1 == quasiCouponDate1Expected,"Expected " << quasiCouponDate1Expected<< " as the earlier quasi coupon date but received "<< quasiCouponDate1);DayCounter dayCounter = ActualActual(ActualActual::ISMA, schedule);// full couponTime t_with_reference = dayCounter.yearFraction(issueDate, firstCouponDate,quasiCouponDate2, firstCouponDate);Time t_no_reference = dayCounter.yearFraction(issueDate,firstCouponDate);Time t_total =ISMAYearFractionWithReferenceDates(dayCounter,issueDate, quasiCouponDate2,quasiCouponDate1, quasiCouponDate2)+ 0.5;Time expected = 0.6160220994;if (std::fabs(t_total - expected) > 1.0e-10) {BOOST_ERROR("Failed to reproduce expected time:\n"<< std::setprecision(10)<< " calculated: " << t_total << "\n"<< " expected: " << expected);}if (std::fabs(t_with_reference -expected) > 1.0e-10) {BOOST_ERROR("Failed to reproduce expected time:\n"<< std::setprecision(10)<< " calculated: " << t_with_reference << "\n"<< " expected: " << expected);}if (std::fabs(t_no_reference - t_with_reference) > 1.0e-10) {BOOST_ERROR("Should produce the same time ""whether or not references are present");}// settlement date in the first quasi-periodDate settlementDate = Date(29, January, 2017);t_with_reference = ISMAYearFractionWithReferenceDates(dayCounter,issueDate, settlementDate,quasiCouponDate1, quasiCouponDate2);t_no_reference = dayCounter.yearFraction(issueDate, settlementDate);Time t_expected_first_qp = 0.03314917127071823; //12.0/362if (std::fabs(t_with_reference - t_expected_first_qp) > 1.0e-10) {BOOST_ERROR("Failed to reproduce expected time:\n"<< std::setprecision(10)<< " calculated: " << t_no_reference << "\n"<< " expected: " << t_expected_first_qp);}if (std::fabs(t_no_reference - t_with_reference) > 1.0e-10) {BOOST_ERROR("Should produce the same time ""whether or not references are present");}Time t2 = dayCounter.yearFraction(settlementDate, firstCouponDate);if (std::fabs(t_expected_first_qp + t2 - expected) > 1.0e-10) {BOOST_ERROR("Sum of quasiperiod2 split is not consistent");}// settlement date in the second quasi-periodsettlementDate = Date(29, July, 2017);/*T = dayCounter.yearFraction(issueDate,settlementDate,quasiCouponDate2,firstCouponDate);t1 = dayCounter.yearFraction(issueDate,quasiCouponDate2,quasiCouponDate1,quasiCouponDate2);Time t2 = dayCounter.yearFraction(quasiCouponDate2,settlementDate,quasiCouponDate2,firstCouponDate);*/t_no_reference = dayCounter.yearFraction(issueDate, settlementDate);t_with_reference = ISMAYearFractionWithReferenceDates(dayCounter,issueDate, quasiCouponDate2,quasiCouponDate1, quasiCouponDate2) + ISMAYearFractionWithReferenceDates(dayCounter,quasiCouponDate2, settlementDate,quasiCouponDate2, firstCouponDate);if (std::fabs(t_no_reference - t_with_reference) > 1.0e-10) {BOOST_ERROR("These two cases should be identical");};t2 = dayCounter.yearFraction(settlementDate, firstCouponDate);if (std::fabs(t_total-(t_no_reference+t2)) > 1.0e-10) {BOOST_ERROR("Failed to reproduce expected time:\n"<< std::setprecision(10)<< " calculated: " << t_total << "\n"<< " expected: " << t_no_reference+t2);}
}void DayCounterTest::testSimple() {BOOST_TEST_MESSAGE("Testing simple day counter...");Period p[] = { Period(3,Months), Period(6,Months), Period(1,Years) };Time expected[] = { 0.25, 0.5, 1.0 };Size n = sizeof(p)/sizeof(Period);// 4 years should be enoughDate first(1,January,2002), last(31,December,2005);DayCounter dayCounter = SimpleDayCounter();for (Date start = first; start <= last; start++) {for (Size i=0; i<n; i++) {Date end = start + p[i];Time calculated = dayCounter.yearFraction(start,end);if (std::fabs(calculated-expected[i]) > 1.0e-12) {BOOST_ERROR("from " << start << " to " << end << ":\n"<< std::setprecision(12)<< " calculated: " << calculated << "\n"<< " expected: " << expected[i]);}}}
}void DayCounterTest::testOne() {BOOST_TEST_MESSAGE("Testing 1/1 day counter...");Period p[] = { Period(3,Months), Period(6,Months), Period(1,Years) };Time expected[] = { 1.0, 1.0, 1.0 };Size n = sizeof(p)/sizeof(Period);// 1 years should be enoughDate first(1,January,2004), last(31,December,2004);DayCounter dayCounter = OneDayCounter();for (Date start = first; start <= last; start++) {for (Size i=0; i<n; i++) {Date end = start + p[i];Time calculated = dayCounter.yearFraction(start,end);if (std::fabs(calculated-expected[i]) > 1.0e-12) {BOOST_ERROR("from " << start << " to " << end << ":\n"<< std::setprecision(12)<< " calculated: " << calculated << "\n"<< " expected: " << expected[i]);}}}
}void DayCounterTest::testBusiness252() {BOOST_TEST_MESSAGE("Testing business/252 day counter...");std::vector<Date> testDates = {Date(1, February, 2002),Date(4, February, 2002),Date(16, May, 2003),Date(17, December, 2003),Date(17, December, 2004),Date(19, December, 2005),Date(2, January, 2006),Date(13, March, 2006),Date(15, May, 2006),Date(17, March, 2006),Date(15, May, 2006),Date(26, July, 2006),Date(28, June, 2007),Date(16, September, 2009),Date(26, July, 2016)};Time expected[] = {0.0039682539683,1.2738095238095,0.6031746031746,0.9960317460317,1.0000000000000,0.0396825396825,0.1904761904762,0.1666666666667,-0.1507936507937,0.1507936507937,0.2023809523810,0.912698412698,2.214285714286,6.84126984127};DayCounter dayCounter1 = Business252(Brazil());Time calculated;for (Size i=1; i<testDates.size(); i++) {calculated = dayCounter1.yearFraction(testDates[i-1],testDates[i]);if (std::fabs(calculated-expected[i-1]) > 1.0e-12) {BOOST_ERROR("from " << testDates[i-1]<< " to " << testDates[i] << ":\n"<< std::setprecision(14)<< " calculated: " << calculated << "\n"<< " expected: " << expected[i-1]);}}DayCounter dayCounter2 = Business252();for (Size i=1; i<testDates.size(); i++) {calculated = dayCounter2.yearFraction(testDates[i-1],testDates[i]);if (std::fabs(calculated-expected[i-1]) > 1.0e-12) {BOOST_ERROR("from " << testDates[i-1]<< " to " << testDates[i] << ":\n"<< std::setprecision(14)<< " calculated: " << calculated << "\n"<< " expected: " << expected[i-1]);}}
}void DayCounterTest::testThirty365() {BOOST_TEST_MESSAGE("Testing 30/365 day counter...");Date d1(17,June,2011), d2(30,December,2012);DayCounter dayCounter = Thirty365();BigInteger days = dayCounter.dayCount(d1,d2);if (days != 553) {BOOST_FAIL("from " << d1 << " to " << d2 << ":\n"<< " calculated: " << days << "\n"<< " expected: " << 553);}Time t = dayCounter.yearFraction(d1,d2);Time expected = 553/365.0;if (std::fabs(t-expected) > 1.0e-12) {BOOST_FAIL("from " << d1 << " to " << d2 << ":\n"<< std::setprecision(12)<< " calculated: " << t << "\n"<< " expected: " << expected);}
}void DayCounterTest::testThirty360_BondBasis() {BOOST_TEST_MESSAGE("Testing 30/360 day counter (Bond Basis)...");// See https://www.isda.org/2008/12/22/30-360-day-count-conventions/DayCounter dayCounter = Thirty360(Thirty360::BondBasis);day_counters_test::Thirty360Case data[] = {// Example 1: End dates do not involve the last day of February{Date(20, August, 2006), Date(20, February, 2007), 180},{Date(20, February, 2007), Date(20, August, 2007), 180},{Date(20, August, 2007), Date(20, February, 2008), 180},{Date(20, February, 2008), Date(20, August, 2008), 180},{Date(20, August, 2008), Date(20, February, 2009), 180},{Date(20, February, 2009), Date(20, August, 2009), 180}, // Example 2: End dates include some end-February dates{Date(31, August, 2006), Date(28, February, 2007), 178},{Date(28, February, 2007), Date(31, August, 2007), 183},{Date(31, August, 2007), Date(29, February, 2008), 179},{Date(29, February, 2008), Date(31, August, 2008), 182},{Date(31, August, 2008), Date(28, February, 2009), 178},{Date(28, February, 2009), Date(31, August, 2009), 183},// Example 3: Miscellaneous calculations{Date(31, January, 2006), Date(28, February, 2006), 28},{Date(30, January, 2006), Date(28, February, 2006), 28},{Date(28, February, 2006), Date(3, March, 2006), 5},{Date(14, February, 2006), Date(28, February, 2006), 14},{Date(30, September, 2006), Date(31, October, 2006), 30},{Date(31, October, 2006), Date(28, November, 2006), 28},{Date(31, August, 2007), Date(28, February, 2008), 178},{Date(28, February, 2008), Date(28, August, 2008), 180},{Date(28, February, 2008), Date(30, August, 2008), 182},{Date(28, February, 2008), Date(31, August, 2008), 183},{Date(26, February, 2007), Date(28, February, 2008), 362},{Date(26, February, 2007), Date(29, February, 2008), 363},{Date(29, February, 2008), Date(28, February, 2009), 359},{Date(28, February, 2008), Date(30, March, 2008), 32},{Date(28, February, 2008), Date(31, March, 2008), 33}};for (auto x : data) {Date::serial_type calculated = dayCounter.dayCount(x.start, x.end);if (calculated != x.expected) {BOOST_ERROR("from " << x.start<< " to " << x.end << ":\n"<< " calculated: " << calculated << "\n"<< " expected: " << x.expected);}}
}void DayCounterTest::testThirty360_EurobondBasis() {BOOST_TEST_MESSAGE("Testing 30/360 day counter (Eurobond Basis)...");// See https://www.isda.org/2008/12/22/30-360-day-count-conventions/DayCounter dayCounter = Thirty360(Thirty360::EurobondBasis);day_counters_test::Thirty360Case data[] = {// Example 1: End dates do not involve the last day of February{Date(20, August, 2006), Date(20, February, 2007), 180},{Date(20, February, 2007), Date(20, August, 2007), 180},{Date(20, August, 2007), Date(20, February, 2008), 180},{Date(20, February, 2008), Date(20, August, 2008), 180},{Date(20, August, 2008), Date(20, February, 2009), 180},{Date(20, February, 2009), Date(20, August, 2009), 180},// Example 2: End dates include some end-February dates{Date(28, February, 2006), Date(31, August, 2006), 182},{Date(31, August, 2006), Date(28, February, 2007), 178},{Date(28, February, 2007), Date(31, August, 2007), 182},{Date(31, August, 2007), Date(29, February, 2008), 179},{Date(29, February, 2008), Date(31, August, 2008), 181},{Date(31, August, 2008), Date(28, Feb, 2009), 178},{Date(28, February, 2009), Date(31, August, 2009), 182},{Date(31, August, 2009), Date(28, Feb, 2010), 178},{Date(28, February, 2010), Date(31, August, 2010), 182},{Date(31, August, 2010), Date(28, Feb, 2011), 178},{Date(28, February, 2011), Date(31, August, 2011), 182},{Date(31, August, 2011), Date(29, Feb, 2012), 179},// Example 3: Miscellaneous calculations{Date(31, January, 2006), Date(28, February, 2006), 28},{Date(30, January, 2006), Date(28, February, 2006), 28},{Date(28, February, 2006), Date(3, March, 2006), 5},{Date(14, February, 2006), Date(28, February, 2006), 14},{Date(30, September, 2006), Date(31, October, 2006), 30},{Date(31, October, 2006), Date(28, November, 2006), 28},{Date(31, August, 2007), Date(28, February, 2008), 178},{Date(28, February, 2008), Date(28, August, 2008), 180},{Date(28, February, 2008), Date(30, August, 2008), 182},{Date(28, February, 2008), Date(31, August, 2008), 182},{Date(26, February, 2007), Date(28, February, 2008), 362},{Date(26, February, 2007), Date(29, February, 2008), 363},{Date(29, February, 2008), Date(28, February, 2009), 359},{Date(28, February, 2008), Date(30, March, 2008), 32},{Date(28, February, 2008), Date(31, March, 2008), 32}};for (auto x : data) {Date::serial_type calculated = dayCounter.dayCount(x.start, x.end);if (calculated != x.expected) {BOOST_ERROR("from " << x.start<< " to " << x.end << ":\n"<< " calculated: " << calculated << "\n"<< " expected: " << x.expected);}}
}void DayCounterTest::testThirty360_ISDA() {BOOST_TEST_MESSAGE("Testing 30/360 day counter (ISDA)...");// See https://www.isda.org/2008/12/22/30-360-day-count-conventions/day_counters_test::Thirty360Case data1[] = {// Example 1: End dates do not involve the last day of February{Date(20, August, 2006), Date(20, February, 2007), 180},{Date(20, February, 2007), Date(20, August, 2007), 180},{Date(20, August, 2007), Date(20, February, 2008), 180},{Date(20, February, 2008), Date(20, August, 2008), 180},{Date(20, August, 2008), Date(20, February, 2009), 180},{Date(20, February, 2009), Date(20, August, 2009), 180},};Date terminationDate = Date(20, August, 2009);Thirty360 dayCounter(Thirty360::ISDA, terminationDate);for (auto x : data1) {Date::serial_type calculated = dayCounter.dayCount(x.start, x.end);if (calculated != x.expected) {BOOST_ERROR("from " << x.start<< " to " << x.end << ":\n"<< " calculated: " << calculated << "\n"<< " expected: " << x.expected);}}day_counters_test::Thirty360Case data2[] = {// Example 2: End dates include some end-February dates{Date(28, February, 2006), Date(31, August, 2006), 180},{Date(31, August, 2006), Date(28, February, 2007), 180},{Date(28, February, 2007), Date(31, August, 2007), 180},{Date(31, August, 2007), Date(29, February, 2008), 180},{Date(29, February, 2008), Date(31, August, 2008), 180},{Date(31, August, 2008), Date(28, February, 2009), 180},{Date(28, February, 2009), Date(31, August, 2009), 180},{Date(31, August, 2009), Date(28, February, 2010), 180},{Date(28, February, 2010), Date(31, August, 2010), 180},{Date(31, August, 2010), Date(28, February, 2011), 180},{Date(28, February, 2011), Date(31, August, 2011), 180},{Date(31, August, 2011), Date(29, February, 2012), 179},};terminationDate = Date(29, February, 2012);dayCounter = Thirty360(Thirty360::ISDA, terminationDate);for (auto x : data2) {Date::serial_type calculated = dayCounter.dayCount(x.start, x.end);if (calculated != x.expected) {BOOST_ERROR("from " << x.start<< " to " << x.end << ":\n"<< " calculated: " << calculated << "\n"<< " expected: " << x.expected);}}day_counters_test::Thirty360Case data3[] = {// Example 3: Miscellaneous calculations{Date(31, January, 2006), Date(28, February, 2006), 30},{Date(30, January, 2006), Date(28, February, 2006), 30},{Date(28, February, 2006), Date(3, March, 2006), 3},{Date(14, February, 2006), Date(28, February, 2006), 16},{Date(30, September, 2006), Date(31, October, 2006), 30},{Date(31, October, 2006), Date(28, November, 2006), 28},{Date(31, August, 2007), Date(28, February, 2008), 178},{Date(28, February, 2008), Date(28, August, 2008), 180},{Date(28, February, 2008), Date(30, August, 2008), 182},{Date(28, February, 2008), Date(31, August, 2008), 182},{Date(28, February, 2007), Date(28, February, 2008), 358},{Date(28, February, 2007), Date(29, February, 2008), 359},{Date(29, February, 2008), Date(28, February, 2009), 360},{Date(29, February, 2008), Date(30, March, 2008), 30},{Date(29, February, 2008), Date(31, March, 2008), 30}};terminationDate = Date(29, February, 2008);dayCounter = Thirty360(Thirty360::ISDA, terminationDate);for (auto x : data3) {Date::serial_type calculated = dayCounter.dayCount(x.start, x.end);if (calculated != x.expected) {BOOST_ERROR("from " << x.start<< " to " << x.end << ":\n"<< " calculated: " << calculated << "\n"<< " expected: " << x.expected);}}
}void DayCounterTest::testActual365_Canadian() {BOOST_TEST_MESSAGE("Testing that Actual/365 (Canadian) throws when needed...");Actual365Fixed dayCounter(Actual365Fixed::Canadian);try {// no reference perioddayCounter.yearFraction(Date(10, September, 2018),Date(10, September, 2019));BOOST_ERROR("Invalid call to yearFraction failed to throw");} catch (Error&) {; // expected}try {// reference period shorter than a monthdayCounter.yearFraction(Date(10, September, 2018),Date(12, September, 2018),Date(10, September, 2018),Date(15, September, 2018));BOOST_ERROR("Invalid call to yearFraction failed to throw");} catch (Error&) {; // expected}
}void DayCounterTest::testIntraday() {#ifdef QL_HIGH_RESOLUTION_DATEBOOST_TEST_MESSAGE("Testing intraday behavior of day counter ...");const Date d1(12, February, 2015);const Date d2(14, February, 2015, 12, 34, 17, 1, 230298);const Time tol = 100*QL_EPSILON;const DayCounter dayCounters[]= { ActualActual(ActualActual::ISDA), Actual365Fixed(), Actual360() };for (DayCounter dc : dayCounters) {const Time expected = ((12*60 + 34)*60 + 17 + 0.231298)* dc.yearFraction(d1, d1+1)/86400+ dc.yearFraction(d1, d1+2);BOOST_CHECK_MESSAGE(std::fabs(dc.yearFraction(d1, d2) - expected) < tol,"can not reproduce result for day counter " << dc.name());BOOST_CHECK_MESSAGE(std::fabs(dc.yearFraction(d2, d1) + expected) < tol,"can not reproduce result for day counter " << dc.name());}
#endif
}void DayCounterTest::testActualActualOutOfScheduleRange() {Date today = Date(10, November, 2020);Date temp = Settings::instance().evaluationDate();Settings::instance().evaluationDate() = today;Date effectiveDate = Date(21, May, 2019);Date terminationDate = Date(21, May, 2029);Period tenor = Period(1, Years);Calendar calendar = China(China::Market::IB);BusinessDayConvention convention = Unadjusted;BusinessDayConvention terminationDateConvention = convention;DateGeneration::Rule rule = DateGeneration::Backward;bool endOfMonth = false;Schedule schedule = Schedule(effectiveDate, terminationDate, tenor, calendar, convention,terminationDateConvention, rule, endOfMonth);DayCounter dayCounter = ActualActual(ActualActual::Convention::Bond, schedule);bool raised = false;try {dayCounter.yearFraction(today, today + Period(9, Years));} catch (const std::exception&) {raised = true;}if (!raised) {BOOST_FAIL("Exception expected but did not happen!");}Settings::instance().evaluationDate() = temp;
}void DayCounterTest::testAct366() {BOOST_TEST_MESSAGE("Testing Act/366 day counter...");std::vector<Date> testDates = {Date(1, February, 2002),Date(4, February, 2002),Date(16, May, 2003),Date(17, December, 2003),Date(17, December, 2004),Date(19, December, 2005),Date(2, January, 2006),Date(13, March, 2006),Date(15, May, 2006),Date(17, March, 2006),Date(15, May, 2006),Date(26, July, 2006),Date(28, June, 2007),Date(16, September, 2009),Date(26, July, 2016)};Time expected[] = {0.00819672131147541,1.27322404371585,0.587431693989071,1.0000000000000,1.00273224043716,0.0382513661202186,0.191256830601093,0.172131147540984,-0.16120218579235,0.16120218579235,0.19672131147541,0.920765027322404,2.21584699453552,6.84426229508197};DayCounter dayCounter = Actual366();Time calculated;for (Size i=1; i<testDates.size(); i++) {calculated = dayCounter.yearFraction(testDates[i-1],testDates[i]);if (std::fabs(calculated-expected[i-1]) > 1.0e-12) {BOOST_ERROR("from " << testDates[i-1]<< " to " << testDates[i] << ":\n"<< std::setprecision(14)<< " calculated: " << calculated << "\n"<< " expected: " << expected[i-1]);}}
}void DayCounterTest::testAct36525() {BOOST_TEST_MESSAGE("Testing Act/365.25 day counter...");std::vector<Date> testDates = {Date(1, February, 2002),Date(4, February, 2002),Date(16, May, 2003),Date(17, December, 2003),Date(17, December, 2004),Date(19, December, 2005),Date(2, January, 2006),Date(13, March, 2006),Date(15, May, 2006),Date(17, March, 2006),Date(15, May, 2006),Date(26, July, 2006),Date(28, June, 2007),Date(16, September, 2009),Date(26, July, 2016)};Time expected[] = {0.0082135523613963,1.27583846680356,0.588637919233402,1.00205338809035,1.00479123887748,0.0383299110198494,0.191649555099247,0.172484599589322,-0.161533196440794,0.161533196440794,0.197125256673511,0.922655715263518,2.22039698836413,6.85831622176591};DayCounter dayCounter = Actual36525();Time calculated;for (Size i=1; i<testDates.size(); i++) {calculated = dayCounter.yearFraction(testDates[i-1],testDates[i]);if (std::fabs(calculated-expected[i-1]) > 1.0e-12) {BOOST_ERROR("from " << testDates[i-1]<< " to " << testDates[i] << ":\n"<< std::setprecision(14)<< " calculated: " << calculated << "\n"<< " expected: " << expected[i-1]);}}
}test_suite* DayCounterTest::suite() {auto* suite = BOOST_TEST_SUITE("Day counter tests");suite->add(QUANTLIB_TEST_CASE(&DayCounterTest::testActualActual));suite->add(QUANTLIB_TEST_CASE(&DayCounterTest::testActualActualIsma));suite->add(QUANTLIB_TEST_CASE(&DayCounterTest::testActualActualWithSemiannualSchedule));suite->add(QUANTLIB_TEST_CASE(&DayCounterTest::testActualActualWithAnnualSchedule));suite->add(QUANTLIB_TEST_CASE(&DayCounterTest::testActualActualWithSchedule));suite->add(QUANTLIB_TEST_CASE(&DayCounterTest::testSimple));suite->add(QUANTLIB_TEST_CASE(&DayCounterTest::testOne));suite->add(QUANTLIB_TEST_CASE(&DayCounterTest::testBusiness252));suite->add(QUANTLIB_TEST_CASE(&DayCounterTest::testThirty365));suite->add(QUANTLIB_TEST_CASE(&DayCounterTest::testThirty360_BondBasis));suite->add(QUANTLIB_TEST_CASE(&DayCounterTest::testThirty360_EurobondBasis));suite->add(QUANTLIB_TEST_CASE(&DayCounterTest::testThirty360_ISDA));suite->add(QUANTLIB_TEST_CASE(&DayCounterTest::testActual365_Canadian));suite->add(QUANTLIB_TEST_CASE(&DayCounterTest::testActualActualOutOfScheduleRange));suite->add(QUANTLIB_TEST_CASE(&DayCounterTest::testAct366));suite->add(QUANTLIB_TEST_CASE(&DayCounterTest::testAct36525));#ifdef QL_HIGH_RESOLUTION_DATEsuite->add(QUANTLIB_TEST_CASE(&DayCounterTest::testIntraday));
#endifreturn suite;
}该博文为原创文章，未经博主同意不得转。
本文章博客地址：https://cplusplus.blog.csdn.net/article/details/128350119
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