maintestasset.cpp

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#include"..\PartC\asset.h"
#include "../common/filereader.h"

#include<iostream>
#include<valarray>
#include<time.h>
using namespace std;


bool mainasset(void) {
        string datadir = FileReader::getdatadirasstring();
        string yieldCurveData = datadir + "yctest.csv";
        bool result=true;
        Real test=0.0;
        // the underlying curve
        valarray<yieldPoint> *rates = 
                FileReader::buildYieldPointArray(yieldCurveData);

        yieldCurve testcurve=yieldCurve(*rates,"test");

        Date d= Date();
        d.setDateToToday();
        d=d.plusYears (1);
        flowSchedule flow1=flowSchedule(d,0.05); //5% after 1Y
        d.setDateToToday();
        d=d.plusYears (2);
        flowSchedule flow2=flowSchedule(d,0.05); //5% after 2Y
        valarray<flowSchedule> divSched(2);
        divSched [0]=flow1;
        divSched [1]=flow2;
        asset a=asset(100,testcurve,false,0,divSched);
        d.setDateToToday();
        d=d.plusYears (1);
        d=d.plusDays (-1);
        
        test=a.forwardPrice(d);
        result&=(test==100);
        cout<<"Div Sched - fwd 1yr minus 1day of payment: "<<test<<endl;
        
        d=d.plusDays (+1);
        test=a.forwardPrice(d);
        result&=(test>95.2387)&&(test<95.2389);
        cout<<"Div Sched - fwd 1yr of payment: "<<test<<endl;
        
        d.setDateToToday();
        d=d.plusYears (2);
        test=a.forwardPrice(d);
        result&=(test>90.6942)&&(test<90.6944);
        cout<<"Div Sched - fwd 2yrs of payment: "<<test<<endl;

        a.setDivAsRate(0.05);
        d.setDateToToday();
        d=d.plusYears (1);
        test=a.forwardPrice(d);
        result&=(test>94.7273)&&(test<94.7275);
        cout<<"Fixed div Rate - fwd 1yr of payment: "<<test<<endl;
        
        // For output file
        valarray<flowSchedule> testFlows(10);
        d.setDateToToday();
        Real rate;
        for (Natural i=0;i<10;i++){
                d=d.plusYears (1);
                if (i % 2 == 0)
                        rate =0.05;
                else
                        rate =0.10;
                testFlows[i]=flowSchedule(d,rate);
        }

        asset b= asset(100,testcurve,false,0,testFlows,EUR);
        asset c= asset(100,testcurve,true,0.075);
        string filename = FileReader::getdatadirasstring() + "test_Asset.txt"; 
        ofstream myfile(filename.c_str()); 
        myfile << "Test Forward Price - Div Sched 0.05 even years, 0.10 odd years, for 10 years\n";
        d.setDateToToday();
        for (Natural i=1;i<=24;i++){
                d=d.plusMonths (6);
                myfile<<d.toString()<<" , "<<b.forwardPrice(d)<<"\n";
        }       
        myfile << "\nTest Forward Price - Fixed Rate at 0.075, for 10 years\n";
        d.setDateToToday();
        for (Natural i=1;i<=24;i++){
                d=d.plusMonths (6);
                myfile<<d.toString()<<" , "<<c.forwardPrice(d)<<"\n";
        }       
        myfile.close();

        return result;
}

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