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Faster IMM and ASX date tests
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@lballabio
lballabio committed Mar 9, 2021
1 parent fb4e819 commit 51b73ce
Showing 1 changed file with 34 additions and 63 deletions.
97 changes: 34 additions & 63 deletions test-suite/dates.cpp
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Original file line number Diff line number Diff line change
Expand Up @@ -44,11 +44,11 @@ void DateTest::ecbDates() {

std::set<Date> knownDates = ECB::knownDates();
if (knownDates.empty())
BOOST_FAIL("\nempty EBC date vector");
BOOST_FAIL("empty EBC date vector");

Size n = ECB::nextDates(Date::minDate()).size();
if (n != knownDates.size())
BOOST_FAIL("\nnextDates(minDate) returns " << n <<
BOOST_FAIL("nextDates(minDate) returns " << n <<
" instead of " << knownDates.size() << " dates");

std::set<Date>::const_iterator i;
Expand All @@ -58,18 +58,18 @@ void DateTest::ecbDates() {

currentEcbDate = *i;
if (!ECB::isECBdate(currentEcbDate))
BOOST_FAIL("\n" << currentEcbDate << " fails isECBdate check");
BOOST_FAIL(currentEcbDate << " fails isECBdate check");

ecbDateMinusOne = currentEcbDate-1;
if (ECB::isECBdate(ecbDateMinusOne))
BOOST_FAIL("\n" << ecbDateMinusOne << " fails isECBdate check");
BOOST_FAIL(ecbDateMinusOne << " fails isECBdate check");

if (ECB::nextDate(ecbDateMinusOne)!=currentEcbDate)
BOOST_FAIL("\n next EBC date following " << ecbDateMinusOne <<
BOOST_FAIL("next EBC date following " << ecbDateMinusOne <<
" must be " << currentEcbDate);

if (ECB::nextDate(previousEcbDate)!=currentEcbDate)
BOOST_FAIL("\n next EBC date following " << previousEcbDate <<
BOOST_FAIL("next EBC date following " << previousEcbDate <<
" must be " << currentEcbDate);

previousEcbDate = currentEcbDate;
Expand All @@ -78,11 +78,10 @@ void DateTest::ecbDates() {
Date knownDate = *knownDates.begin();
ECB::removeDate(knownDate);
if (ECB::isECBdate(knownDate))
BOOST_FAIL("\neunable to remove an EBC date");
BOOST_FAIL("unable to remove an EBC date");
ECB::addDate(knownDate);
if (!ECB::isECBdate(knownDate))
BOOST_FAIL("\neunable to add an EBC date");

BOOST_FAIL("unable to add an EBC date");
}

void DateTest::immDates() {
Expand All @@ -101,56 +100,43 @@ void DateTest::immDates() {
"F9", "G9", "H9", "J9", "K9", "M9", "N9", "Q9", "U9", "V9", "X9", "Z9"
};

Date counter = Date::minDate();
// 10 years of futures must not exceed Date::maxDate
Date last = Date::maxDate() - 121*Months;
Date counter = { 1, January, 2000 };
Date last = { 1, January, 2040 };
Date imm;

while (counter<=last) {
imm = IMM::nextDate(counter, false);

// check that imm is greater than counter
if (imm<=counter)
BOOST_FAIL("\n "
<< imm.weekday() << " " << imm
BOOST_FAIL(imm.weekday() << " " << imm
<< " is not greater than "
<< counter.weekday() << " " << counter);

// check that imm is an IMM date
if (!IMM::isIMMdate(imm, false))
BOOST_FAIL("\n "
<< imm.weekday() << " " << imm
BOOST_FAIL(imm.weekday() << " " << imm
<< " is not an IMM date (calculated from "
<< counter.weekday() << " " << counter << ")");

// check that imm is <= to the next IMM date in the main cycle
if (imm>IMM::nextDate(counter, true))
BOOST_FAIL("\n "
<< imm.weekday() << " " << imm
BOOST_FAIL(imm.weekday() << " " << imm
<< " is not less than or equal to the next future in the main cycle "
<< IMM::nextDate(counter, true));

//// check that if counter is an IMM date, then imm==counter
//if (IMM::isIMMdate(counter, false) && (imm!=counter))
// BOOST_FAIL("\n "
// << counter.weekday() << " " << counter
// << " is already an IMM date, while nextIMM() returns "
// << imm.weekday() << " " << imm);

// check that for every date IMMdate is the inverse of IMMcode
if (IMM::date(IMM::code(imm), counter) != imm)
BOOST_FAIL("\n "
<< IMM::code(imm)
BOOST_FAIL(IMM::code(imm)
<< " at calendar day " << counter
<< " is not the IMM code matching " << imm);

// check that for every date the 120 IMM codes refer to future dates
for (int i=0; i<40; ++i) {
if (IMM::date(IMMcodes[i], counter)<counter)
BOOST_FAIL("\n "
<< IMM::date(IMMcodes[i], counter)
<< " is wrong for " << IMMcodes[i]
<< " at reference date " << counter);
BOOST_FAIL(IMM::date(IMMcodes[i], counter)
<< " is wrong for " << IMMcodes[i]
<< " at reference date " << counter);
}

counter = counter + 1;
Expand All @@ -173,54 +159,42 @@ void DateTest::asxDates() {
"F9", "G9", "H9", "J9", "K9", "M9", "N9", "Q9", "U9", "V9", "X9", "Z9"
};

Date counter = Date::minDate();
// 10 years of futures must not exceed Date::maxDate
Date last = Date::maxDate() - 121 * Months;
Date counter = { 1, January, 2000 };
Date last = { 1, January, 2040 };
Date asx;

while (counter <= last) {
asx = ASX::nextDate(counter, false);

// check that asx is greater than counter
if (asx <= counter)
BOOST_FAIL("\n "
<< asx.weekday() << " " << asx
<< " is not greater than "
<< counter.weekday() << " " << counter);
BOOST_FAIL(asx.weekday() << " " << asx
<< " is not greater than "
<< counter.weekday() << " " << counter);

// check that asx is an ASX date
if (!ASX::isASXdate(asx, false))
BOOST_FAIL("\n "
<< asx.weekday() << " " << asx
<< " is not an ASX date (calculated from "
<< counter.weekday() << " " << counter << ")");
BOOST_FAIL(asx.weekday() << " " << asx
<< " is not an ASX date (calculated from "
<< counter.weekday() << " " << counter << ")");

// check that asx is <= to the next ASX date in the main cycle
if (asx>ASX::nextDate(counter, true))
BOOST_FAIL("\n "
<< asx.weekday() << " " << asx
<< " is not less than or equal to the next future in the main cycle "
<< ASX::nextDate(counter, true));

//// check that if counter is an ASX date, then asx==counter
//if (ASX::isASXdate(counter, false) && (asx!=counter))
// BOOST_FAIL("\n "
// << counter.weekday() << " " << counter
// << " is already an ASX date, while nextASX() returns "
// << asx.weekday() << " " << asx);
BOOST_FAIL(asx.weekday() << " " << asx
<< " is not less than or equal to the next future in the main cycle "
<< ASX::nextDate(counter, true));

// check that for every date ASXdate is the inverse of ASXcode
if (ASX::date(ASX::code(asx), counter) != asx)
BOOST_FAIL("\n "
<< ASX::code(asx)
<< " at calendar day " << counter
<< " is not the ASX code matching " << asx);
BOOST_FAIL(ASX::code(asx)
<< " at calendar day " << counter
<< " is not the ASX code matching " << asx);

// check that for every date the 120 ASX codes refer to future dates
for (const auto& ASXcode : ASXcodes) {
if (ASX::date(ASXcode, counter) < counter)
BOOST_FAIL("\n " << ASX::date(ASXcode, counter) << " is wrong for " << ASXcode
<< " at reference date " << counter);
BOOST_FAIL(ASX::date(ASXcode, counter) << " is wrong for " << ASXcode
<< " at reference date " << counter);
}

counter = counter + 1;
Expand Down Expand Up @@ -482,16 +456,13 @@ test_suite* DateTest::suite(SpeedLevel speed) {
suite->add(QUANTLIB_TEST_CASE(&DateTest::testConsistency));
suite->add(QUANTLIB_TEST_CASE(&DateTest::ecbDates));
suite->add(QUANTLIB_TEST_CASE(&DateTest::immDates));
suite->add(QUANTLIB_TEST_CASE(&DateTest::asxDates));
suite->add(QUANTLIB_TEST_CASE(&DateTest::isoDates));
#ifndef QL_PATCH_SOLARIS
suite->add(QUANTLIB_TEST_CASE(&DateTest::parseDates));
#endif
suite->add(QUANTLIB_TEST_CASE(&DateTest::intraday));
suite->add(QUANTLIB_TEST_CASE(&DateTest::canHash));

if (speed <= Fast) {
suite->add(QUANTLIB_TEST_CASE(&DateTest::asxDates));
}

return suite;
}

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