Keep a test for the deprecated class while it's still there

lballabio · Oct 25, 2024 · 458f24b · 458f24b
1 parent fcc3a12
commit 458f24b
Showing 1 changed file with 30 additions and 0 deletions.
diff --git a/test-suite/overnightindexedswap.cpp b/test-suite/overnightindexedswap.cpp
@@ -716,6 +716,36 @@ BOOST_AUTO_TEST_CASE(test131BootstrapRegression) {
     BOOST_CHECK_NO_THROW(curve.nodes());
 }
 
+BOOST_AUTO_TEST_CASE(testDeprecatedHelper) {
+    BOOST_TEST_MESSAGE("Testing deprecated DatedOISRateHelper class...");
+
+    Date today(11, December, 2012);
+    Settings::instance().evaluationDate() = today;
+
+    auto estr = ext::make_shared<Estr>();
+
+    std::vector<ext::shared_ptr<RateHelper>> helpers;
+    helpers.push_back(ext::make_shared<OISRateHelper>(2, 1 * Weeks, makeQuoteHandle(0.070/100), estr));
+    QL_DEPRECATED_DISABLE_WARNING
+    helpers.push_back(ext::make_shared<DatedOISRateHelper>(Date(16, January, 2013), Date(13, February, 2013), makeQuoteHandle(0.046/100), estr));
+    QL_DEPRECATED_ENABLE_WARNING
+
+    auto curve = ext::make_shared<PiecewiseYieldCurve<ForwardRate,BackwardFlat>>(0, TARGET(), helpers, Actual365Fixed());
+    BOOST_CHECK_NO_THROW(curve->nodes());
+
+    estr = ext::make_shared<Estr>(Handle<YieldTermStructure>(curve));
+    ext::shared_ptr<OvernightIndexedSwap> swap =
+        MakeOIS(Period(), estr, 0.046/100, 0 * Days)
+        .withEffectiveDate(Date(16, January, 2013))
+        .withTerminationDate(Date(13, February, 2013))
+        .withDiscountingTermStructure(Handle<YieldTermStructure>(curve));
+
+    if (std::fabs(swap->NPV()) > 1.0e-10) {
+        BOOST_ERROR("npv is not at par:\n"
+                    << "    swap value: " << swap->NPV());
+    }
+}
+
 BOOST_AUTO_TEST_CASE(testConstructorsAndNominals) {
     BOOST_TEST_MESSAGE("Testing different constructors for OIS...");