Guard against zero leg BPS in CPI and YoY inflation swap fair-rate and fair-spread calculations - #2692
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Co-authored-by: Cursor <cursoragent@cursor.com>
Follow the BOOST_CHECK_EXCEPTION pattern from lballabio#2678/lballabio#2690: testZeroBpsFairRateAndSpread and testExpiredSwapFairRateAndSpread for CPISwap, and matching YoY inflation swap tests in inflation.cpp. Co-authored-by: Cursor <cursoragent@cursor.com>
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@lballabio Following your suggestion on #2690 — pushed the corresponding tests:
Same BOOST_CHECK_EXCEPTION / ExpectedErrorMessage pattern as #2678 and #2690. Rebased onto current master. |
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Use single-date CPISwap setup without float fixings; link YoY inflation term structure in YoY swap tests. Co-authored-by: Cursor <cursoragent@cursor.com>
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coverage: 75.168% (+0.03%) from 75.142% — PureSaber:fix/cpi-yoy-zero-leg-bps into lballabio:master |
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Summary
FloatFloatSwapfair-spread calculations #2678 and FixedVsFloatingSwap for CPISwap and YearOnYearInflationSwap fair rate/spread fallback.Test plan
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