fuzz: Add amortized-bonds fuzzer

fuzz-test-suite/CMakeLists.txt

@@ -8,14 +8,16 @@ else()
     set(FUZZING_LINK_FLAGS "-fsanitize=fuzzer")
 endif()
 
-# Define the fuzz target
 add_executable(DateParserFuzzer dateparserfuzzer.cpp)
-
-# Apply the determined flags
 set_target_properties(DateParserFuzzer PROPERTIES
     COMPILE_FLAGS "${FUZZING_COMPILE_FLAGS}"
     LINK_FLAGS "${FUZZING_LINK_FLAGS}"
 )
-
-# Link QuantLib and any other necessary libraries
 target_link_libraries(DateParserFuzzer ql_library ${QL_THREAD_LIBRARIES})
+
+add_executable(AmortizedBondsFuzzer amortizedbondsfuzzer.cpp)
+set_target_properties(AmortizedBondsFuzzer PROPERTIES
+    COMPILE_FLAGS "${FUZZING_COMPILE_FLAGS}"
+    LINK_FLAGS "${FUZZING_LINK_FLAGS}"
+)
+target_link_libraries(AmortizedBondsFuzzer ql_library ${QL_THREAD_LIBRARIES})

fuzz-test-suite/amortizedbondsfuzzer.cpp

@@ -0,0 +1,80 @@
+/*
+ Copyright (C) 2023 Nathaniel Brough
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+#include <ql/cashflows/fixedratecoupon.hpp>
+#include <ql/instruments/bonds/amortizingfixedratebond.hpp>
+#include <ql/settings.hpp>
+#include <ql/time/calendars/brazil.hpp>
+#include <ql/time/calendars/nullcalendar.hpp>
+#include <ql/time/calendars/unitedstates.hpp>
+#include <ql/time/daycounters/actual360.hpp>
+#include <ql/time/daycounters/actualactual.hpp>
+#include <ql/time/daycounters/business252.hpp>
+#include <cassert>
+#include <fuzzer/FuzzedDataProvider.h>
+#include <limits>
+#define _unused(x) ((void)(x))
+
+using namespace QuantLib;
+
+std::vector<Real> fuzzedRates(FuzzedDataProvider& fdp, const size_t length) {
+    std::vector<Real> result;
+    for (size_t i = 0; i < length; i++) {
+        result.push_back(fdp.ConsumeProbability<Real>());
+    }
+    return result;
+}
+
+extern "C" int LLVMFuzzerTestOneInput(const uint8_t* Data, size_t Size) {
+    FuzzedDataProvider fdp(Data, Size);
+    // Ensure settings are reset each iteration of the fuzzing loop.
+    // NOTE: this class manages the settings singleton using default
+    // (con/des)tructors.
+    SavedSettings saved_settings;
+
+    constexpr size_t kMaxSize = 512;
+    auto length = fdp.ConsumeIntegralInRange<size_t>(0, kMaxSize);
+
+    Date refDate = Settings::instance().evaluationDate();
+
+    auto rates = fuzzedRates(fdp, length);
+    Frequency freq = Monthly;
+
+    for (size_t i = 0; i < length; ++i) {
+
+        auto schedule = sinkingSchedule(refDate, Period(30, Years), freq, NullCalendar());
+        auto notionals = sinkingNotionals(Period(30, Years), freq, rates[i], 100.0);
+
+        AmortizingFixedRateBond myBond(0, notionals, schedule, {rates[i]},
+                                       ActualActual(ActualActual::ISMA));
+
+        Leg cashflows = myBond.cashflows();
+
+        Real lastTotalAmount = 0.0;
+        for (size_t k = 0; k < cashflows.size() / 2; ++k) {
+            Real coupon = cashflows[2 * k]->amount();
+            Real principal = cashflows[2 * k + 1]->amount();
+            Real totalAmount = coupon + principal;
+            // Assert invariants, these should always be true.
+            assert(coupon > 0.0);
+            assert(principal > 0.0);
+            assert(totalAmout > lastTotalAmount);
+            lastTotalAmount = totalAmount;
+            _unused(lastTotalAmount);
+        }
+    }
+    return 0;
+}