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"""
Copyright (C) 2000, 2001, 2002 RiskMap srl
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 ferdinando@ametrano.net
The license is also available online at http://quantlib.org/html/license.html
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.
"""
__version__ = "$Revision: 1.8 $"
# $Source: /cvsroot/quantlib/QuantLib-Python/QuantLib/test/complexmarketelements.py,v $
import math
import QuantLib
import unittest
class ComplexMarketElementTest(unittest.TestCase):
def runTest(self):
"Testing complex market element"
# Testing derived market elements
for f in [lambda x: x + 10,
lambda x: x * 10,
lambda x: x - 10]:
me = QuantLib.SimpleMarketElement(17.0)
h = QuantLib.MarketElementHandle(me)
derived_me = QuantLib.DerivedMarketElement(h,f)
derived_result = derived_me.value()
function_result = f(me.value())
if not (math.fabs(derived_result - function_result) < 1e-10):
self.fail("""
derived market element yields %(derived_result)f
function result is %(function_result)f
""" % locals())
# Testing composite market element
me1 = QuantLib.SimpleMarketElement(12.0)
me2 = QuantLib.SimpleMarketElement(13.0)
h1 = QuantLib.MarketElementHandle(me1)
h2 = QuantLib.MarketElementHandle(me2)
for f in [lambda x,y: x + y,
lambda x,y: x * y,
lambda x,y: x - y]:
composite_me = QuantLib.CompositeMarketElement(h1,h2,f)
composite_result = composite_me.value()
function_result = f(me1.value(),me2.value())
if not (math.fabs(composite_result - function_result) < 1e-10):
self.fail("""
composite market element yields %(composite_result)f
function result is %(function_result)f
""" % locals())
if __name__ == '__main__':
print 'testing QuantLib', QuantLib.__version__, QuantLib.QuantLibc.__file__, QuantLib.__file__
import sys
suite = unittest.TestSuite()
suite.addTest(ComplexMarketElementTest())
if sys.hexversion >= 0x020100f0:
unittest.TextTestRunner(verbosity=2).run(suite)
else:
unittest.TextTestRunner().run(suite)
raw_input('press any key to continue')
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