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#!/usr/bin/python
"""
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: 1.12 $"
# $Source: /cvsroot/quantlib/QuantLib-Python/QuantLib/test/get_covariance.py,v $
import QuantLib
import unittest
def initCovariance(vol, corr):
n = len(vol)
cov = QuantLib.Matrix([[0.0]*n]*n)
for i in range(n):
cov[i][i] = vol[i]*vol[i]
for j in range(i):
cov[i][j] = corr[i][j]*vol[i]*vol[j]
cov[j][i] = cov[i][j]
return cov
class CovarianceTest(unittest.TestCase):
def runTest(self):
"Testing covariance calculation"
vol = QuantLib.Array([0.1, 0.5, 1.0])
corr = [[1.0, 0.2, 0.5],
[0.2, 1.0, 0.8],
[0.5, 0.8, 1.0]]
expectedCov = initCovariance(vol, corr)
cov = QuantLib.getCovariance(vol, corr)
for i in range(3):
for j in range(3):
calculated = cov[i][j]
expected = expectedCov[i][j]
if not (abs(calculated - expected) <= 1e-10):
self.fail("""
cov[%(i)d][%(j)d]: %(calculated)g
expected : %(expected)g
tolerance exceeded
""" % locals())
if __name__ == '__main__':
print 'testing QuantLib', QuantLib.__version__, QuantLib.QuantLibc.__file__, QuantLib.__file__
import sys
suite = unittest.TestSuite()
suite.addTest(CovarianceTest())
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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