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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: 1.11 $"
# $Source: /cvsroot/quantlib/QuantLib-Python/QuantLib/test/segmentintegral.py,v $
import QuantLib
import unittest
import math
class SegmentIntegralTest(unittest.TestCase):
def runTest(self):
"Testing segment integral"
tol = 1e-4
integrate = QuantLib.SegmentIntegral(10000)
i1 = integrate(lambda x: 1, 0, 1)
i1_res = 1.0
if not (abs(i1 - i1_res) <= tol):
self.fail("""
integrate(lambda x: 1, 0, 1)
calculated: %(i1)f
expected : %(i1_res)f
""" % locals())
i2 = integrate(lambda x: x, 0, 1)
i2_res = 0.5
if not (abs(i2 - i2_res) <= tol):
self.fail("""
integrate(lambda x: x, 0, 1)
calculated: %(i2)f
expected : %(i2_res)f
""" % locals())
i3 = integrate(lambda x: x*x, 0, 1)
i3_res = 1.0/3.0
if not (abs(i3 - i3_res) <= tol):
self.fail("""
integrate(lambda x: x*x, 0, 1)
calculated: %(i3)f
expected : %(i3_res)f
""" % locals())
i4 = integrate(math.sin, 0, math.pi)
i4_res = 2.0
if not (abs(i4 - i4_res) <= tol):
self.fail("""
integrate(math.sin, 0, math.pi)
calculated: %(i4)f
expected : %(i4_res)f
""" % locals())
i5 = integrate(math.cos, 0, math.pi)
i5_res = 0.0
if not (abs(i5 - i5_res) <= tol):
self.fail("""
integrate(math.cos, 0, math.pi)
calculated: %(i5)f
expected : %(i5_res)f
""" % locals())
i6 = integrate(lambda x: math.exp(-x*x/2.0)/math.sqrt(2*math.pi), -10.0, 10.0)
i6_res = 1.0
if not (abs(i6 - i6_res) <= tol):
self.fail("""
integrate(lambda x: math.exp(-x*x/2.0)/math.sqrt(2*math.pi), -10.0, 10.0)
calculated: %(i6)f
expected : %(i6_res)f
""" % locals())
if __name__ == '__main__':
print 'testing QuantLib', QuantLib.__version__, QuantLib.QuantLibc.__file__, QuantLib.__file__
import sys
suite = unittest.TestSuite()
suite.addTest(SegmentIntegralTest())
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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