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=begin
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.
=end
# $Id: segment_integral.rb,v 1.4 2002/01/16 15:17:06 nando Exp $
require 'QuantLib'
require 'runit/testcase'
require 'runit/cui/testrunner'
class SegmentIntegralTest < RUNIT::TestCase
def name
"Testing segment integral..."
end
def test
tol = 1.0e-4
integrate = QuantLib::SegmentIntegral.new(10000)
i1 = integrate.call(0, 1) { |x| 1.0 }
i1_res = 1.0
unless (i1 - i1_res).abs <= tol
assert_fail(<<-MESSAGE
f(x) = 1 on [0,1]
calculated: #{i1}
expected : #{i1_res}
MESSAGE
)
end
i2 = integrate.call(0, 1) { |x| x }
i2_res = 0.5
unless (i2 - i2_res).abs <= tol
assert_fail(<<-MESSAGE
f(x) = x on [0,1]
calculated: #{i2}
expected : #{i2_res}
MESSAGE
)
end
i3 = integrate.call(0, 1) { |x| x*x }
i3_res = 1.0/3.0
unless (i3 - i3_res).abs <= tol
assert_fail(<<-MESSAGE
f(x) = x^2 on [0,1]
calculated: #{i3}
expected : #{i3_res}
MESSAGE
)
end
i4 = integrate.call(0, Math::PI) { |x| Math.sin(x) }
i4_res = 2.0
unless (i4 - i4_res).abs <= tol
assert_fail(<<-MESSAGE
f(x) = sin x on [0,pi]
calculated: #{i4}
expected : #{i4_res}
MESSAGE
)
end
i5 = integrate.call(0, Math::PI) { |x| Math.cos(x) }
i5_res = 0.0
unless (i5 - i5_res).abs <= tol
assert_fail(<<-MESSAGE
f(x) = cos x on [0,pi]
calculated: #{i5}
expected : #{i5_res}
MESSAGE
)
end
i6 = integrate.call(-10, 10) { |x| Math.exp(-x*x/2.0)/Math.sqrt(2.0*Math::PI) }
i6_res = 1.0
unless (i6 - i6_res).abs <= tol
assert_fail(<<-MESSAGE
f(x) = 1/sqrt(2*pi) exp(x^2/2) on [-10,10]
calculated: #{i6}
expected : #{i6_res}
MESSAGE
)
end
end
end
if $0 == __FILE__
RUNIT::CUI::TestRunner.run(SegmentIntegralTest.suite)
end
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