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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: statistics.rb,v 1.6 2002/01/16 15:17:06 nando Exp $
require 'QuantLib'
require 'runit/testcase'
require 'runit/cui/testrunner'
module Enumerable
def sum
s = 0.0
each { |i| s += i }
s
end
end
class Array
def times(v)
a = []
0.upto(length-1) { |i| a << self[i]*v[i] }
a
end
end
class StatisticsTest < RUNIT::TestCase
def name
"Testing statistics..."
end
def test
tol = 1e-9
data = [ 3, 4, 5, 2, 3, 4, 5, 6, 4, 7]
weights = [1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0]
s = QuantLib::Statistics.new
s.addWeightedSequence(data, weights)
unless s.samples == data.length
assert_fail(<<-MESSAGE
wrong number of samples
calculated: #{s.samples}
expected: #{data.length}
MESSAGE
)
end
unless s.weightSum == weights.sum
assert_fail(<<-MESSAGE
wrong sum of weights
calculated: #{s.weightSum}
expected: #{weights.sum}
MESSAGE
)
end
unless s.min == data.min
assert_fail(<<-MESSAGE
wrong minimum value
calculated: #{s.min}
expected: #{data.min}
MESSAGE
)
end
unless s.max == data.max
assert_fail(<<-MESSAGE
wrong maximum value
calculated: #{s.max}
expected: #{data.max}
MESSAGE
)
end
unless (s.mean-data.times(weights).sum/weights.sum).abs <= tol
assert_fail(<<-MESSAGE
wrong mean value
calculated: #{s.mean}
expected: #{data.times(weights).sum/weights.sum}
MESSAGE
)
end
unless (s.variance-2.23333333333).abs <= tol
assert_fail(<<-MESSAGE
wrong variance
calculated: #{s.variance}
expected: 2.23333333333
MESSAGE
)
end
unless (s.standardDeviation-1.4944341181).abs <= tol
assert_fail(<<-MESSAGE
wrong std. deviation
calculated: #{s.standardDeviation}
expected: 1.4944341181
MESSAGE
)
end
unless (s.skewness-0.359543071407).abs <= tol
assert_fail(<<-MESSAGE
wrong skewness
calculated: #{s.skewness}
expected: 0.359543071407
MESSAGE
)
end
unless (s.kurtosis+0.151799637209).abs <= tol
assert_fail(<<-MESSAGE
wrong kurtosis
calculated: #{s.kurtosis}
expected: -0.151799637209
MESSAGE
)
end
end
end
if $0 == __FILE__
RUNIT::CUI::TestRunner.run(StatisticsTest.suite)
end
|
