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"""
Copyright (C) 2000, 2001, 2002, 2003 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
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
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.
"""
import QuantLib
import unittest
import math
class IntegralTest(unittest.TestCase):
def Gauss(self,x):
return math.exp(-x*x/2.0)/math.sqrt(2*math.pi)
def singleTest(self,I):
tolerance = 1e-4
cases = [["f(x) = 1", lambda x: 1, 0.0, 1.0, 1.0],
["f(x) = x", lambda x: x, 0.0, 1.0, 0.5],
["f(x) = x^2", lambda x: x*x, 0.0, 1.0, 1.0/3.0],
["f(x) = sin(x)", math.sin, 0.0, math.pi, 2.0],
["f(x) = cos(x)", math.cos, 0.0, math.pi, 0.0],
["f(x) = Gauss(x)", self.Gauss, -10.0, 10.0, 1.0]]
for tag,f,a,b,expected in cases:
calculated = I(f,a,b)
if not (abs(calculated-expected) <= tolerance):
self.fail("""
integrating %(tag)s
calculated: %(calculated)f
expected : %(expected)f
""" % locals())
def testSegment(self):
"Testing segment integration"
self.singleTest(QuantLib.SegmentIntegral(10000))
def testTrapezoid(self):
"Testing trapezoid integration"
self.singleTest(QuantLib.TrapezoidIntegralDefault(1.0e-4, 1000))
def testSimpson(self):
"Testing Simpson integration"
self.singleTest(QuantLib.SimpsonIntegral(1.0e-4, 1000))
def testKronrod(self):
"Testing Gauss-Kronrod integration"
self.singleTest(QuantLib.GaussKronrodAdaptive(1.0e-4))
if __name__ == '__main__':
print 'testing QuantLib', QuantLib.__version__
suite = unittest.TestSuite()
suite.addTest(unittest.makeSuite(IntegralTest,'test'))
unittest.TextTestRunner(verbosity=2).run(suite)
raw_input('press return to continue')
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