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=begin
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.
=end
require 'QuantLib'
require 'test/unit/testcase'
require 'test/unit/ui/console/testrunner'
def Gauss(x)
Math.exp(-x*x/2.0)/Math.sqrt(2*Math::PI)
end
class SegmentIntegralTest < Test::Unit::TestCase
def name
"Testing segment integral"
end
def testCalculation
tolerance = 1e-4
integrate = QuantLib::SegmentIntegral.new(10000)
calculated = integrate.call(0.0,1.0) { |x| 1.0 }
expected = 1.0
unless (calculated-expected).abs <= tolerance
flunk(<<-MESSAGE
integrating f(x) = 1.0
calculated: #{calculated}
expected : #{expected}
MESSAGE
)
end
calculated = integrate.call(0.0,1.0) { |x| x }
expected = 0.5
unless (calculated-expected).abs <= tolerance
flunk(<<-MESSAGE
integrating f(x) = x
calculated: #{calculated}
expected : #{expected}
MESSAGE
)
end
calculated = integrate.call(0.0,1.0) { |x| x*x }
expected = 1.0/3.0
unless (calculated-expected).abs <= tolerance
flunk(<<-MESSAGE
integrating f(x) = x^2
calculated: #{calculated}
expected : #{expected}
MESSAGE
)
end
calculated = integrate.call(0.0,Math::PI) { |x| Math.sin(x) }
expected = 2.0
unless (calculated-expected).abs <= tolerance
flunk(<<-MESSAGE
integrating f(x) = sin(x)
calculated: #{calculated}
expected : #{expected}
MESSAGE
)
end
calculated = integrate.call(0.0,Math::PI) { |x| Math.cos(x) }
expected = 0.0
unless (calculated-expected).abs <= tolerance
flunk(<<-MESSAGE
integrating f(x) = cos(x)
calculated: #{calculated}
expected : #{expected}
MESSAGE
)
end
calculated = integrate.call(-10.0,10.0) { |x| Gauss(x) }
expected = 1.0
unless (calculated-expected).abs <= tolerance
flunk(<<-MESSAGE
integrating f(x) = Gauss(x)
calculated: #{calculated}
expected : #{expected}
MESSAGE
)
end
end
end
if $0 == __FILE__
Test::Unit::UI::Console::TestRunner.run(SegmentIntegralTest)
end
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