1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
|
"""
Copyright (C) 2019 Klaus Spanderen
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
<https://www.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 math
import unittest
import QuantLib as ql
class OdeTest(unittest.TestCase):
def test1dODE(self):
""" Testing one dimesnional ODE """
yEnd = ql.RungeKutta(1e-8)(lambda x, y : y, 1, 0, 1)
self.assertAlmostEqual(yEnd, math.exp(1), 5,
msg="Unable to reproduce one dimensional ODE solution.")
def test2dODE(self):
""" Testing multi-dimesnional ODE """
yEnd = ql.RungeKutta(1e-8)(lambda x, y : [y[1], -y[0]],
[0, 1], 0, 0.5*math.pi)[0]
self.assertAlmostEqual(yEnd, 1.0, 5,
msg="Unable to reproduce multi-dimensional ODE solution.")
if __name__ == '__main__':
print("testing QuantLib", ql.__version__)
unittest.main(verbosity=2)
|
