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"""
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 ExtrapolationTest(unittest.TestCase):
def testKnownExpExtrapolation(self):
"""Testing Richardson extrapolation of e^x at x->1 with known order of convergence"""
f = lambda x: math.exp(1+x)
x = ql.RichardsonExtrapolation(f, 0.01, 1.0)(4.0)
self.assertAlmostEqual(x, math.exp(1), 4,
msg="Unable to extrapolate exp(x) at x->1")
def testUnknownExpExtrapolation(self):
"""Testing Richardson extrapolation of e^x at x->1 with unknown order of convergence"""
f = lambda x: math.exp(1+x)
x = ql.RichardsonExtrapolation(f, 0.01)(4.0, 2.0)
self.assertAlmostEqual(x, math.exp(1), 4,
msg="Unable to extrapolate exp(x) at x->1")
if __name__ == "__main__":
print("testing QuantLib", ql.__version__)
unittest.main(verbosity=2)
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