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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 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.
*/
#include "integrals.hpp"
#include "utilities.hpp"
#include <ql/math/integrals/segmentintegral.hpp>
#include <ql/math/integrals/simpsonintegral.hpp>
#include <ql/math/integrals/trapezoidintegral.hpp>
#include <ql/math/integrals/kronrodintegral.hpp>
#include <ql/math/distributions/normaldistribution.hpp>
#include <ql/math/functional.hpp>
#include <ql/termstructures/volatility/abcd.hpp>
using namespace QuantLib;
using namespace boost::unit_test_framework;
QL_BEGIN_TEST_LOCALS(IntegralTest)
Real tolerance = 1.0e-6;
bool verbose = true;
template <class T>
void testSingle(const T& I, const std::string& tag,
const boost::function<Real (Real)>& f,
Real xMin, Real xMax, Real expected) {
Real calculated = I(f,xMin,xMax);
if (std::fabs(calculated-expected) > tolerance) {
BOOST_FAIL(std::setprecision(10)
<< "integrating " << tag
<< " calculated: " << calculated
<< " expected: " << expected);
}
// this will be uncommented later...
/*else {
if (verbose)
BOOST_MESSAGE("integrating " << tag
<< " calculated: " << calculated
<< " expected: " << expected
<< " nb of evaluations: " << I.numberOfEvaluations()
<< " precision: " << std::setprecision(3)
<< std::fabs(calculated- expected));
}*/
}
template <class T>
void testSeveral(const T& I) {
testSingle(I, "f(x) = 1",
constant<Real,Real>(1.0), 0.0, 1.0, 1.0);
testSingle(I, "f(x) = x",
identity<Real>(), 0.0, 1.0, 0.5);
testSingle(I, "f(x) = x^2",
square<Real>(), 0.0, 1.0, 1.0/3.0);
testSingle(I, "f(x) = sin(x)",
std::ptr_fun<Real,Real>(std::sin), 0.0, M_PI, 2.0);
testSingle(I, "f(x) = cos(x)",
std::ptr_fun<Real,Real>(std::cos), 0.0, M_PI, 0.0);
testSingle(I, "f(x) = Gaussian(x)",
NormalDistribution(), -10.0, 10.0, 1.0);
testSingle(I, "f(x) = Abcd2(x)",
AbcdSquared(0.07, 0.07, 0.5, 0.1, 8.0, 10.0), 5.0, 6.0,
AbcdFunction(0.07, 0.07, 0.5, 0.1).covariance(5.0, 6.0, 8.0, 10.0));
}
QL_END_TEST_LOCALS(IntegralTest)
void IntegralTest::testSegment() {
BOOST_MESSAGE("Testing segment integration...");
testSeveral(SegmentIntegral(10000));
}
void IntegralTest::testTrapezoid() {
BOOST_MESSAGE("Testing trapezoid integration...");
testSeveral(TrapezoidIntegral<Default>(tolerance, 10000));
}
void IntegralTest::testMidPointTrapezoid() {
BOOST_MESSAGE("Testing mid-point trapezoid integration...");
testSeveral(TrapezoidIntegral<MidPoint>(tolerance, 10000));
}
void IntegralTest::testSimpson() {
BOOST_MESSAGE("Testing Simpson integration...");
testSeveral(SimpsonIntegral(tolerance, 10000));
}
void IntegralTest::testGaussKronrodAdaptive() {
BOOST_MESSAGE("Testing adaptive Gauss-Kronrod integration...");
Size maxEvaluations = 1000;
testSeveral(GaussKronrodAdaptive(tolerance, maxEvaluations));
}
void IntegralTest::testGaussKronrodNonAdaptive() {
BOOST_MESSAGE("Testing non-adaptive Gauss-Kronrod integration...");
Real precision = tolerance;
Size maxEvaluations = 100;
Real relativeAccuracy = tolerance;
GaussKronrodNonAdaptive gaussKronrodNonAdaptive(precision, maxEvaluations,
relativeAccuracy);
testSeveral(gaussKronrodNonAdaptive);
}
test_suite* IntegralTest::suite() {
test_suite* suite = BOOST_TEST_SUITE("Integration tests");
suite->add(BOOST_TEST_CASE(&IntegralTest::testSegment));
suite->add(BOOST_TEST_CASE(&IntegralTest::testTrapezoid));
suite->add(BOOST_TEST_CASE(&IntegralTest::testMidPointTrapezoid));
suite->add(BOOST_TEST_CASE(&IntegralTest::testSimpson));
suite->add(BOOST_TEST_CASE(&IntegralTest::testGaussKronrodAdaptive));
suite->add(BOOST_TEST_CASE(&IntegralTest::testGaussKronrodNonAdaptive));
return suite;
}
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