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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2004, 2005, 2006, 2007 Ferdinando Ametrano
Copyright (C) 2004, 2005, 2006, 2007 StatPro Italia 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 <ql/types.hpp>
#include <boost/test/unit_test.hpp>
#include <boost/timer.hpp>
/* Use BOOST_MSVC instead of _MSC_VER since some other vendors (Metrowerks,
for example) also #define _MSC_VER
*/
#ifdef BOOST_MSVC
# include <ql/auto_link.hpp>
# define BOOST_LIB_NAME boost_unit_test_framework
# include <boost/config/auto_link.hpp>
# undef BOOST_LIB_NAME
/* uncomment the following lines to unmask floating-point exceptions.
See http://www.wilmott.com/messageview.cfm?catid=10&threadid=9481
*/
//# include <float.h>
// namespace { unsigned int u = _controlfp(_EM_INEXACT, _MCW_EM); }
#endif
#include "americanoption.hpp"
#include "array.hpp"
#include "asianoptions.hpp"
#include "assetswap.hpp"
#include "barrieroption.hpp"
#include "basketoption.hpp"
#include "batesmodel.hpp"
#include "bermudanswaption.hpp"
#include "bonds.hpp"
#include "brownianbridge.hpp"
#include "calendars.hpp"
#include "capfloor.hpp"
#include "capflooredcoupon.hpp"
#include "cliquetoption.hpp"
#include "cms.hpp"
#include "compoundforward.hpp"
#include "convertiblebonds.hpp"
#include "covariance.hpp"
#include "curvestates.hpp"
#include "dates.hpp"
#include "daycounters.hpp"
#include "digitalcoupon.hpp"
#include "digitaloption.hpp"
#include "distributions.hpp"
#include "dividendoption.hpp"
#include "europeanoption.hpp"
#include "exchangerate.hpp"
#include "factorial.hpp"
#include "forwardoption.hpp"
#include "gaussianquadratures.hpp"
#include "hestonmodel.hpp"
#include "hybridhestonhullwhiteprocess.hpp"
#include "inflation.hpp"
#include "instruments.hpp"
#include "integrals.hpp"
#include "interestrates.hpp"
#include "interpolations.hpp"
#include "libormarketmodel.hpp"
#include "libormarketmodelprocess.hpp"
#include "linearleastsquaresregression.hpp"
#include "jumpdiffusion.hpp"
#include "lookbackoptions.hpp"
#include "lowdiscrepancysequences.hpp"
#include "marketmodel.hpp"
#include "marketmodel_smmcapletalphacalibration.hpp"
#include "marketmodel_smmcapletcalibration.hpp"
#include "marketmodel_smmcaplethomocalibration.hpp"
#include "marketmodel_smm.hpp"
#include "marketmodel_cms.hpp"
#include "matrices.hpp"
#include "mclongstaffschwartzengine.hpp"
#include "mersennetwister.hpp"
#include "money.hpp"
#include "operators.hpp"
#include "optimizers.hpp"
#include "pathgenerator.hpp"
#include "period.hpp"
#include "piecewiseyieldcurve.hpp"
#include "quantooption.hpp"
#include "quotes.hpp"
#include "riskstats.hpp"
#include "rngtraits.hpp"
#include "rounding.hpp"
#include "sampledcurve.hpp"
#include "shortratemodels.hpp"
#include "solvers.hpp"
#include "surface.hpp"
#include "stats.hpp"
#include "swap.hpp"
#include "swapforwardmappings.hpp"
#include "swaption.hpp"
#include "swaptionvolatilitycube.hpp"
#include "termstructures.hpp"
#include "timeseries.hpp"
#include "tqreigendecomposition.hpp"
#include "tracing.hpp"
#include "transformedgrid.hpp"
#include "varianceswaps.hpp"
#include "volatilitymodels.hpp"
#include "swaptionvolatilitymatrix.hpp"
// to be deprecated
#include "old_pricers.hpp"
#include <iostream>
#include <iomanip>
using namespace boost::unit_test_framework;
namespace {
boost::timer t;
void startTimer() { t.restart(); }
void stopTimer() {
double seconds = t.elapsed();
int hours = int(seconds/3600);
seconds -= hours * 3600;
int minutes = int(seconds/60);
seconds -= minutes * 60;
std::cout << " \nTests completed in ";
if (hours > 0)
std::cout << hours << " h ";
if (hours > 0 || minutes > 0)
std::cout << minutes << " m ";
std::cout << std::fixed << std::setprecision(0)
<< seconds << " s\n" << std::endl;
}
}
#if defined(QL_ENABLE_SESSIONS)
namespace QuantLib {
Integer sessionId() { return 0; }
}
#endif
test_suite* init_unit_test_suite(int, char* []) {
std::string header = "Testing "
#ifdef BOOST_MSVC
QL_LIB_NAME
#else
"QuantLib " QL_VERSION
#endif
#ifdef QL_DISABLE_DEPRECATED
" (deprecated code disabled)"
#endif
;
std::string rule = std::string(header.length(),'=');
BOOST_MESSAGE(rule);
BOOST_MESSAGE(header);
BOOST_MESSAGE(rule);
test_suite* test = BOOST_TEST_SUITE("QuantLib test suite");
test->add(BOOST_TEST_CASE(startTimer));
test->add(AmericanOptionTest::suite()); // FLOATING_POINT_EXCEPTION
test->add(ArrayTest::suite());
test->add(AsianOptionTest::suite());
test->add(AssetSwapTest::suite()); // fails with QL_USE_INDEXED_COUPON
test->add(BarrierOptionTest::suite());
test->add(BasketOptionTest::suite()); // FLOATING_POINT_EXCEPTION
test->add(BatesModelTest::suite()); // FLOATING_POINT_EXCEPTION
test->add(BermudanSwaptionTest::suite());
test->add(BondTest::suite());
test->add(BrownianBridgeTest::suite());
test->add(CalendarTest::suite());
test->add(CapFloorTest::suite()); // FLOATING_POINT_EXCEPTION
test->add(CapFlooredCouponTest::suite());
test->add(CliquetOptionTest::suite());
test->add(CmsTest::suite());
test->add(ConvertibleBondTest::suite());
test->add(CovarianceTest::suite());
test->add(CurveStatesTest::suite());
test->add(DateTest::suite());
test->add(DayCounterTest::suite());
test->add(DigitalCouponTest::suite()); // might fail with QL_USE_INDEXED_COUPON
test->add(DigitalOptionTest::suite()); // FLOATING_POINT_EXCEPTION
test->add(DistributionTest::suite());
test->add(DividendOptionTest::suite()); // FLOATING_POINT_EXCEPTION
test->add(EuropeanOptionTest::suite()); // FLOATING_POINT_EXCEPTION
test->add(ExchangeRateTest::suite());
test->add(FactorialTest::suite());
test->add(ForwardOptionTest::suite());
test->add(GaussianQuadraturesTest::suite());
test->add(HestonModelTest::suite()); // FLOATING_POINT_EXCEPTION
test->add(HybridHestonHullWhiteProcessTest::suite()); // FLOATING_POINT_EXCEPTION
test->add(InflationTest::suite());
test->add(InstrumentTest::suite());
test->add(IntegralTest::suite());
test->add(InterestRateTest::suite());
test->add(InterpolationTest::suite());
test->add(JumpDiffusionTest::suite());
test->add(LinearLeastSquaresRegressionTest::suite());
test->add(LookbackOptionTest::suite());
test->add(LowDiscrepancyTest::suite());
test->add(MarketModelCmsTest::suite());
test->add(MarketModelSmmTest::suite());
test->add(MarketModelSmmCapletAlphaCalibrationTest::suite());
test->add(MarketModelSmmCapletCalibrationTest::suite());
test->add(MarketModelSmmCapletHomoCalibrationTest::suite()); // FLOATING_POINT_EXCEPTION
test->add(MarketModelTest::suite()); // FLOATING_POINT_EXCEPTION
test->add(MatricesTest::suite());
test->add(MCLongstaffSchwartzEngineTest::suite()); // FLOATING_POINT_EXCEPTION
test->add(MersenneTwisterTest::suite());
test->add(MoneyTest::suite());
test->add(OperatorTest::suite()); // FLOATING_POINT_EXCEPTION
test->add(OptimizersTest::suite());
test->add(PathGeneratorTest::suite()); // FLOATING_POINT_EXCEPTION
test->add(PeriodTest::suite());
test->add(PiecewiseYieldCurveTest::suite());
test->add(QuantoOptionTest::suite());
test->add(QuoteTest::suite());
test->add(RiskStatisticsTest::suite());
test->add(RngTraitsTest::suite());
test->add(RoundingTest::suite());
test->add(SampledCurveTest::suite());
test->add(ShortRateModelTest::suite()); // fails with QL_USE_INDEXED_COUPON
test->add(Solver1DTest::suite());
test->add(StatisticsTest::suite());
test->add(SurfaceTest::suite());
test->add(SwapTest::suite());
test->add(SwapForwardMappingsTest::suite());
test->add(SwaptionTest::suite()); // FLOATING_POINT_EXCEPTION
test->add(SwaptionVolatilityCubeTest::suite());
test->add(SwaptionVolatilityMatrixTest::suite());
test->add(TermStructureTest::suite());
test->add(TimeSeriesTest::suite());
test->add(TqrEigenDecompositionTest::suite());
test->add(TracingTest::suite());
test->add(TransformedGridTest::suite());
test->add(VarianceSwapTest::suite());
test->add(VolatilityModelsTest::suite());
//tests for deprecated classes
test->add(CompoundForwardTest::suite()); // fails with QL_USE_INDEXED_COUPON
test->add(LiborMarketModelTest::suite());
test->add(LiborMarketModelProcessTest::suite());
test->add(OldPricerTest::suite()); // FLOATING_POINT_EXCEPTION
test->add(BOOST_TEST_CASE(stopTimer));
return test;
}
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