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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2005 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 "sampledcurve.hpp"
#include "utilities.hpp"
#include <ql/math/sampledcurve.hpp>
#include <ql/utilities/dataformatters.hpp>
#include <ql/grid.hpp>
using namespace QuantLib;
using namespace boost::unit_test_framework;
class FSquared : std::unary_function<Real,Real> {
public:
Real operator()(Real x) const { return x*x;};
};
void SampledCurveTest::testConstruction() {
BOOST_MESSAGE("Testing sampled curve construction...");
SampledCurve curve(BoundedGrid(-10.0,10.0,100));
FSquared f2;
curve.sample(f2);
Real expected = 100.0;
if (std::fabs(curve.value(0) - expected) > 1e-5) {
BOOST_ERROR("function sampling failed");
}
curve.value(0) = 2.0;
if (std::fabs(curve.value(0) - 2.0) > 1e-5) {
BOOST_ERROR("curve value setting failed");
}
Array& value = curve.values();
value[1] = 3.0;
if (std::fabs(curve.value(1) - 3.0) > 1e-5) {
BOOST_ERROR("curve value grid failed");
}
curve.shiftGrid(10.0);
if (std::fabs(curve.gridValue(0) - 0.0) > 1e-5) {
BOOST_ERROR("sample curve shift grid failed");
}
if (std::fabs(curve.value(0) - 2.0) > 1e-5) {
BOOST_ERROR("sample curve shift grid - value failed");
}
curve.sample(f2);
curve.regrid(BoundedGrid(0.0,20.0,200));
Real tolerance = 1.0e-2;
for (Size i=0; i < curve.size(); i++) {
Real grid = curve.gridValue(i);
Real value = curve.value(i);
Real expected = f2(grid);
if (std::fabs(value - expected) > tolerance) {
BOOST_ERROR("sample curve regriding failed"
<< "\n at " << io::ordinal(i+1) << " point "
<< "(x = " << grid << ")"
<< "\n grid value: " << value
<< "\n expected: " << expected);
}
}
}
test_suite* SampledCurveTest::suite() {
test_suite* suite = BOOST_TEST_SUITE("sampled curve tests");
suite->add(BOOST_TEST_CASE(&SampledCurveTest::testConstruction));
return suite;
}
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