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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 "solvers.hpp"
#include "utilities.hpp"
#include <ql/math/solvers1d/brent.hpp>
#include <ql/math/solvers1d/bisection.hpp>
#include <ql/math/solvers1d/falseposition.hpp>
#include <ql/math/solvers1d/ridder.hpp>
#include <ql/math/solvers1d/secant.hpp>
#include <ql/math/solvers1d/newton.hpp>
#include <ql/math/solvers1d/newtonsafe.hpp>
using namespace QuantLib;
using namespace boost::unit_test_framework;
QL_BEGIN_TEST_LOCALS(Solver1DTest)
class Foo {
public:
Real operator()(Real x) const { return x*x-1.0; }
Real derivative(Real x) const { return 2.0*x; }
};
template <class S>
void test(const S& solver, const std::string& name) {
Real accuracy[] = { 1.0e-4, 1.0e-6, 1.0e-8 };
Real expected = 1.0;
for (Size i=0; i<LENGTH(accuracy); i++) {
Real root = solver.solve(Foo(),accuracy[i],1.5,0.1);
if (std::fabs(root-expected) > accuracy[i]) {
BOOST_FAIL(name << " solver:\n"
<< " expected: " << expected << "\n"
<< " calculated: " << root << "\n"
<< " accuracy: " << accuracy[i]);
}
root = solver.solve(Foo(),accuracy[i],1.5,0.0,1.0);
if (std::fabs(root-expected) > accuracy[i]) {
BOOST_FAIL(name << " solver (bracketed):\n"
<< " expected: " << expected << "\n"
<< " calculated: " << root << "\n"
<< " accuracy: " << accuracy[i]);
}
}
}
QL_END_TEST_LOCALS(Solver1DTest)
void Solver1DTest::testResults() {
BOOST_MESSAGE("Testing 1-D solvers...");
test(Brent(),"Brent");
test(Bisection(),"Bisection");
test(FalsePosition(),"FalsePosition");
test(Ridder(),"Ridder");
test(Secant(),"Secant");
test(Newton(),"Newton");
test(NewtonSafe(),"NewtonSafe");
}
test_suite* Solver1DTest::suite() {
test_suite* suite = BOOST_TEST_SUITE("1-D solver tests");
suite->add(BOOST_TEST_CASE(&Solver1DTest::testResults));
return suite;
}
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