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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006 Joseph Wang
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 "timeseries.hpp"
#include "utilities.hpp"
#include <ql/timeseries.hpp>
#include <ql/prices.hpp>
using namespace QuantLib;
using namespace boost::unit_test_framework;
void TimeSeriesTest::testConstruction() {
BOOST_MESSAGE("Testing time series construction...");
TimeSeries<Real> ts;
ts[Date(25, March, 2005)] = 1.2;
ts[Date(29, March, 2005)] = 2.3;
ts[Date(15, March, 2005)] = 0.3;
TimeSeries<Real>::const_iterator cur = ts.begin();
if (cur->first != Date(15, March, 2005)) {
BOOST_ERROR("date does not match");
}
if (cur->second != 0.3) {
BOOST_ERROR("value does not match");
}
ts[Date(15, March, 2005)] = 4.0;
cur = ts.begin();
if (cur->second != 4.0) {
BOOST_ERROR("replaced value does not match" << cur->second << "\n");
}
ts[Date(15, March, 2005)] = 3.5;
if (cur->second != 3.5) {
BOOST_ERROR("set value operator not match" << cur->second << "\n");
}
}
void TimeSeriesTest::testIntervalPrice() {
BOOST_MESSAGE("Testing time series interval price...");
std::vector<Date> date;
std::vector<Real> open, close, high, low;
date.push_back(Date(25, March, 2005));
date.push_back(Date(29, March, 2005));
open.push_back(1.3);
open.push_back(2.3);
close.push_back(2.3);
close.push_back(3.4);
high.push_back(3.4);
high.push_back(3.5);
low.push_back(3.4);
low.push_back(3.2);
TimeSeries<IntervalPrice> tsiq = IntervalPrice::makeSeries(date,
open,
close,
high,
low);
}
test_suite* TimeSeriesTest::suite() {
test_suite* suite = BOOST_TEST_SUITE("time series tests");
suite->add(BOOST_TEST_CASE(&TimeSeriesTest::testConstruction));
suite->add(BOOST_TEST_CASE(&TimeSeriesTest::testIntervalPrice));
return suite;
}
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