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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 "toplevelfixture.hpp"
#include "utilities.hpp"
#include <ql/math/array.hpp>
#include <ql/utilities/dataformatters.hpp>
using namespace QuantLib;
using namespace boost::unit_test_framework;
BOOST_FIXTURE_TEST_SUITE(QuantLibTests, TopLevelFixture)
BOOST_AUTO_TEST_SUITE(ArrayTests)
class FSquared {
public:
Real operator()(Real x) const { return x*x; }
};
BOOST_AUTO_TEST_CASE(testConstruction) {
BOOST_TEST_MESSAGE("Testing array construction...");
// empty array
Array a1;
if (!a1.empty())
BOOST_ERROR("default-initialized array is not empty "
"(size = " << a1.size() << ")");
// sized array
Size size = 5;
Array a2(size);
if (a2.size() != size)
BOOST_ERROR("array not of the required size"
<< "\n required: " << size
<< "\n resulting: " << a2.size());
// sized array, constant values
Real value = 42.0;
Array a3(size, value);
if (a3.size() != size)
BOOST_ERROR("array not of the required size"
<< "\n required: " << size
<< "\n resulting: " << a3.size());
Size i;
for (i=0; i<size; ++i) {
if (a3[i] != value)
BOOST_ERROR(io::ordinal(i+1) << " element not with required value"
<< "\n required: " << value
<< "\n resulting: " << a3[i]);
}
// sized array, incremental values
Real increment = 3.0;
Array a4(size, value, increment);
if (a4.size() != size)
BOOST_ERROR("array not of the required size"
<< "\n required: " << size
<< "\n resulting: " << a4.size());
for (i=0; i<size; i++) {
if (a4[i] != value + i*increment)
BOOST_ERROR(io::ordinal(i+1) << " element not with required value"
<< "\n required: " << value + i*increment
<< "\n resulting: " << a4[i]);
}
// copy constructor
Array a5(a1); // NOLINT(performance-unnecessary-copy-initialization)
if (a5.size() != a1.size())
BOOST_ERROR("copy not of the same size as original"
<< "\n original: " << a1.size()
<< "\n copy: " << a5.size());
Array a6(a3);
if (a6.size() != a3.size())
BOOST_ERROR("copy not of the same size as original"
<< "\n original: " << a3.size()
<< "\n copy: " << a6.size());
for (i=0; i<a3.size(); i++) {
if (a6[i] != a3[i])
BOOST_ERROR(io::ordinal(i+1) << " element of copy "
"not with same value as original"
<< "\n original: " << a3[i]
<< "\n copy: " << a6[i]);
}
// transform
Array a10(5);
for (i=0; i < a10.size(); i++) {
a10[i] = static_cast<Real>(i);
}
FSquared f2;
std::transform(a10.begin(), a10.end(), a10.begin(), FSquared());
for (i=0; i < a10.size(); i++) {
Real calculated = f2(static_cast<Real>(i));
if (std::fabs(a10[i] - calculated) >= 1e-5) {
BOOST_ERROR("Array transform test failed " << a10[i] << " "
<< calculated);
}
}
// recast initializer list to Real
Array a11{1, 2, 3, 4, 5};
if (a2.size() != size)
BOOST_ERROR("Array not of the required size"
<< "\n required: " << size
<< "\n resulting: " << a2.size());
for (i=0; i<size; ++i) {
if (a11[i] != Real(i+1))
BOOST_ERROR(io::ordinal(i+1) << " element not with required value"
<< "\n required: " << Real(i+1)
<< "\n resulting: " << a11[i]);
}
}
BOOST_AUTO_TEST_CASE(testArrayFunctions) {
BOOST_TEST_MESSAGE("Testing array functions...");
auto get_array = []() {
Array a(5);
for (Size i=0; i < a.size(); ++i) {
a[i] = std::sin(Real(i))+1.1;
}
return a;
};
const Array a = get_array();
constexpr double exponential = -2.3;
const Array p_lvalue = Pow(a, exponential);
const Array e_lvalue = Exp(a);
const Array l_lvalue = Log(a);
const Array s_lvalue = Sqrt(a);
const Array a_lvalue = Abs(a);
const Array p_rvalue = Pow(get_array(), exponential);
const Array e_rvalue = Exp(get_array());
const Array l_rvalue = Log(get_array());
const Array s_rvalue = Sqrt(get_array());
const Array a_rvalue = Abs(get_array());
constexpr double tol = 10*QL_EPSILON;
for (Size i=0; i < a.size(); ++i) {
if (std::fabs(p_lvalue[i]-std::pow(a[i], exponential)) > tol) {
BOOST_FAIL("Array function test Pow failed (lvalue)");
}
if (std::fabs(p_rvalue[i]-std::pow(a[i], exponential)) > tol) {
BOOST_FAIL("Array function test Pow failed (lvalue)");
}
if (std::fabs(e_lvalue[i]-std::exp(a[i])) > tol) {
BOOST_FAIL("Array function test Exp failed (lvalue)");
}
if (std::fabs(e_rvalue[i]-std::exp(a[i])) > tol) {
BOOST_FAIL("Array function test Exp failed (rvalue)");
}
if (std::fabs(l_lvalue[i]-std::log(a[i])) > tol) {
BOOST_FAIL("Array function test Log failed (lvalue)");
}
if (std::fabs(l_rvalue[i]-std::log(a[i])) > tol) {
BOOST_FAIL("Array function test Log failed (rvalue)");
}
if (std::fabs(s_lvalue[i]-std::sqrt(a[i])) > tol) {
BOOST_FAIL("Array function test Sqrt failed (lvalue)");
}
if (std::fabs(s_rvalue[i]-std::sqrt(a[i])) > tol) {
BOOST_FAIL("Array function test Sqrt failed (rvalue)");
}
if (std::fabs(a_lvalue[i]-std::abs(a[i])) > tol) {
BOOST_FAIL("Array function test Abs failed (lvalue)");
}
if (std::fabs(a_rvalue[i]-std::abs(a[i])) > tol) {
BOOST_FAIL("Array function test Abs failed (rvalue)");
}
}
}
BOOST_AUTO_TEST_CASE(testArrayResize) {
BOOST_TEST_MESSAGE("Testing array resize...");
Array a(10,1.0,1.0);
for (Size i=0; i < 10; ++i)
QL_CHECK_CLOSE(a[i], Real(1+i), 10*QL_EPSILON);
a.resize(5);
BOOST_CHECK(a.size() == 5);
for (Size i=0; i < 5; ++i)
QL_CHECK_CLOSE(a[i], Real(1+i), 10*QL_EPSILON);
a.resize(15);
BOOST_CHECK(a.size() == 15);
for (Size i=0; i < 5; ++i)
QL_CHECK_CLOSE(a[i], Real(1+i), 10*QL_EPSILON);
const Array::const_iterator iter = a.begin();
a.resize(a.size());
BOOST_CHECK(iter == a.begin());
a.resize(10);
BOOST_CHECK(a.size() == 10);
BOOST_CHECK(iter == a.begin());
}
#define QL_CHECK_CLOSE_ARRAY(actual, expected) \
BOOST_REQUIRE(actual.size() == expected.size()); \
for (auto i = 0u; i < actual.size(); i++) { \
QL_CHECK_CLOSE(actual[i], expected[i], 100 * QL_EPSILON); \
} \
BOOST_AUTO_TEST_CASE(testArrayOperators) {
BOOST_TEST_MESSAGE("Testing array operators...");
auto get_array = []() {
return Array{1.1, 2.2, 3.3};
};
const auto a = get_array();
const auto positive = Array{1.1, 2.2, 3.3};
const auto lvalue_positive = +a;
const auto rvalue_positive = +get_array();
QL_CHECK_CLOSE_ARRAY(lvalue_positive, positive);
QL_CHECK_CLOSE_ARRAY(rvalue_positive, positive);
const auto negative = Array{-1.1, -2.2, -3.3};
const auto lvalue_negative = -a;
const auto rvalue_negative = -get_array();
QL_CHECK_CLOSE_ARRAY(lvalue_negative, negative);
QL_CHECK_CLOSE_ARRAY(rvalue_negative, negative);
const auto array_sum = Array{2.2, 4.4, 6.6};
const auto lvalue_lvalue_sum = a + a;
const auto lvalue_rvalue_sum = a + get_array();
const auto rvalue_lvalue_sum = get_array() + a;
const auto rvalue_rvalue_sum = get_array() + get_array();
QL_CHECK_CLOSE_ARRAY(lvalue_lvalue_sum, array_sum);
QL_CHECK_CLOSE_ARRAY(lvalue_rvalue_sum, array_sum);
QL_CHECK_CLOSE_ARRAY(rvalue_lvalue_sum, array_sum);
QL_CHECK_CLOSE_ARRAY(rvalue_rvalue_sum, array_sum);
const auto scalar_sum = Array{2.2, 3.3, 4.4};
const auto lvalue_real_sum = a + 1.1;
const auto rvalue_real_sum = get_array() + 1.1;
const auto real_lvalue_sum = 1.1 + a;
const auto real_rvalue_sum = 1.1 + get_array();
QL_CHECK_CLOSE_ARRAY(lvalue_real_sum, scalar_sum);
QL_CHECK_CLOSE_ARRAY(rvalue_real_sum, scalar_sum);
QL_CHECK_CLOSE_ARRAY(real_lvalue_sum, scalar_sum);
QL_CHECK_CLOSE_ARRAY(real_rvalue_sum, scalar_sum);
const auto array_difference = Array{0.0, 0.0, 0.0};
const auto lvalue_lvalue_difference = a - a; // NOLINT(misc-redundant-expression)
const auto lvalue_rvalue_difference = a - get_array();
const auto rvalue_lvalue_difference = get_array() - a;
const auto rvalue_rvalue_difference = get_array() - get_array();
QL_CHECK_CLOSE_ARRAY(lvalue_lvalue_difference, array_difference);
QL_CHECK_CLOSE_ARRAY(lvalue_rvalue_difference, array_difference);
QL_CHECK_CLOSE_ARRAY(rvalue_lvalue_difference, array_difference);
QL_CHECK_CLOSE_ARRAY(rvalue_rvalue_difference, array_difference);
const auto scalar_difference_1 = Array{0.0, +1.1, +2.2};
const auto scalar_difference_2 = Array{0.0, -1.1, -2.2};
const auto lvalue_real_difference = a - 1.1;
const auto rvalue_real_difference = get_array() - 1.1;
const auto real_lvalue_difference = 1.1 - a;
const auto real_rvalue_difference = 1.1 - get_array();
QL_CHECK_CLOSE_ARRAY(lvalue_real_difference, scalar_difference_1);
QL_CHECK_CLOSE_ARRAY(rvalue_real_difference, scalar_difference_1);
QL_CHECK_CLOSE_ARRAY(real_lvalue_difference, scalar_difference_2);
QL_CHECK_CLOSE_ARRAY(real_rvalue_difference, scalar_difference_2);
const auto array_product = Array{1.1 * 1.1, 2.2 * 2.2, 3.3 * 3.3};
const auto lvalue_lvalue_product = a * a;
const auto lvalue_rvalue_product = a * get_array();
const auto rvalue_lvalue_product = get_array() * a;
const auto rvalue_rvalue_product = get_array() * get_array();
QL_CHECK_CLOSE_ARRAY(lvalue_lvalue_product, array_product);
QL_CHECK_CLOSE_ARRAY(lvalue_rvalue_product, array_product);
QL_CHECK_CLOSE_ARRAY(rvalue_lvalue_product, array_product);
QL_CHECK_CLOSE_ARRAY(rvalue_rvalue_product, array_product);
const auto scalar_product = Array{1.1 * 1.1, 2.2 * 1.1, 3.3 * 1.1};
const auto lvalue_real_product = a * 1.1;
const auto rvalue_real_product = get_array() * 1.1;
const auto real_lvalue_product = 1.1 * a;
const auto real_rvalue_product = 1.1 * get_array();
QL_CHECK_CLOSE_ARRAY(lvalue_real_product, scalar_product);
QL_CHECK_CLOSE_ARRAY(rvalue_real_product, scalar_product);
QL_CHECK_CLOSE_ARRAY(real_lvalue_product, scalar_product);
QL_CHECK_CLOSE_ARRAY(real_rvalue_product, scalar_product);
const auto array_quotient = Array{1.0, 1.0, 1.0};
const auto lvalue_lvalue_quotient = a / a; // NOLINT(misc-redundant-expression)
const auto lvalue_rvalue_quotient = a / get_array();
const auto rvalue_lvalue_quotient = get_array() / a;
const auto rvalue_rvalue_quotient = get_array() / get_array();
QL_CHECK_CLOSE_ARRAY(lvalue_lvalue_quotient, array_quotient);
QL_CHECK_CLOSE_ARRAY(lvalue_rvalue_quotient, array_quotient);
QL_CHECK_CLOSE_ARRAY(rvalue_lvalue_quotient, array_quotient);
QL_CHECK_CLOSE_ARRAY(rvalue_rvalue_quotient, array_quotient);
const auto scalar_quotient_1 = Array{1.1 / 1.1, 2.2 / 1.1, 3.3 / 1.1};
const auto scalar_quotient_2 = Array{1.1 / 1.1, 1.1 / 2.2, 1.1 / 3.3};
const auto lvalue_real_quotient = a / 1.1;
const auto rvalue_real_quotient = get_array() / 1.1;
const auto real_lvalue_quotient = 1.1 / a;
const auto real_rvalue_quotient = 1.1 / get_array();
QL_CHECK_CLOSE_ARRAY(lvalue_real_quotient, scalar_quotient_1);
QL_CHECK_CLOSE_ARRAY(rvalue_real_quotient, scalar_quotient_1);
QL_CHECK_CLOSE_ARRAY(real_lvalue_quotient, scalar_quotient_2);
QL_CHECK_CLOSE_ARRAY(real_rvalue_quotient, scalar_quotient_2);
}
BOOST_AUTO_TEST_SUITE_END()
BOOST_AUTO_TEST_SUITE_END()
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