1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
|
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2003, 2004, 2008 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.
*/
#ifndef quantlib_test_utilities_hpp
#define quantlib_test_utilities_hpp
#include <ql/indexes/indexmanager.hpp>
#include <ql/instruments/payoffs.hpp>
#include <ql/exercise.hpp>
#include <ql/instruments/barriertype.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp>
#include <ql/quote.hpp>
#include <ql/patterns/observable.hpp>
#include <ql/time/daycounters/actual365fixed.hpp>
#include <boost/test/unit_test.hpp>
#if BOOST_VERSION < 105900
#include <boost/test/floating_point_comparison.hpp>
#else
#include <boost/test/tools/floating_point_comparison.hpp>
#endif
#include <cmath>
#include <iomanip>
#include <numeric>
#include <string>
#include <utility>
#include <vector>
// This adapts the BOOST_CHECK_SMALL and BOOST_CHECK_CLOSE macros to
// support a struct as Real for arguments, while fully transparant to regular doubles.
// Unfortunately boost does not provide a portable way to customize these macros' behaviour,
// so we need to define wrapper macros QL_CHECK_SMALL etc.
//
// It is required to have a function `value` defined that returns the double-value
// of the Real type (or a value function in the Real type's namespace for ADT).
namespace QuantLib {
// overload this function in case Real is something different - it should alway return double
inline double value(double x) {
return x;
}
}
using QuantLib::value;
#define QL_CHECK_SMALL(FPV, T) BOOST_CHECK_SMALL(value(FPV), value(T))
#define QL_CHECK_CLOSE(L, R, T) BOOST_CHECK_CLOSE(value(L), value(R), value(T))
#define QL_CHECK_CLOSE_FRACTION(L, R, T) BOOST_CHECK_CLOSE_FRACTION(value(L), value(R), value(T))
namespace QuantLib {
std::string payoffTypeToString(const ext::shared_ptr<Payoff>&);
std::string exerciseTypeToString(const ext::shared_ptr<Exercise>&);
std::string barrierTypeToString(Barrier::Type type);
ext::shared_ptr<YieldTermStructure>
flatRate(const Date& today,
const ext::shared_ptr<Quote>& forward,
const DayCounter& dc);
ext::shared_ptr<YieldTermStructure>
flatRate(const Date& today,
Rate forward,
const DayCounter& dc);
ext::shared_ptr<YieldTermStructure>
flatRate(const ext::shared_ptr<Quote>& forward,
const DayCounter& dc);
ext::shared_ptr<YieldTermStructure>
flatRate(Rate forward,
const DayCounter& dc);
ext::shared_ptr<BlackVolTermStructure>
flatVol(const Date& today,
const ext::shared_ptr<Quote>& volatility,
const DayCounter& dc);
ext::shared_ptr<BlackVolTermStructure>
flatVol(const Date& today,
Volatility volatility,
const DayCounter& dc);
ext::shared_ptr<BlackVolTermStructure>
flatVol(const ext::shared_ptr<Quote>& volatility,
const DayCounter& dc);
ext::shared_ptr<BlackVolTermStructure>
flatVol(Volatility volatility,
const DayCounter& dc);
Real relativeError(Real x1, Real x2, Real reference);
//bool checkAbsError(Real x1, Real x2, Real tolerance){
// return std::fabs(x1 - x2) < tolerance;
//};
class Flag : public QuantLib::Observer {
private:
bool up_ = false;
public:
Flag() = default;
void raise() { up_ = true; }
void lower() { up_ = false; }
bool isUp() const { return up_; }
void update() override { raise(); }
};
template<class Iterator>
Real norm(const Iterator& begin, const Iterator& end, Real h) {
// squared values
std::vector<Real> f2(end-begin);
std::transform(begin, end, begin, f2.begin(), std::multiplies<>());
// numeric integral of f^2
Real I = h * (std::accumulate(f2.begin(),f2.end(),Real(0.0))
- 0.5*f2.front() - 0.5*f2.back());
return std::sqrt(I);
}
inline Integer timeToDays(Time t, Integer daysPerYear = 360) {
return Integer(std::lround(t * daysPerYear));
}
// Used to check that an exception message contains the expected message string
struct ExpectedErrorMessage {
explicit ExpectedErrorMessage(std::string msg) : expected(std::move(msg)) {}
bool operator()(const Error& ex) const {
std::string actual(ex.what());
if (actual.find(expected) == std::string::npos) {
BOOST_TEST_MESSAGE("Error expected to contain: '" << expected << "'.");
BOOST_TEST_MESSAGE("Actual error is: '" << actual << "'.");
return false;
} else {
return true;
}
}
std::string expected;
};
// Allow streaming vectors to error messages.
// The standard forbids defining new overloads in the std
// namespace, so we have to use a wrapper instead of overloading
// operator<< to send a vector to the stream directly.
// Defining the overload outside the std namespace wouldn't work
// with Boost streams because of ADT name lookup rules.
template <class T>
struct vector_streamer {
explicit vector_streamer(std::vector<T> v) : v(std::move(v)) {}
std::vector<T> v;
};
template <class T>
vector_streamer<T> to_stream(const std::vector<T>& v) {
return vector_streamer<T>(v);
}
template <class T>
std::ostream& operator<<(std::ostream& out, const vector_streamer<T>& s) {
out << "{ ";
if (!s.v.empty()) {
for (size_t n=0; n<s.v.size()-1; ++n)
out << s.v[n] << ", ";
out << s.v.back();
}
out << " }";
return out;
}
}
#endif
|
