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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 "toplevelfixture.hpp"
#include "utilities.hpp"
#include <ql/volatilitymodel.hpp>
#include <ql/models/volatility/constantestimator.hpp>
#include <ql/models/volatility/simplelocalestimator.hpp>
#include <ql/models/volatility/garmanklass.hpp>
#include <ql/timeseries.hpp>
using namespace QuantLib;
using namespace boost::unit_test_framework;
BOOST_FIXTURE_TEST_SUITE(QuantLibTests, TopLevelFixture)
BOOST_AUTO_TEST_SUITE(VolatilityModelsTests)
BOOST_AUTO_TEST_CASE(testConstruction) {
BOOST_TEST_MESSAGE("Testing volatility model 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;
SimpleLocalEstimator sle(1/360.0);
TimeSeries<Volatility> locale = sle.calculate(ts);
ConstantEstimator ce(1);
TimeSeries<Volatility> sv = ce.calculate(locale);
sv.begin();
}
BOOST_AUTO_TEST_SUITE_END()
BOOST_AUTO_TEST_SUITE_END()
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