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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2010 Liquidnet Holdings, Inc.
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
<https://www.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/autocovariance.hpp>
using namespace QuantLib;
using namespace boost::unit_test_framework;
BOOST_FIXTURE_TEST_SUITE(QuantLibTests, TopLevelFixture)
BOOST_AUTO_TEST_SUITE(AutocovariancesTests)
BOOST_AUTO_TEST_CASE(testConvolutions) {
BOOST_TEST_MESSAGE("Testing convolutions...");
Array x(10, 1, 1);
Array conv(6);
convolutions(x.begin(), x.end(), conv.begin(), 5);
Real expected[] = { 385, 330, 276, 224, 175, 130 };
Array delta = conv - Array(expected, expected+6);
if (DotProduct(delta, delta) > 1.0e-6)
BOOST_ERROR("Convolution: \n"
<< std::setprecision(4) << std::scientific
<< " calculated: " << conv << "\n"
<< " expected: " << Array(expected, expected+6));
}
BOOST_AUTO_TEST_CASE(testAutoCovariances) {
BOOST_TEST_MESSAGE("Testing auto-covariances...");
Array x(10, 1, 1);
Array acovf(6);
Real mean = autocovariances(x.begin(), x.end(), acovf.begin(), 5, false);
Real expected[] = { 8.25, 6.416667, 4.25, 1.75, -1.08333, -4.25 };
if (std::fabs(mean-5.5) > 1.0e-6) {
BOOST_ERROR("Mean: \n"
<< " calculated: " << mean << "\n"
<< " expected: " << 5.5);
}
Array delta = acovf - Array(expected, expected+6);
if (DotProduct(delta, delta) > 1.0e-6)
BOOST_ERROR("Autocovariances: \n"
<< std::setprecision(4) << std::scientific
<< " calculated: " << acovf << "\n"
<< " expected: " << Array(expected, expected+6));
}
BOOST_AUTO_TEST_CASE(testAutoCorrelations) {
BOOST_TEST_MESSAGE("Testing auto-correlations...");
Array x(10, 1, 1);
Array acorf(6);
Real mean = autocorrelations(x.begin(), x.end(), acorf.begin(), 5, true);
Real expected[] = { 9.166667, 0.77777778, 0.51515152,
0.21212121, -0.13131313, -0.51515152 };
if (std::fabs(mean-5.5) > 1.0e-6) {
BOOST_ERROR("Mean: \n"
<< " calculated: " << mean << "\n"
<< " expected: " << 5.5);
}
Array delta = acorf - Array(expected, expected+6);
if (DotProduct(delta, delta) > 1.0e-6)
BOOST_ERROR("Autocovariances: \n"
<< std::setprecision(4) << std::scientific
<< " calculated: " << acorf << "\n"
<< " expected: " << Array(expected, expected+6));
delta = x - Array(10, -4.5, 1);
if (DotProduct(delta, delta) > 1.0e-6)
BOOST_ERROR("Centering: \n"
<< std::setprecision(4) << std::scientific
<< " calculated: " << x << "\n"
<< " expected: " << Array(10, -4.5, 1));
}
BOOST_AUTO_TEST_SUITE_END()
BOOST_AUTO_TEST_SUITE_END()
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