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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2007, 2014 Ferdinando Ametrano
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/time/period.hpp>
using namespace QuantLib;
using namespace boost::unit_test_framework;
BOOST_FIXTURE_TEST_SUITE(QuantLibTests, TopLevelFixture)
BOOST_AUTO_TEST_SUITE(PeriodTests)
BOOST_AUTO_TEST_CASE(testYearsMonthsAlgebra) {
BOOST_TEST_MESSAGE("Testing period algebra on years/months...");
Period OneYear(1, Years);
Period SixMonths(6, Months);
Period ThreeMonths(3, Months);
Integer n = 4;
if (OneYear/n!=ThreeMonths)
BOOST_ERROR("division error: " << OneYear << "/" << n <<
" not equal to " << ThreeMonths);
n = 2;
if (OneYear/n!=SixMonths)
BOOST_ERROR("division error: " << OneYear << "/" << n <<
" not equal to " << SixMonths);
Period sum=ThreeMonths;
sum+=SixMonths;
if (sum!=Period(9, Months))
BOOST_ERROR("sum error: " << ThreeMonths <<
" + " << SixMonths <<
" != " << Period(9, Months));
sum+=OneYear;
if (sum!=Period(21, Months))
BOOST_ERROR("sum error: " << ThreeMonths <<
" + " << SixMonths <<
" + " << OneYear <<
" != " << Period(21, Months));
Period TwelveMonths(12, Months);
if (TwelveMonths.length()!=12)
BOOST_ERROR("normalization error: TwelveMonths.length()" <<
" is " << TwelveMonths.length() <<
" instead of 12");
if (TwelveMonths.units()!=Months)
BOOST_ERROR("normalization error: TwelveMonths.units()" <<
" is " << TwelveMonths.units() <<
" instead of " << Months);
Period NormalizedTwelveMonths(12, Months);
NormalizedTwelveMonths.normalize();
if (NormalizedTwelveMonths.length()!=1)
BOOST_ERROR("normalization error: NormalizedTwelveMonths.length()" <<
" is " << NormalizedTwelveMonths.length() <<
" instead of 1");
if (NormalizedTwelveMonths.units()!=Years)
BOOST_ERROR("normalization error: NormalizedTwelveMonths.units()" <<
" is " << NormalizedTwelveMonths.units() <<
" instead of " << Years);
}
BOOST_AUTO_TEST_CASE(testWeeksDaysAlgebra) {
BOOST_TEST_MESSAGE("Testing period algebra on weeks/days...");
Period TwoWeeks(2, Weeks);
Period OneWeek(1, Weeks);
Period ThreeDays(3, Days);
Period OneDay(1, Days);
Period ZeroDays(0, Days);
Integer n = 2;
if (TwoWeeks/n!=OneWeek)
BOOST_ERROR("division error: " << TwoWeeks << "/" << n <<
" not equal to " << OneWeek);
n = 7;
if (OneWeek/n!=OneDay)
BOOST_ERROR("division error: " << OneWeek << "/" << n <<
" not equal to " << OneDay);
Period sum=ThreeDays;
sum+=OneDay;
if (sum!=Period(4, Days))
BOOST_ERROR("sum error: " << ThreeDays <<
" + " << OneDay <<
" != " << Period(4, Days));
sum+=OneWeek;
if (sum!=Period(11, Days))
BOOST_ERROR("sum error: " << ThreeDays <<
" + " << OneDay <<
" + " << OneWeek <<
" != " << Period(11, Days));
BOOST_TEST((OneWeek + ZeroDays) == OneWeek);
BOOST_TEST((OneWeek + 3*OneDay) == Period(10, Days));
BOOST_TEST((OneWeek + 7*OneDay) == TwoWeeks);
Period SevenDays(7, Days);
if (SevenDays.length()!=7)
BOOST_ERROR("normalization error: SevenDays.length()" <<
" is " << SevenDays.length() <<
" instead of 7");
if (SevenDays.units()!=Days)
BOOST_ERROR("normalization error: SevenDays.units()" <<
" is " << SevenDays.units() <<
" instead of " << Days);
}
BOOST_AUTO_TEST_CASE(testOperators) {
BOOST_TEST_MESSAGE("Testing period operators...");
Period p(3, Days);
p *= 2;
BOOST_TEST(p == Period(6, Days));
p -= Period(2, Days);
BOOST_TEST(p == Period(4, Days));
}
BOOST_AUTO_TEST_CASE(testConvertToYears) {
BOOST_TEST_MESSAGE("Testing conversion of periods to years...");
BOOST_TEST(years(Period(0, Years)) == 0);
BOOST_TEST(years(Period(1, Years)) == 1);
BOOST_TEST(years(Period(5, Years)) == 5);
const auto tol = boost::test_tools::tolerance<Real>(1e-15);
BOOST_TEST(years(Period(1, Months)) == 1.0/12.0, tol);
BOOST_TEST(years(Period(8, Months)) == 8.0/12.0, tol);
BOOST_TEST(years(Period(12, Months)) == 1);
BOOST_TEST(years(Period(18, Months)) == 1.5, tol);
}
BOOST_AUTO_TEST_CASE(testConvertToMonths) {
BOOST_TEST_MESSAGE("Testing conversion of periods to months...");
BOOST_TEST(months(Period(0, Months)) == 0);
BOOST_TEST(months(Period(1, Months)) == 1);
BOOST_TEST(months(Period(5, Months)) == 5);
BOOST_TEST(months(Period(1, Years)) == 12);
BOOST_TEST(months(Period(3, Years)) == 36);
}
BOOST_AUTO_TEST_CASE(testConvertToWeeks) {
BOOST_TEST_MESSAGE("Testing conversion of periods to weeks...");
BOOST_TEST(weeks(Period(0, Weeks)) == 0);
BOOST_TEST(weeks(Period(1, Weeks)) == 1);
BOOST_TEST(weeks(Period(5, Weeks)) == 5);
const auto tol = boost::test_tools::tolerance<Real>(1e-15);
BOOST_TEST(weeks(Period(1, Days)) == 1.0/7.0, tol);
BOOST_TEST(weeks(Period(3, Days)) == 3.0/7.0, tol);
BOOST_TEST(weeks(Period(11, Days)) == 11.0/7.0, tol);
}
BOOST_AUTO_TEST_CASE(testNormalization) {
BOOST_TEST_MESSAGE("Testing period normalization...");
Period test_values[] = {
0 * Days,
0 * Weeks,
0 * Months,
0 * Years,
3 * Days,
7 * Days,
14 * Days,
30 * Days,
60 * Days,
365 * Days,
1 * Weeks,
2 * Weeks,
4 * Weeks,
8 * Weeks,
52 * Weeks,
1 * Months,
2 * Months,
6 * Months,
12 * Months,
18 * Months,
24 * Months,
1 * Years,
2 * Years
};
for (Period p1 : test_values) {
auto n1 = p1.normalized();
if (n1 != p1) {
BOOST_ERROR("Normalizing " << p1 << " yields " << n1 << ", which compares different");
}
for (Period p2 : test_values) {
auto n2 = p2.normalized();
ext::optional<bool> comparison;
try {
comparison = (p1 == p2);
} catch (Error&) {
;
}
if (comparison && *comparison) {
// periods which compare equal must normalize to exactly the same period
if (n1.units() != n2.units() || n1.length() != n2.length()) {
BOOST_ERROR(p1 << " and " << p2 << " compare equal, but normalize to "
<< n1 << " and " << n2 << " respectively");
}
}
if (n1.units() == n2.units() && n1.length() == n2.length()) {
// periods normalizing to exactly the same period must compare equal
if (p1 != p2) {
BOOST_ERROR(p1 << " and " << p2 << " compare different, but normalize to "
<< n1 << " and " << n2 << " respectively");
}
}
}
}
}
BOOST_AUTO_TEST_CASE(testFrequencyComputation) {
BOOST_TEST_MESSAGE("Testing computation of frequency from period...");
// frequency -> period -> frequency == initial frequency?
for (const Frequency f : {NoFrequency, Once, Annual, Semiannual, EveryFourthMonth, Quarterly,
Bimonthly, Monthly, EveryFourthWeek, Biweekly, Weekly, Daily}) {
BOOST_TEST(Period(f).frequency() == f);
}
BOOST_CHECK_THROW(Period(OtherFrequency).frequency(), QuantLib::Error);
// test Period(count, timeUnit).frequency()
BOOST_TEST(Period(1, Years).frequency() == Annual);
BOOST_TEST(Period(6, Months).frequency() == Semiannual);
BOOST_TEST(Period(4, Months).frequency() == EveryFourthMonth);
BOOST_TEST(Period(3, Months).frequency() == Quarterly);
BOOST_TEST(Period(2, Months).frequency() == Bimonthly);
BOOST_TEST(Period(1, Months).frequency() == Monthly);
BOOST_TEST(Period(4, Weeks).frequency() == EveryFourthWeek);
BOOST_TEST(Period(2, Weeks).frequency() == Biweekly);
BOOST_TEST(Period(1, Weeks).frequency() == Weekly);
BOOST_TEST(Period(1, Days).frequency() == Daily);
}
BOOST_AUTO_TEST_SUITE_END()
BOOST_AUTO_TEST_SUITE_END()
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