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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2023 Paul Xi Cao
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/prices.hpp>
#include <ql/time/date.hpp>
#include <array>
using namespace QuantLib;
using namespace boost::unit_test_framework;
BOOST_FIXTURE_TEST_SUITE(QuantLibTests, TopLevelFixture)
BOOST_AUTO_TEST_SUITE(PriceTests)
BOOST_AUTO_TEST_CASE(testMidEquivalent) {
BOOST_TEST_MESSAGE("Testing midEquivalent()...");
using boost::test_tools::tolerance;
BOOST_TEST(1.5 == midEquivalent(1, 2, 3, 4), tolerance<Real>(1e-14));
BOOST_TEST(1.5 == midEquivalent(1, 2, 0, 4), tolerance<Real>(1e-14));
BOOST_TEST(1.5 == midEquivalent(1, 2, 3, 0), tolerance<Real>(1e-14));
BOOST_TEST(1.5 == midEquivalent(1, 2, 0, 0), tolerance<Real>(1e-14));
BOOST_TEST(1 == midEquivalent(1, 0, 3, 4));
BOOST_TEST(1 == midEquivalent(1, 0, 0, 4));
BOOST_TEST(1 == midEquivalent(1, 0, 3, 0));
BOOST_TEST(1 == midEquivalent(1, 0, 0, 0));
BOOST_TEST(2 == midEquivalent(0, 2, 3, 4));
BOOST_TEST(2 == midEquivalent(0, 2, 0, 4));
BOOST_TEST(2 == midEquivalent(0, 2, 3, 0));
BOOST_TEST(2 == midEquivalent(0, 2, 0, 0));
BOOST_TEST(3 == midEquivalent(0, 0, 3, 4));
BOOST_TEST(4 == midEquivalent(0, 0, 0, 4));
BOOST_TEST(3 == midEquivalent(0, 0, 3, 0));
BOOST_CHECK_THROW(midEquivalent(0, 0, 0, 0), QuantLib::Error);
}
BOOST_AUTO_TEST_CASE(testMidSafe) {
BOOST_TEST_MESSAGE("Testing midSafe()...");
using boost::test_tools::tolerance;
BOOST_TEST(1.5 == midSafe(1, 2), tolerance<Real>(1e-14));
BOOST_CHECK_THROW(midSafe(0, 0), QuantLib::Error);
BOOST_CHECK_THROW(midSafe(1, 0), QuantLib::Error);
BOOST_CHECK_THROW(midSafe(0, 2), QuantLib::Error);
}
BOOST_AUTO_TEST_CASE(testIntervalPriceInspectors) {
BOOST_TEST_MESSAGE("Testing IntervalPrice inspectors...");
const IntervalPrice p(1, 2, 3, 4);
BOOST_TEST(1 == p.open());
BOOST_TEST(1 == p.value(IntervalPrice::Open));
BOOST_TEST(2 == p.close());
BOOST_TEST(2 == p.value(IntervalPrice::Close));
BOOST_TEST(3 == p.high());
BOOST_TEST(3 == p.value(IntervalPrice::High));
BOOST_TEST(4 == p.low());
BOOST_TEST(4 == p.value(IntervalPrice::Low));
}
void testEquality(const IntervalPrice& lhs, const IntervalPrice& rhs) {
using T = IntervalPrice::Type;
for (const auto t : {T::Open, T::Close, T::High, T::Low})
BOOST_TEST(lhs.value(t) == rhs.value(t));
}
BOOST_AUTO_TEST_CASE(testIntervalPriceModifiers) {
BOOST_TEST_MESSAGE("Testing IntervalPrice modifiers...");
IntervalPrice p(1, 2, 3, 4);
p.setValue(11, IntervalPrice::Open);
testEquality(p, IntervalPrice(11, 2, 3, 4));
p.setValue(12, IntervalPrice::Close);
testEquality(p, IntervalPrice(11, 12, 3, 4));
p.setValue(13, IntervalPrice::High);
testEquality(p, IntervalPrice(11, 12, 13, 4));
p.setValue(14, IntervalPrice::Low);
testEquality(p, IntervalPrice(11, 12, 13, 14));
p.setValues(21, 22, 23, 24);
testEquality(p, IntervalPrice(21, 22, 23, 24));
}
TimeSeries<IntervalPrice> createSeries() {
std::vector<Date> d;
d.emplace_back((Day)1, (Month)1, (Year)2001);
d.emplace_back((Day)3, (Month)3, (Year)2003);
d.emplace_back((Day)2, (Month)2, (Year)2002);
const std::vector<Real> open{11, 13, 12};
const std::vector<Real> close{21, 23, 22};
const std::vector<Real> high{31, 33, 32};
const std::vector<Real> low{41, 43, 42};
return IntervalPrice::makeSeries(d, open, close, high, low);
}
BOOST_AUTO_TEST_CASE(testIntervalPriceMakeSeries) {
BOOST_TEST_MESSAGE("Testing creation of IntervalPrice series...");
const TimeSeries<IntervalPrice> priceSeries = createSeries();
BOOST_TEST(3U == priceSeries.size());
testEquality(priceSeries[{(Day)1, (Month)1, (Year)2001}], {11, 21, 31, 41});
testEquality(priceSeries[{(Day)2, (Month)2, (Year)2002}], {12, 22, 32, 42});
testEquality(priceSeries[{(Day)3, (Month)3, (Year)2003}], {13, 23, 33, 43});
}
BOOST_AUTO_TEST_CASE(testIntervalPriceExtractComponent) {
BOOST_TEST_MESSAGE("Testing extraction of IntervalPrice values...");
const TimeSeries<Real> openSeries =
IntervalPrice::extractComponent(createSeries(), IntervalPrice::Open);
const TimeSeries<Real> closeSeries =
IntervalPrice::extractComponent(createSeries(), IntervalPrice::Close);
const TimeSeries<Real> highSeries =
IntervalPrice::extractComponent(createSeries(), IntervalPrice::High);
const TimeSeries<Real> lowSeries =
IntervalPrice::extractComponent(createSeries(), IntervalPrice::Low);
for (const auto& series : {openSeries, closeSeries, highSeries, lowSeries})
BOOST_TEST(3U == series.size());
const std::array<Date, 3> expectedDates{Date{(Day)1, (Month)1, (Year)2001},
Date{(Day)2, (Month)2, (Year)2002},
Date{(Day)3, (Month)3, (Year)2003}};
auto expectedDate = expectedDates.begin(); // NOLINT(readability-qualified-auto)
const std::array<IntervalPrice, 3> expectedPrices{IntervalPrice{11, 21, 31, 41},
IntervalPrice{12, 22, 32, 42},
IntervalPrice{13, 23, 33, 43}};
auto expectedPrice = expectedPrices.begin(); // NOLINT(readability-qualified-auto)
for (auto openIt = openSeries.begin(), closeIt = closeSeries.begin(),
highIt = highSeries.begin(), lowIt = lowSeries.begin();
openIt != openSeries.end();
++openIt, ++closeIt, ++highIt, ++lowIt, ++expectedDate, ++expectedPrice) {
const Date openDate = openIt->first;
const Real openValue = openIt->second;
const Date closeDate = closeIt->first;
const Real closeValue = closeIt->second;
const Date highDate = highIt->first;
const Real highValue = highIt->second;
const Date lowDate = lowIt->first;
const Real lowValue = lowIt->second;
for (const Date& date : {openDate, closeDate, highDate, lowDate})
BOOST_TEST(date == *expectedDate);
testEquality(*expectedPrice, IntervalPrice(openValue, closeValue, highValue, lowValue));
}
}
BOOST_AUTO_TEST_SUITE_END()
BOOST_AUTO_TEST_SUITE_END()
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