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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2004 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
<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/rounding.hpp>
#include <ql/math/comparison.hpp>
using namespace QuantLib;
using namespace boost::unit_test_framework;
BOOST_FIXTURE_TEST_SUITE(QuantLibTests, TopLevelFixture)
BOOST_AUTO_TEST_SUITE(RoundingTests)
struct TestCase {
Decimal x;
Integer precision;
Decimal closest;
Decimal up;
Decimal down;
Decimal floor;
Decimal ceiling;
};
TestCase testData[] = {
{ 0.86313513, 5, 0.86314, 0.86314, 0.86313, 0.86314, 0.86313 },
{ 0.86313, 5, 0.86313, 0.86313, 0.86313, 0.86313, 0.86313 },
{ -7.64555346, 1, -7.6, -7.7, -7.6, -7.6, -7.6 },
{ 0.13961605, 2, 0.14, 0.14, 0.13, 0.14, 0.13 },
{ 0.14344179, 4, 0.1434, 0.1435, 0.1434, 0.1434, 0.1434 },
{ -4.74315016, 2, -4.74, -4.75, -4.74, -4.74, -4.74 },
{ -7.82772074, 5, -7.82772, -7.82773, -7.82772, -7.82772, -7.82772 },
{ 2.74137947, 3, 2.741, 2.742, 2.741, 2.741, 2.741 },
{ 2.13056714, 1, 2.1, 2.2, 2.1, 2.1, 2.1 },
{ -1.06228670, 1, -1.1, -1.1, -1.0, -1.0, -1.1 },
{ 8.29234094, 4, 8.2923, 8.2924, 8.2923, 8.2923, 8.2923 },
{ 7.90185598, 2, 7.90, 7.91, 7.90, 7.90, 7.90 },
{ -0.26738058, 1, -0.3, -0.3, -0.2, -0.2, -0.3 },
{ 1.78128713, 1, 1.8, 1.8, 1.7, 1.8, 1.7 },
{ 4.23537260, 1, 4.2, 4.3, 4.2, 4.2, 4.2 },
{ 3.64369953, 4, 3.6437, 3.6437, 3.6436, 3.6437, 3.6436 },
{ 6.34542470, 2, 6.35, 6.35, 6.34, 6.35, 6.34 },
{ -0.84754962, 4, -0.8475, -0.8476, -0.8475, -0.8475, -0.8475 },
{ 4.60998652, 1, 4.6, 4.7, 4.6, 4.6, 4.6 },
{ 6.28794223, 3, 6.288, 6.288, 6.287, 6.288, 6.287 },
{ 7.89428221, 2, 7.89, 7.90, 7.89, 7.89, 7.89 }
};
BOOST_AUTO_TEST_CASE(testClosest) {
BOOST_TEST_MESSAGE("Testing closest decimal rounding...");
for (auto& i : testData) {
Integer digits = i.precision;
ClosestRounding closest(digits);
Real calculated = closest(i.x);
Real expected = i.closest;
if (!close(calculated,expected,1))
BOOST_ERROR(std::fixed << std::setprecision(8) << "Original number: " << i.x << "\n"
<< std::setprecision(digits) << "Expected: " << expected
<< "\n"
<< "Calculated: " << calculated);
}
}
BOOST_AUTO_TEST_CASE(testUp) {
BOOST_TEST_MESSAGE("Testing upward decimal rounding...");
for (auto& i : testData) {
Integer digits = i.precision;
UpRounding up(digits);
Real calculated = up(i.x);
Real expected = i.up;
if (!close(calculated,expected,1))
BOOST_ERROR(std::fixed << std::setprecision(8) << "Original number: " << i.x << "\n"
<< std::setprecision(digits) << "Expected: " << expected
<< "\n"
<< "Calculated: " << calculated);
}
}
BOOST_AUTO_TEST_CASE(testDown) {
BOOST_TEST_MESSAGE("Testing downward decimal rounding...");
for (auto& i : testData) {
Integer digits = i.precision;
DownRounding down(digits);
Real calculated = down(i.x);
Real expected = i.down;
if (!close(calculated,expected,1))
BOOST_ERROR(std::fixed << std::setprecision(8) << "Original number: " << i.x << "\n"
<< std::setprecision(digits) << "Expected: " << expected
<< "\n"
<< "Calculated: " << calculated);
}
}
BOOST_AUTO_TEST_CASE(testFloor) {
BOOST_TEST_MESSAGE("Testing floor decimal rounding...");
for (auto& i : testData) {
Integer digits = i.precision;
FloorTruncation floor(digits);
Real calculated = floor(i.x);
Real expected = i.floor;
if (!close(calculated,expected,1))
BOOST_ERROR(std::fixed << std::setprecision(8) << "Original number: " << i.x << "\n"
<< std::setprecision(digits) << "Expected: " << expected
<< "\n"
<< "Calculated: " << calculated);
}
}
BOOST_AUTO_TEST_CASE(testCeiling) {
BOOST_TEST_MESSAGE("Testing ceiling decimal rounding...");
for (auto& i : testData) {
Integer digits = i.precision;
CeilingTruncation ceiling(digits);
Real calculated = ceiling(i.x);
Real expected = i.ceiling;
if (!close(calculated,expected,1))
BOOST_ERROR(std::fixed << std::setprecision(8) << "Original number: " << i.x << "\n"
<< std::setprecision(digits) << "Expected: " << expected
<< "\n"
<< "Calculated: " << calculated);
}
}
BOOST_AUTO_TEST_SUITE_END()
BOOST_AUTO_TEST_SUITE_END()
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