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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006 Joseph Wang
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/timeseries.hpp>
#include <ql/prices.hpp>
#include <ql/time/calendars/unitedstates.hpp>
#include <boost/unordered_map.hpp>
using namespace QuantLib;
using namespace boost::unit_test_framework;
BOOST_FIXTURE_TEST_SUITE(QuantLibTests, TopLevelFixture)
BOOST_AUTO_TEST_SUITE(TimeSeriesTests)
BOOST_AUTO_TEST_CASE(testConstruction) {
BOOST_TEST_MESSAGE("Testing time series 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;
auto cur = ts.begin();
if (cur->first != Date(15, March, 2005)) {
BOOST_ERROR("date does not match");
}
if (cur->second != 0.3) {
BOOST_ERROR("value does not match");
}
ts[Date(15, March, 2005)] = 4.0;
cur = ts.begin();
if (cur->second != 4.0) {
BOOST_ERROR("replaced value does not match" << cur->second << "\n");
}
ts[Date(15, March, 2005)] = 3.5;
if (cur->second != 3.5) {
BOOST_ERROR("set value operator not match" << cur->second << "\n");
}
}
BOOST_AUTO_TEST_CASE(testIntervalPrice) {
BOOST_TEST_MESSAGE("Testing time series interval price...");
std::vector<Date> date = {Date(25, March, 2005), Date(29, March, 2005)};
std::vector<Real> open = {1.3, 2.3},
close = {2.3, 3.4},
high = {3.4, 3.5},
low = {3.4, 3.2};
TimeSeries<IntervalPrice> tsiq = IntervalPrice::makeSeries(date,
open,
close,
high,
low);
}
BOOST_AUTO_TEST_CASE(testIteratingDefaultContainer) {
BOOST_TEST_MESSAGE("Testing iteration of time series with a default container which sorts by date...");
const std::vector<Date> dates = {Date(25, March, 2005),
Date(29, March, 2005),
Date(15, March, 2005)};
const std::vector<Real> prices = {25, 23, 20};
const TimeSeries<Real> ts(dates.begin(), dates.end(), prices.begin());
// accessing dates
{
std::vector<Date> tsDates;
std::transform(ts.begin(), ts.end(), std::back_inserter(tsDates),
[](const std::pair<const Date, Real>& x) -> Date { return x.first; });
const std::vector<Date> expected{dates[2], dates[0], dates[1]};
BOOST_TEST(tsDates == expected);
}
// accessing Values
{
std::vector<Real> tsValues;
std::transform(ts.begin(), ts.end(), std::back_inserter(tsValues),
[](const std::pair<const Date, Real>& x) -> Real { return x.second; });
const std::vector<Real> expected{prices[2], prices[0], prices[1]};
BOOST_TEST(tsValues == expected);
}
}
BOOST_AUTO_TEST_CASE(testCustomContainer) {
BOOST_TEST_MESSAGE("Testing usage of a custom container for time series data...");
// unordered container
typedef TimeSeries<int, boost::unordered_map<Date, int> >
TimeSeriesUnordered;
TimeSeriesUnordered ts;
Date d0(25, March, 2005), d1(25, April, 2005), d = d0;
UnitedStates calendar(UnitedStates::NYSE);
for (int i = 0; d < d1; ++i, d = calendar.advance(d, 1, Days)) {
ts[d] = i;
}
d = d0;
for (int i = 0; d < d1; ++i, d = calendar.advance(d, 1, Days)) {
BOOST_TEST(ts[d] == i);
}
}
BOOST_AUTO_TEST_CASE(testInspectors) {
BOOST_TEST_MESSAGE("Testing inspectors of time series...");
const std::vector<Date> dates = {Date(25, March, 2005),
Date(29, March, 2005),
Date(15, March, 2005)};
const std::vector<Real> prices = {25, 23, 20};
const TimeSeries<Real> ts(dates.begin(), dates.end(), prices.begin());
BOOST_TEST(ts.firstDate() == Date(15, March, 2005));
BOOST_TEST(ts.lastDate() == Date(29, March, 2005));
BOOST_TEST(ts.size() == 3);
BOOST_TEST(!ts.empty());
}
BOOST_AUTO_TEST_CASE(testUtilities) {
BOOST_TEST_MESSAGE("Testing time series utilities...");
const std::vector<Date> dates = {Date(25, March, 2005),
Date(29, March, 2005),
Date(15, March, 2005)};
const std::vector<Real> prices = {25, 23, 20};
// find: needs mutable TimeSeries object as it might insert
{
TimeSeries<Real> ts(dates.begin(), dates.end(), prices.begin());
BOOST_TEST(ts.find(Date(15, March, 2005))->first == Date(15, March, 2005));
BOOST_TEST(ts.find(Date(15, March, 2005))->second == 20);
BOOST_TEST(3 == ts.size());
BOOST_TEST(ts.find(Date(25, March, 2005))->first == Date(25, March, 2005));
BOOST_TEST(ts.find(Date(25, March, 2005))->second == 25);
BOOST_TEST(3 == ts.size());
BOOST_TEST(ts.find(Date(29, March, 2005))->first == Date(29, March, 2005));
BOOST_TEST(ts.find(Date(29, March, 2005))->second == 23);
BOOST_TEST(3 == ts.size());
BOOST_TEST(ts.find(Date(1, March, 2005))->first == Date(1, March, 2005));
BOOST_TEST(4 == ts.size());
}
const TimeSeries<Real> ts(dates.begin(), dates.end(), prices.begin());
// dates()
{
const std::vector<Date> expected{dates[2], dates[0], dates[1]};
BOOST_TEST(ts.dates() == expected);
}
// values()
{
const std::vector<Real> expected{prices[2], prices[0], prices[1]};
BOOST_TEST(ts.values() == expected);
}
}
BOOST_AUTO_TEST_SUITE_END()
BOOST_AUTO_TEST_SUITE_END()
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