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Changeset 132

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Timestamp:
04/27/08 15:31:07 (6 months ago)
Author:
snovik
Message:

New: Operator tests

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  • trunk/QLNet/QLNet.vsmdi

    r128 r132  
    55      <TestLink id="bbe2d937-bb70-a666-a879-b3063800a42e" name="testFairSpread" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel,   PublicKeyToken=b03f5f7f11d50a3a" /> 
    66      <TestLink id="25b4118b-8066-f12f-3687-a5ef1886eb1c" name="testInArrears" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel,   PublicKeyToken=b03f5f7f11d50a3a" /> 
     7      <TestLink id="27ded393-6046-4057-bd65-31f629c9bf55" name="testFairRate" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel,   PublicKeyToken=b03f5f7f11d50a3a" /> 
    78      <TestLink id="0ee842b0-6275-252f-a1d0-000b0a6a4c52" name="testCachedValue" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel,   PublicKeyToken=b03f5f7f11d50a3a" /> 
    8       <TestLink id="27ded393-6046-4057-bd65-31f629c9bf55" name="testFairRate" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel,   PublicKeyToken=b03f5f7f11d50a3a" /> 
    99      <TestLink id="3b1816a9-7785-f64f-bc52-7014af11e8e5" name="testSpreadDependency" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel,   PublicKeyToken=b03f5f7f11d50a3a" /> 
    1010      <TestLink id="2b04fe68-610a-b2de-e241-ef9a50fdb3fb" name="testRateDependency" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel,   PublicKeyToken=b03f5f7f11d50a3a" /> 
    …… 
    2424    <RunConfiguration id="680e51cf-5709-47c6-9773-83b4363f9544" name="Esecuzione locale dei test" storage="localtestrun.testrunconfig" type="Microsoft.VisualStudio.TestTools.Common.TestRunConfiguration, Microsoft.VisualStudio.QualityTools.Common,   PublicKeyToken=b03f5f7f11d50a3a" /> 
    2525  </TestList> 
     26  <TestList name="Operators" id="9bf9febe-df27-4503-ae7e-10edea3abbd9" parentListId="8c43106b-9dc1-4907-a29f-aa66a61bf5b6"> 
     27    <TestLinks> 
     28      <TestLink id="b19c6257-1a39-dc1b-74a6-d7d76cf05182" name="testBSMOperatorConsistency" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel,   PublicKeyToken=b03f5f7f11d50a3a" /> 
     29      <TestLink id="d6bc7241-f63e-62c4-b65c-9d2b11e788ed" name="testOperatorConsistency" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel,   PublicKeyToken=b03f5f7f11d50a3a" /> 
     30    </TestLinks> 
     31  </TestList> 
    2632  <TestList name="PiecewiseYieldCurve" id="db6f77ff-70a4-4779-821e-8f5548c91d54" parentListId="8c43106b-9dc1-4907-a29f-aa66a61bf5b6"> 
    2733    <TestLinks> 
    …… 
    3844    <TestLinks> 
    3945      <TestLink id="905e7e83-ac17-d164-7c00-332aee943ebf" name="testBrazilianCached" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel,   PublicKeyToken=b03f5f7f11d50a3a" /> 
    40       <TestLink id="af486b6a-ffe8-d458-89c3-9fcd3f6ec404" name="testYield" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel,   PublicKeyToken=b03f5f7f11d50a3a" /> 
     46      <TestLink id="6dedd105-7532-140b-2b82-37bc69a8d72c" name="testCachedFixed" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel,   PublicKeyToken=b03f5f7f11d50a3a" /> 
    4147      <TestLink id="a7feffcc-db48-6ab4-df10-00a5494c44ea" name="testTheoretical" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel,   PublicKeyToken=b03f5f7f11d50a3a" /> 
    4248      <TestLink id="2e159c46-764f-ad21-7b0f-676f2bfdc323" name="testCachedFloating" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel,   PublicKeyToken=b03f5f7f11d50a3a" /> 
    4349      <TestLink id="ab3ac37e-d457-63de-2204-c9a25f55fec9" name="testCached" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel,   PublicKeyToken=b03f5f7f11d50a3a" /> 
    44       <TestLink id="6dedd105-7532-140b-2b82-37bc69a8d72c" name="testCachedFixed" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel,   PublicKeyToken=b03f5f7f11d50a3a" /> 
    4550      <TestLink id="d7571d29-ddb9-5b86-6135-2acbcc05515d" name="testCachedZero" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel,   PublicKeyToken=b03f5f7f11d50a3a" /> 
     51      <TestLink id="af486b6a-ffe8-d458-89c3-9fcd3f6ec404" name="testYield" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel,   PublicKeyToken=b03f5f7f11d50a3a" /> 
    4652    </TestLinks> 
    4753  </TestList> 

  • trunk/QLNet/QLNet/QLNet.csproj

    r131 r132  
    164164    <Compile Include="Methods\Finitedifferences\bsmoperator.cs" /> 
    165165    <Compile Include="Methods\Finitedifferences\cranknicolson.cs" /> 
     166    <Compile Include="Methods\Finitedifferences\DPlusDMinus.cs" /> 
     167    <Compile Include="Methods\Finitedifferences\dzero.cs" /> 
    166168    <Compile Include="Methods\Finitedifferences\finitedifferencemodel.cs" /> 
    167169    <Compile Include="Methods\Finitedifferences\mixedscheme.cs" /> 

  • trunk/QLNet/Test2008/Test2008.csproj

    r112 r132  
    5353    <Compile Include="T_Interpolatedyieldcurve.cs" /> 
    5454    <Compile Include="T_Money.cs" /> 
     55    <Compile Include="T_Operators.cs" /> 
    5556    <Compile Include="T_Rounding.cs" /> 
    5657    <Compile Include="T_Solvers.cs" /> 

  • trunk/QLNet/Test2008/Utilities.cs

    r95 r132  
    4545            return new FlatForward(today, forward, dc); 
    4646        } 
     47 
     48        public static BlackVolTermStructure flatVol(Date today, double vol, DayCounter dc) { 
     49            return flatVol(today, new SimpleQuote(vol), dc); 
     50        } 
     51 
     52        public static BlackVolTermStructure flatVol(Date today, Quote vol, DayCounter dc) { 
     53            return new BlackConstantVol(today, new NullCalendar(), new Handle<Quote>(vol), dc); 
     54        } 
     55 
     56        public static double norm(Vector v, int size, double h) { 
     57            // squared values 
     58            List<double> f2 = new InitializedList<double>(size); 
     59 
     60            for(int i=0;i<v.Count;i++) 
     61                f2[i] = v[i] * v[i]; 
     62 
     63            // numeric integral of f^2 
     64            double I = h * (f2.Sum() - 0.5*f2.First() - 0.5*f2.Last()); 
     65            return Math.Sqrt(I); 
     66        } 
    4767    } 
    4868