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Changeset 176

Timestamp:

05/22/08 13:54:49 (5 months ago)

Author:

snovik

Message:

Changed: Changed logic of InitializedList?: in case of InitiatizedList?<Class>, all elements are initialized with default constructor of Class rather than null values

New: Test Stats
Fix: Some small change/fix for termStructure tests.

All exising tests passed successfully

Files:

trunk/QLNet/QLNet.vsmdi (modified) (4 diffs)
trunk/QLNet/QLNet/Utils.cs (modified) (2 diffs)
trunk/QLNet/Test2008/T_Stats.cs (modified) (2 diffs)
trunk/QLNet/Test2008/T_TermStructures.cs (modified) (2 diffs)

Legend:

: Unmodified
: Added
: Removed
: Modified
: Copied
: Moved

trunk/QLNet/QLNet.vsmdi

r173	r176
5	5	<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" />
6	6	<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" />
7	8	<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" />
9	9	<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" />
10	10	<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" />
…	…
44	44	<TestList name="Risk Stats" id="a33eb53e-6299-480c-8958-5bcb922a4801" parentListId="8c43106b-9dc1-4907-a29f-aa66a61bf5b6">
45	45	<TestLinks>
	46	<TestLink id="11324f58-d1f7-1a21-db46-c3d581145bab" name="testConvergenceStatistics" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
	47	<TestLink id="93cb521c-14c8-79d4-fc16-8d0be3bee8d6" name="testStatistics" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
46	48	<TestLink id="b87fb037-4727-72de-6cc9-162a99e11210" name="RiskStatisticsTest" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
	49	<TestLink id="0bf290f2-0fd1-7595-f676-c9b86311a965" name="testSequenceStatistics" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
47	50	</TestLinks>
48	51	</TestList>
…	…
54	57	<TestList name="American Option" id="da9a808d-acf7-4baf-9dfb-e4b091d30fef" parentListId="8c43106b-9dc1-4907-a29f-aa66a61bf5b6">
55	58	<TestLinks>
56		<TestLink id="~~2bbf531b-68cb-84c0-a06f-6bedfb89f20f" name="testBaroneAdesiWhaley~~Values" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
	59	<TestLink id="33c4d801-48ac-44c4-329e-d6fe84f5e034" name="testJuValues" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
57	60	<TestLink id="3be50179-04ee-902d-73d8-3c94e9305a67" name="testFdShoutGreeks" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
58	61	<TestLink id="783f96db-cce8-bf61-b280-f5010f7d7eb3" name="testFdValues" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
59	62	<TestLink id="1e42c90a-8e82-1369-9ed9-52b036b1c07e" name="testBjerksundStenslandValues" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
60	63	<TestLink id="9f4ff6f8-9938-8ecb-5608-7dbc928cbda3" name="testFdAmericanGreeks" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
61		<TestLink id="~~33c4d801-48ac-44c4-329e-d6fe84f5e034" name="testJu~~Values" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
	64	<TestLink id="2bbf531b-68cb-84c0-a06f-6bedfb89f20f" name="testBaroneAdesiWhaleyValues" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
62	65	</TestLinks>
63	66	</TestList>
…	…
76	79	<TestLinks>
77	80	<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" />
78		<TestLink id="~~6dedd105-7532-140b-2b82-37bc69a8d72c" name="testCachedFixe~~d" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
	81	<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" />
79	82	<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" />
80	83	<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" />
81	84	<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" />
	85	<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" />
82	86	<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" />
83		<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" />
84	87	</TestLinks>
85	88	</TestList>

trunk/QLNet/QLNet/Utils.cs

r110	r176
52	52
53	53	// this is a redefined collection class to emulate array-type behaviour at initialisation
54		public class InitializedList<T> : List<T> {
	54	// if T is a class then the list is initilized with default constructors instead of null
	55	public class InitializedList<T> : List<T> where T : new() {
55	56	public InitializedList() : base() { }
56		public InitializedList(int size) : this(size, default(T)) { }
57		public InitializedList(int size, T value)
58		: base(size) {
	57	public InitializedList(int size) : base(size) {
	58	for (int i = 0; i < this.Capacity; i++)
	59	this.Add(default(T) == null ? new T() : default(T));
	60	}
	61	public InitializedList(int size, T value) : base(size) {
59	62	for (int i = 0; i < this.Capacity; i++)
60	63	this.Add(value);
…	…
64	67	public void Erase() {
65	68	for (int i = 0; i < this.Count; i++)
66		this[i] = default(T);
	69	this[i] = default(T); // do we need to use "new T()" instead of default(T) when T is class?
67	70	}
68	71	}

trunk/QLNet/Test2008/T_Stats.cs

r175	r176
31	31	double[] weights = { 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0 };
32	32
	33	[TestMethod()]
	34	public void testStatistics() {
	35	check<IncrementalStatistics>("IncrementalStatistics");
	36	check<RiskStatistics>("Statistics");
	37	}
	38
	39	[TestMethod()]
	40	public void testSequenceStatistics() {
	41	//("Testing sequence statistics...");
	42
	43	checkSequence<IncrementalStatistics>("IncrementalStatistics", 5);
	44	checkSequence<RiskStatistics>("Statistics", 5);
	45	}
	46
	47	[TestMethod()]
	48	public void testConvergenceStatistics() {
	49
	50	//("Testing convergence statistics...");
	51
	52	checkConvergence<IncrementalStatistics>("IncrementalStatistics");
	53	checkConvergence<RiskStatistics>("Statistics");
	54	}
	55
33	56	void check<S>(string name) where S : IGeneralStatistics, new() {
34	57	S s = new S();
…	…
270	293	+ "\n expected: " + expectedSampleSize2);
271	294	}
272
273
274		~~//[TestMethod()]~~
275	295	}
276	296	}

trunk/QLNet/Test2008/T_TermStructures.cs

r128	r176
54	54	swaps = swapData.Length;
55	55
56		~~List<BootstrapHelper<YieldTermStructure>> instruments = new Initialized~~List<BootstrapHelper<YieldTermStructure>>(deposits+swaps);
	56	var instruments = new List<BootstrapHelper<YieldTermStructure>>(deposits+swaps);
57	57	for (int i=0; i<deposits; i++) {
58		instruments~~[i] =~~ new DepositRateHelper(depositData[i].rate/100, new Period(depositData[i].n, depositData[i].units),
59		~~settlementDays, calendar, BusinessDayConvention.ModifiedFollowing, true, new Actual360(~~));
	58	instruments.Add(new DepositRateHelper(depositData[i].rate/100, new Period(depositData[i].n, depositData[i].units),
	59	settlementDays, calendar, BusinessDayConvention.ModifiedFollowing, true, new Actual360()));
60	60	}
61	61
…	…
63	63	calendar, BusinessDayConvention.ModifiedFollowing, false, new Actual360());
64	64	for (int i=0; i<swaps; ++i) {
65		instruments~~[i+deposits] =~~ new SwapRateHelper(swapData[i].rate/100, new Period(swapData[i].n, swapData[i].units),
66		~~calendar, Frequency.Annual, BusinessDayConvention.Unadjusted, new Thirty360(), index~~);
	65	instruments.Add(new SwapRateHelper(swapData[i].rate/100, new Period(swapData[i].n, swapData[i].units),
	66	calendar, Frequency.Annual, BusinessDayConvention.Unadjusted, new Thirty360(), index));
67	67	}
68	68	termStructure = new PiecewiseYieldCurve<Discount,LogLinear>(settlement, instruments, new Actual360());

QLNet