test (3) - Linux Man Pages

test: Test Suite

NAME

test - Test Suite
 

Class ActualActual
the correctness of the results is checked against known good values.


 

Class AnalyticBarrierEngine
the correctness of the returned value is tested by reproducing results available in literature.


 

Class AnalyticBSMHullWhiteEngine
the correctness of the returned value is tested by reproducing results available in web/literature


 

Class AnalyticCliquetEngine
*
the correctness of the returned value is tested by reproducing results available in literature.
*
the correctness of the returned greeks is tested by reproducing numerical derivatives.


 

Class AnalyticContinuousFixedLookbackEngine
returned values are verified against results from literature


 

Class AnalyticContinuousFloatingLookbackEngine
returned values verified against results from literature


 

Class AnalyticContinuousGeometricAveragePriceAsianEngine
*
the correctness of the returned value is tested by reproducing results available in literature, and results obtained using a discrete average approximation.
*
the correctness of the returned greeks is tested by reproducing numerical derivatives.


 

Class AnalyticDigitalAmericanEngine
*
the correctness of the returned value in case of cash-or-nothing at-hit digital payoff is tested by reproducing results available in literature.
*
the correctness of the returned value in case of asset-or-nothing at-hit digital payoff is tested by reproducing results available in literature.
*
the correctness of the returned value in case of cash-or-nothing at-expiry digital payoff is tested by reproducing results available in literature.
*
the correctness of the returned value in case of asset-or-nothing at-expiry digital payoff is tested by reproducing results available in literature.
*
the correctness of the returned greeks in case of cash-or-nothing at-hit digital payoff is tested by reproducing numerical derivatives.


 

Class AnalyticDiscreteGeometricAveragePriceAsianEngine
*
the correctness of the returned value is tested by reproducing results available in literature.
*
the correctness of the available greeks is tested against numerical calculations.


 

Class AnalyticDividendEuropeanEngine
the correctness of the returned greeks is tested by reproducing numerical derivatives.


 

Class AnalyticEuropeanEngine
*
the correctness of the returned value is tested by reproducing results available in literature.
*
the correctness of the returned greeks is tested by reproducing results available in literature.
*
the correctness of the returned greeks is tested by reproducing numerical derivatives.
*
the correctness of the returned implied volatility is tested by using it for reproducing the target value.
*
the implied-volatility calculation is tested by checking that it does not modify the option.
*
the correctness of the returned value in case of cash-or-nothing digital payoff is tested by reproducing results available in literature.
*
the correctness of the returned value in case of asset-or-nothing digital payoff is tested by reproducing results available in literature.
*
the correctness of the returned value in case of gap digital payoff is tested by reproducing results available in literature.
*
the correctness of the returned greeks in case of cash-or-nothing digital payoff is tested by reproducing numerical derivatives.


 

Class AnalyticGJRGARCHEngine
the correctness of the returned value is tested by reproducing results available in the Duan et al's 2006 paper.


 

Class AnalyticHestonEngine
the correctness of the returned value is tested by reproducing results available in web/literature and comparison with Black pricing.


 

Class AnalyticHestonHullWhiteEngine
the correctness of the returned value is tested by reproducing results available in web/literature, testing against QuantLib's analytic Heston and Black-Scholes-Merton Hull-White engine


 

Class AnalyticPerformanceEngine
the correctness of the returned greeks is tested by reproducing numerical derivatives.


 

Class Array
construction of arrays is checked in a number of cases


 

Class BaroneAdesiWhaleyApproximationEngine
the correctness of the returned value is tested by reproducing results available in literature.


 

Class BatesEngine
the correctness of the returned value is tested by reproducing results available in web/literature, testing against QuantLib's jump diffusion engine and comparison with Black pricing.


 

Class BatesModel
calibration is tested against known values.


 

Class BinomialVanillaEngine< T >
the correctness of the returned values is tested by checking it against analytic results.


 

Class Bisection
the correctness of the returned values is tested by checking them against known good results.


 

Class BivariateCumulativeNormalDistributionDr78
the correctness of the returned value is tested by checking it against known good results.


 

Class BivariateCumulativeNormalDistributionWe04DP
the correctness of the returned value is tested by checking it against known good results.


 

Class BjerksundStenslandApproximationEngine
the correctness of the returned value is tested by reproducing results available in literature.


 

Class Bond
*
price/yield calculations are cross-checked for consistency.
*
price/yield calculations are checked against known good values.


 

Class Brazil
the correctness of the returned results is tested against a list of known holidays.


 

Class Brent
the correctness of the returned values is tested by checking them against known good results.


 

Class Calendar
the methods for adding and removing holidays are tested by inspecting the calendar before and after their invocation.


 

Class CapFloor
*
the correctness of the returned value is tested by checking that the price of a cap (resp. floor) decreases (resp. increases) with the strike rate.
*
the relationship between the values of caps, floors and the resulting collars is checked.
*
the put-call parity between the values of caps, floors and swaps is checked.
*
the correctness of the returned implied volatility is tested by using it for reproducing the target value.
*
the correctness of the returned value is tested by checking it against a known good value.


 

Class CmsRateBond
calculations are tested by checking results against cached values.


 

Class CompositeQuote< BinaryFunction >
the correctness of the returned values is tested by checking them against numerical calculations.


 

Class CompoundForward
*
the correctness of the curve is tested by reproducing the input data.
*
the correctness of the curve is tested by checking the consistency between returned rates and swaps priced on the curve.


 

Class ConvergenceStatistics< T, U >
results are tested against known good values.


 

Class CovarianceDecomposition
cross checked with getCovariance


 

Class CubicInterpolation
to be adapted from old ones.


 

Class CumulativePoissonDistribution
the correctness of the returned value is tested by checking it against known good results.


 

Class Date
self-consistency of dates, serial numbers, days of month, months, and weekdays is checked over the whole date range.


 

Class DerivedQuote< UnaryFunction >
the correctness of the returned values is tested by checking them against numerical calculations.


 

Class DigitalCoupon
*
the correctness of the returned value in case of Asset-or-nothing embedded option is tested by pricing the digital option with Cox-Rubinstein formula.
*
the correctness of the returned value in case of deep-in-the-money Asset-or-nothing embedded option is tested vs the expected values of coupon and option.
*
the correctness of the returned value in case of deep-out-of-the-money Asset-or-nothing embedded option is tested vs the expected values of coupon and option.
*
the correctness of the returned value in case of Cash-or-nothing embedded option is tested by pricing the digital option with Reiner-Rubinstein formula.
*
the correctness of the returned value in case of deep-in-the-money Cash-or-nothing embedded option is tested vs the expected values of coupon and option.
*
the correctness of the returned value in case of deep-out-of-the-money Cash-or-nothing embedded option is tested vs the expected values of coupon and option.
*
the correctness of the returned value is tested checking the correctness of the call-put parity relation.
*
the correctness of the returned value is tested by the relationship between prices in case of different replication types.


 

Class DPlusDMinus
the correctness of the returned values is tested by checking them against numerical calculations.


 

Class DZero
the correctness of the returned values is tested by checking them against numerical calculations.


 

Class ExchangeRate
application of direct and derived exchange rate is tested against calculations.


 

Class ExchangeRateManager
lookup of direct, triangulated, and derived exchange rates is tested.


 

Class Factorial
the correctness of the returned value is tested by checking it against numerical calculations.


 

Class FalsePosition
the correctness of the returned values is tested by checking them against known good results.


 

Class FaureRsg
the correctness of the returned values is tested by reproducing known good values.


 

Class FdBlackScholesBarrierEngine
the correctness of the returned value is tested by reproducing results available in web/literature and comparison with Black pricing.


 

Class FdBlackScholesVanillaEngine
the correctness of the returned value is tested by reproducing results available in web/literature and comparison with Black pricing.


 

Class FDEuropeanEngine
the correctness of the returned value is tested by checking it against analytic results.


 

Class FdHestonBarrierEngine
the correctness of the returned value is tested by reproducing results available in web/literature and comparison with Black pricing.


 

Class FdHestonVanillaEngine
the correctness of the returned value is tested by reproducing results available in web/literature and comparison with Black pricing.


 

Class FixedRateBond
calculations are tested by checking results against cached values.


 

Class FloatingRateBond
calculations are tested by checking results against cached values.


 

Class ForwardPerformanceVanillaEngine< Engine >
*
the correctness of the returned value is tested by reproducing results available in literature.
*
the correctness of the returned greeks is tested by reproducing numerical derivatives.


 

Class ForwardSpreadedTermStructure
*
the correctness of the returned values is tested by checking them against numerical calculations.
*
observability against changes in the underlying term structure and in the added spread is checked.


 

Class ForwardVanillaEngine< Engine >
*
the correctness of the returned value is tested by reproducing results available in literature.
*
the correctness of the returned greeks is tested by reproducing numerical derivatives.


 

Class GammaFunction
the correctness of the returned value is tested by checking it against known good results.


 

Class GaussianQuadrature
the correctness of the result is tested by checking it against known good values.


 

Class GaussKronrodAdaptive
the correctness of the result is tested by checking it against known good values.


 

Class GenericSequenceStatistics< StatisticsType >
the correctness of the returned values is tested by checking them against numerical calculations.


 

Class Germany
the correctness of the returned results is tested against a list of known holidays.


 

Class GJRGARCHModel
calibration is not implemented for GJR-GARCH


 

Class HaltonRsg
*
the correctness of the returned values is tested by reproducing known good values.
*
the correctness of the returned values is tested by checking their discrepancy against known good values.


 

Class HestonModel
calibration is tested against known good values.


 

Class HullWhite
calibration results are tested against cached values


 

Class ImpliedTermStructure
*
the correctness of the returned values is tested by checking them against numerical calculations.
*
observability against changes in the underlying term structure is checked.


 

Class Instrument
observability of class instances is checked.


 

Class InterestRate
Converted rates are checked against known good results


 

Class InverseCumulativePoisson
the correctness of the returned value is tested by checking it against known good results.


 

Class Italy
the correctness of the returned results is tested against a list of known holidays.


 

Class JointCalendar
the correctness of the returned results is tested by reproducing the calculations.


 

Class JumpDiffusionEngine
*
the correctness of the returned value is tested by reproducing results available in literature.
*
the correctness of the returned greeks is tested by reproducing numerical derivatives.


 

Class JuQuadraticApproximationEngine
the correctness of the returned value is tested by reproducing results available in literature.


 

Class LfmHullWhiteParameterization
the correctness is tested by Monte-Carlo reproduction of caplet & ratchet npvs and comparison with Black pricing.


 

Class LiborForwardModel
the correctness is tested using Monte-Carlo Simulation to reproduce swaption npvs, model calibration and exact cap pricing


 

Class LiborForwardModelProcess
the correctness is tested by Monte-Carlo reproduction of caplet & ratchet NPVs and comparison with Black pricing.


 

Class LinearLeastSquaresRegression< ArgumentType >
the correctness of the returned values is tested by checking their properties.


 

Class LongstaffSchwartzPathPricer< PathType >
the correctness of the returned value is tested by reproducing results available in web/literature


 

Member pseudoSqrt
*
the correctness of the results is tested by reproducing known good data.
*
the correctness of the results is tested by checking returned values against numerical calculations.


 

Class MCAmericanEngine< RNG, S >
the correctness of the returned value is tested by reproducing results available in web/literature


 

Class MCBarrierEngine< RNG, S >
the correctness of the returned value is tested by reproducing results available in literature.


 

Class MCBasketEngine< RNG, S >
the correctness of the returned value is tested by reproducing results available in literature.


 

Class MCDigitalEngine< RNG, S >
the correctness of the returned value in case of cash-or-nothing at-hit digital payoff is tested by reproducing known good results.


 

Class MCDiscreteArithmeticAPEngine< RNG, S >
the correctness of the returned value is tested by reproducing results available in literature.


 

Class MCDiscreteGeometricAPEngine< RNG, S >
the correctness of the returned value is tested by reproducing results available in literature.


 

Class MCEuropeanEngine< RNG, S >
the correctness of the returned value is tested by checking it against analytic results.


 

Class MCEuropeanGJRGARCHEngine< RNG, S >
the correctness of the returned value is tested by reproducing results available in web/literature


 

Class MCEuropeanHestonEngine< RNG, S >
the correctness of the returned value is tested by reproducing results available in web/literature


 

Class MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S >
the correctness of the returned value is tested by reproducing results available in web/literature


 

Class MCVarianceSwapEngine< RNG, S >
returned fair variances checked for consistency with implied volatility curve.


 

Class MersenneTwisterUniformRng
the correctness of the returned values is tested by checking them against known good results.


 

Class Money
money arithmetic is tested with and without currency conversions.


 

Class MultiCubicSpline< i >
interpolated values are checked against the original function.


 

Class MultiPathGenerator< GSG >
the generated paths are checked against cached results


 

Class Newton
the correctness of the returned values is tested by checking them against known good results.


 

Class NewtonSafe
the correctness of the returned values is tested by checking them against known good results.


 

Class NormalDistribution
the correctness of the returned value is tested by checking it against numerical calculations. Cross-checks are also performed against the CumulativeNormalDistribution and InverseCumulativeNormal classes.


 

Class OperatorFactory
coefficients are tested against constant BSM operator


 

Class PathGenerator< GSG >
the generated paths are checked against cached results


 

Class Period
self-consistency of algebra is checked.


 

Class PiecewiseYieldCurve< Traits, Interpolator, Bootstrap >
*
the correctness of the returned values is tested by checking them against the original inputs.
*
the observability of the term structure is tested.


 

Class PoissonDistribution
the correctness of the returned value is tested by checking it against known good results.


 

Class QuantoEngine< Instr, Engine >
*
the correctness of the returned value is tested by reproducing results available in literature.
*
the correctness of the returned greeks is tested by reproducing numerical derivatives.


 

Class Quote
the observability of class instances is tested.


 

Class RandomizedLDS< LDS, PRS >
correct initialization is tested.


 

Class ReplicatingVarianceSwapEngine
returned variances verified against results from literature


 

Class Ridder
the correctness of the returned values is tested by checking them against known good results.


 

Class Rounding
the correctness of the returned values is tested by checking them against known good results.


 

Class Secant
the correctness of the returned values is tested by checking them against known good results.


 

Class SeedGenerator
correct initialization of the single instance is tested.


 

Class SegmentIntegral
the correctness of the result is tested by checking it against known good values.


 

Class SimpleDayCounter
the correctness of the results is checked against known good values.


 

Class SimpsonIntegral
the correctness of the result is tested by checking it against known good values.


 

Class SobolRsg
*
the correctness of the returned values is tested by reproducing known good values.
*
the correctness of the returned values is tested by checking their discrepancy against known good values.


 

Class StulzEngine
the correctness of the returned value is tested by reproducing results available in literature.


 

Class SVD
the correctness of the returned values is tested by checking their properties.


 

Class Swaption
*
the correctness of the returned value is tested by checking that the price of a payer (resp. receiver) swaption decreases (resp. increases) with the strike.
*
the correctness of the returned value is tested by checking that the price of a payer (resp. receiver) swaption increases (resp. decreases) with the spread.
*
the correctness of the returned value is tested by checking it against that of a swaption on a swap with no spread and a correspondingly adjusted fixed rate.
*
the correctness of the returned value is tested by checking it against a known good value.
*
the correctness of the returned value of cash settled swaptions is tested by checking the modified annuity against a value calculated without using the Swaption class.


 

Class SymmetricSchurDecomposition
the correctness of the returned values is tested by checking their properties.


 

Class TARGET
the correctness of the returned results is tested against a list of known holidays.


 

Class TqrEigenDecomposition
the correctness of the result is tested by checking it against known good values.


 

Class TrapezoidIntegral< IntegrationPolicy >
the correctness of the result is tested by checking it against known good values.


 

Class TreeSwaptionEngine
calculations are checked against cached results


 

Class TreeVanillaSwapEngine
calculations are checked against known good results


 

Class UnitedKingdom
the correctness of the returned results is tested against a list of known holidays.


 

Class UnitedStates
the correctness of the returned results is tested against a list of known holidays.


 

Class VanillaSwap
*
the correctness of the returned value is tested by checking that the price of a swap paying the fair fixed rate is null.
*
the correctness of the returned value is tested by checking that the price of a swap receiving the fair floating-rate spread is null.
*
the correctness of the returned value is tested by checking that the price of a swap decreases with the paid fixed rate.
*
the correctness of the returned value is tested by checking that the price of a swap increases with the received floating-rate spread.
*
the correctness of the returned value is tested by checking it against a known good value.


 

Class YieldTermStructure
observability against evaluation date changes is checked.


 

Class ZeroCouponBond
calculations are tested by checking results against cached values.


 

Class ZeroSpreadedTermStructure
*
the correctness of the returned values is tested by checking them against numerical calculations.
*
observability against changes in the underlying term structure and in the added spread is checked.


 

Member FDAmericanEngine
*
the correctness of the returned value is tested by reproducing results available in literature.
*
the correctness of the returned greeks is tested by reproducing numerical derivatives.


 

Member FDDividendAmericanEngine
*
the correctness of the returned greeks is tested by reproducing numerical derivatives.
*
the invariance of the results upon addition of null dividends is tested.


 

Member FDDividendEuropeanEngine
*
the correctness of the returned greeks is tested by reproducing numerical derivatives.
*
the invariance of the results upon addition of null dividends is tested.


 

Member FDShoutEngine
the correctness of the returned greeks is tested by reproducing numerical derivatives.


 

Member BSMTermOperator
coefficients are tested against constant BSM operator