test (3) Linux Manual Page
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