Fixture() {
BOOST_TEST_MESSAGE( "Setting up test sets and reference points " );
m_refPoint3D = boost::assign::list_of( 1.1 )( 1.1 )( 1.1 );
m_testSet3D.push_back( boost::assign::list_of( 6.56039859404455e-2 ) (0.4474014917277) (0.891923776019316) );
m_testSet3D.push_back( boost::assign::list_of( 3.74945443950542e-2)(3.1364039802686e-2)(0.998804513479922 ) );
m_testSet3D.push_back( boost::assign::list_of( 0.271275894554688)(0.962356894778677)(1.66911984440026e-2 ) );
m_testSet3D.push_back( boost::assign::list_of( 0.237023460537611)(0.468951509833942)(0.850825693417425 ) );
m_testSet3D.push_back( boost::assign::list_of( 8.35813910785332e-2)(0.199763306732937)(0.97627289850149 ) );
m_testSet3D.push_back( boost::assign::list_of( 1.99072649788403e-2)(0.433909411793732)(0.900736544810901 ) );
m_testSet3D.push_back( boost::assign::list_of( 9.60698311356187e-2)(0.977187045721721)(0.18940978121319 ) );
m_testSet3D.push_back( boost::assign::list_of( 2.68052822856208e-2)(2.30651870780559e-2)(0.999374541394087 ) );
m_testSet3D.push_back( boost::assign::list_of( 0.356223209018184)(0.309633114503212)(0.881607826507812 ) );
m_testSet3D.push_back( boost::assign::list_of( 0.127964409429531)(0.73123479272024)(0.670015513129912 ) );
m_testSet3D.push_back( boost::assign::list_of( 0.695473366395562)(0.588939459338073)(0.411663831140169 ) );
m_testSet3D.push_back( boost::assign::list_of( 0.930735605917613)(0.11813654121718)(0.346085234453039 ) );
m_testSet3D.push_back( boost::assign::list_of( 0.774030940645471)(2.83363630460836e-2)(0.632513362272141 ) );
m_testSet3D.push_back( boost::assign::list_of( 0.882561783965009)(4.80931050853475e-3)(0.470171849451808 ) );
m_testSet3D.push_back( boost::assign::list_of( 4.92340623346446e-3)(0.493836329534438)(0.869540936185878 ) );
m_testSet3D.push_back( boost::assign::list_of( 0.305054163869799)(0.219367569077876)(0.926725324323535 ) );
m_testSet3D.push_back( boost::assign::list_of( 0.575227233936948)(0.395585597387712)(0.715978815661927 ) );
m_testSet3D.push_back( boost::assign::list_of( 0.914091673974525)(0.168988399705031)(0.368618138912863 ) );
m_testSet3D.push_back( boost::assign::list_of( 0.225088318852838)(0.796785147906617)(0.560775067911755 ) );
m_testSet3D.push_back( boost::assign::list_of( 0.306941172015014)(0.203530333828304)(0.929710987422322 ) );
m_testSet3D.push_back( boost::assign::list_of( 0.185344081015371)(0.590388202293731)(0.785550343533082 ) );
m_testSet3D.push_back( boost::assign::list_of( 0.177181921358634)(0.67105558509432)(0.719924279669315 ) );
m_testSet3D.push_back( boost::assign::list_of( 0.668494587335475)(0.22012845825454)(0.710393164782469 ) );
m_testSet3D.push_back( boost::assign::list_of( 0.768639363955671)(0.256541291890516)(0.585986427942633 ) );
m_testSet3D.push_back( boost::assign::list_of( 0.403457020846225)(0.744309886218013)(0.532189088208334 ) );
m_testSet3D.push_back( boost::assign::list_of( 0.659545359568811)(0.641205442223306)(0.39224418355721 ) );
m_testSet3D.push_back( boost::assign::list_of( 0.156141960251846)(8.36191498217669e-2)(0.984188765446851 ) );
m_testSet3D.push_back( boost::assign::list_of( 0.246039496399399)(0.954377757574506)(0.16919711007753 ) );
m_testSet3D.push_back( boost::assign::list_of( 3.02243260456876e-2)(0.43842801306405)(0.898257962656493 ) );
m_testSet3D.push_back( boost::assign::list_of( 0.243139979715573)(0.104253945099703)(0.96437236853565 ) );
m_testSet3D.push_back( boost::assign::list_of( 0.343877707314699)(0.539556201272222)(0.768522757034998 ) );
m_testSet3D.push_back( boost::assign::list_of( 0.715293885551218)(0.689330705208567)(0.114794756629825 ) );
m_testSet3D.push_back( boost::assign::list_of( 1.27610149409238e-2)(9.47996983636579e-2)(0.995414573777096 ) );
m_testSet3D.push_back( boost::assign::list_of( 0.30565381275615)(0.792827267212719)(0.527257689476066 ) );
m_testSet3D.push_back( boost::assign::list_of( 0.43864576057661)(3.10389339442242e-2)(0.8981238674636 ) );
m_refPoint2D = boost::assign::list_of( 11 )( 11 );
m_testSet2D.push_back( boost::assign::list_of( 0.0000000000 )(1.0000000000 ) );
m_testSet2D.push_back( boost::assign::list_of( 0.1863801385)(0.9824777066 ) );
m_testSet2D.push_back( boost::assign::list_of( 0.2787464911)(0.9603647191 ) );
m_testSet2D.push_back( boost::assign::list_of( 0.3549325314)(0.9348919179 ) );
m_testSet2D.push_back( boost::assign::list_of( 0.4220279525)(0.9065828188 ) );
m_testSet2D.push_back( boost::assign::list_of( 0.4828402120)(0.8757084730 ) );
m_testSet2D.push_back( boost::assign::list_of( 0.5388359009)(0.8424107501 ) );
m_testSet2D.push_back( boost::assign::list_of( 0.5908933491)(0.8067496824 ) );
m_testSet2D.push_back( boost::assign::list_of( 0.6395815841)(0.7687232254 ) );
m_testSet2D.push_back( boost::assign::list_of( 0.6852861036)(0.7282739568 ) );
m_testSet2D.push_back( boost::assign::list_of( 0.7282728148)(0.6852873173 ) );
m_testSet2D.push_back( boost::assign::list_of( 0.7687221637)(0.6395828601 ) );
m_testSet2D.push_back( boost::assign::list_of( 0.8067485614)(0.5908948796 ) );
m_testSet2D.push_back( boost::assign::list_of( 0.8424097574)(0.5388374529 ) );
m_testSet2D.push_back( boost::assign::list_of( 0.8757076053)(0.4828417856 ) );
m_testSet2D.push_back( boost::assign::list_of( 0.9065821569)(0.4220293744 ) );
m_testSet2D.push_back( boost::assign::list_of( 0.9348914021)(0.3549338901 ) );
m_testSet2D.push_back( boost::assign::list_of( 0.9603643728)(0.2787476843 ) );
m_testSet2D.push_back( boost::assign::list_of( 0.9824775804)(0.1863808035 ) );
m_testSet2D.push_back( boost::assign::list_of( 1.0000000000)(0.0000000000 ) );
}
SortingFixture() : array(new int[array_size]) { parallel::init(3); reset(); BOOST_TEST_MESSAGE( "setup fixture" ); }
Fixture()
: application(boost::unit_test::framework::master_test_suite().argc,
boost::unit_test::framework::master_test_suite().argv)
{
BOOST_TEST_MESSAGE( "setup QCoreApplication fixture" );
}
~CNormalizeStringTestSetup () {
BOOST_TEST_MESSAGE("tear-down utf8 string normalize test");
}
void teardown() {
BOOST_TEST_MESSAGE( "teardown fixture i=" << i );
i += 2;
}
Massive() : m(2)
{
BOOST_TEST_MESSAGE("setup mass");
}
~F() { BOOST_TEST_MESSAGE( "teardown fixture" ); }
~CStringBufferSetup () {
BOOST_TEST_MESSAGE("tear-down TRI_string_buffer_t");
}
suite_fixture() { BOOST_TEST_MESSAGE( "Running some test suite setup" ); }
~CAssociativePointerSetup () {
BOOST_TEST_MESSAGE("tear-down TRI_associative_pointer_t");
}
CStringBufferSetup () {
BOOST_TEST_MESSAGE("setup TRI_string_buffer_t");
}
CAssociativePointerSetup () {
BOOST_TEST_MESSAGE("setup TRI_associative_pointer_t");
}
CNormalizeStringTestSetup () {
BOOST_TEST_MESSAGE("setup utf8 string normalize test");
}
~setDietEnvFixture() {
BOOST_TEST_MESSAGE("== Test teardown [BEGIN]: unsetting environment ==");
BOOST_TEST_MESSAGE("== Test teardown [END]: unsetting environment ==");
}
~VPackHelperSetup () {
BOOST_TEST_MESSAGE("tear-down VelocyPackHelper test");
}
~suite_fixture() { BOOST_TEST_MESSAGE( "Running some test suite teardown" ); }
~Massive()
{
BOOST_TEST_MESSAGE("teardown mass");
}
void some_setup()
{
BOOST_TEST_MESSAGE( "Running some extra setup" );
}
F() : i( 0 ) { BOOST_TEST_MESSAGE( "setup fixture" ); }
void StandardExceptionTranslator( const std::exception& e )
{
BOOST_TEST_MESSAGE( e.what() );
}
~TestRandom() { BOOST_TEST_MESSAGE("Tear down random number generator"); }
/**
* Test generation of permutation using halmd::radix_sort on GPU.
*/
static void test_permutation_gpu(int count, int repeat)
{
std::vector<unsigned int> input_key = make_uniform_array(count);
cuda::vector<unsigned int> g_input_key(count);
BOOST_CHECK( cuda::copy(
input_key.begin()
, input_key.end()
, g_input_key.begin()) == g_input_key.end()
);
std::vector<unsigned int> result(input_key.begin(), input_key.end());
std::sort(result.begin(), result.end());
std::vector<unsigned int> input_value(count);
std::iota(input_value.begin(), input_value.end(), 0);
cuda::vector<unsigned int> g_input_value(count);
BOOST_CHECK( cuda::copy(
input_value.begin()
, input_value.end()
, g_input_value.begin()) == g_input_value.end()
);
BOOST_TEST_MESSAGE( " " << count << " elements" );
BOOST_TEST_MESSAGE( " " << repeat << " iterations" );
halmd::accumulator<double> elapsed;
for (int i = 0; i < repeat; ++i) {
cuda::vector<unsigned int> g_output_key(count);
BOOST_CHECK( cuda::copy(
g_input_key.begin()
, g_input_key.end()
, g_output_key.begin()) == g_output_key.end()
);
cuda::vector<unsigned int> g_output_value(count);
BOOST_CHECK( cuda::copy(
g_input_value.begin()
, g_input_value.end()
, g_output_value.begin()) == g_output_value.end()
);
{
halmd::scoped_timer<halmd::timer> t(elapsed);
BOOST_CHECK( halmd::radix_sort(
g_output_key.begin()
, g_output_key.end()
, g_output_value.begin()) == g_output_value.end()
);
}
cuda::host::vector<unsigned int> h_output_key(count);
BOOST_CHECK( cuda::copy(
g_output_key.begin()
, g_output_key.end()
, h_output_key.begin()) == h_output_key.end()
);
BOOST_CHECK_EQUAL_COLLECTIONS(
h_output_key.begin()
, h_output_key.end()
, result.begin()
, result.end()
);
cuda::host::vector<unsigned int> h_output_value(count);
BOOST_CHECK( cuda::copy(
g_output_value.begin()
, g_output_value.end()
, h_output_value.begin()) == h_output_value.end()
);
auto value_to_key = [&](unsigned int value) {
return input_key[value];
};
BOOST_CHECK_EQUAL_COLLECTIONS(
boost::make_transform_iterator(h_output_value.begin(), value_to_key)
, boost::make_transform_iterator(h_output_value.end(), value_to_key)
, result.begin()
, result.end()
);
}
BOOST_TEST_MESSAGE( " " << mean(elapsed) * 1e3 << " ± " << error_of_mean(elapsed) * 1e3 << " ms per iteration" );
}
void setup() {
BOOST_TEST_MESSAGE( "setup fixture i=" << i );
i++;
}
mas_edge_connectivity_visitor(const mas_edge_connectivity_visitor<Graph, KeyedUpdatablePriorityQueue>& r)
: m_pq(r.m_pq), m_curr(r.m_curr), m_prev(r.m_prev),
m_reach_weight(r.m_reach_weight) {
BOOST_TEST_MESSAGE( "COPY CTOR" );
}
~MyGlobalFixture() {
BOOST_TEST_MESSAGE( "dtor fixture i=" << i );
}
~PermFixture() { BOOST_TEST_MESSAGE( "teardown fixture" ); }
~SortingFixture() { parallel::close(); delete[] array; BOOST_TEST_MESSAGE( "teardown fixture" ); }
VPackHelperSetup () {
BOOST_TEST_MESSAGE("setup VelocyPackHelper test");
}
~Fixture()
{
BOOST_TEST_MESSAGE( "teardown QCoreApplication fixture" );
}
void InflationVolTest::testYoYPriceSurfaceToVol() {
BOOST_TEST_MESSAGE("Testing conversion from YoY price surface "
"to YoY volatility surface...");
SavedSettings backup;
setup();
// first get the price surface set up
setupPriceSurface();
// caplet pricer, recall that setCapletVolatility(Handle<YoYOptionletVolatilitySurface>)
// exists ... we'll use it with the -Curve variant of the surface
// test UNIT DISPLACED pricer
boost::shared_ptr<YoYOptionletVolatilitySurface> pVS;
Handle<YoYOptionletVolatilitySurface> hVS(pVS, false); // pVS does NOT own whatever it points to later, hence the handle does not either
boost::shared_ptr<YoYInflationUnitDisplacedBlackCapFloorEngine>
yoyPricerUD(new YoYInflationUnitDisplacedBlackCapFloorEngine(yoyIndexEU,hVS)); //hVS
// N.B. the vol gets set in the stripper ... else no point!
// cap stripper
boost::shared_ptr<YoYOptionletStripper> yoyOptionletStripper(
new InterpolatedYoYOptionletStripper<Linear>() );
// now set up all the variables for the stripping
Natural settlementDays = 0;
TARGET cal;
BusinessDayConvention bdc = ModifiedFollowing;
DayCounter dc = Actual365Fixed();
boost::shared_ptr<YoYCapFloorTermPriceSurface> capFloorPrices = priceSurfEU;
Period lag = priceSurfEU->observationLag();
Real slope = -0.5; //when you have bad data, i.e. very low/constant
//prices for short dated extreem strikes
//then you cannot assume constant caplet vol
//(else arbitrage)
// N.B. if this is too extreme then can't
// get a no-arbitrage solution anyway
// the way the slope is used means that the slope is
// proportional to the level so higher slopes at
// the edges when things are more volatile
// Actually is doesn't matter what the interpolation is because we only
// intend to use the K values that correspond to quotes ... for model fitting.
boost::shared_ptr<KInterpolatedYoYOptionletVolatilitySurface<Linear> > yoySurf(new
KInterpolatedYoYOptionletVolatilitySurface<Linear>(settlementDays,
cal, bdc, dc, lag, capFloorPrices, yoyPricerUD, yoyOptionletStripper,
slope) );
// now use it for something ... like stating what the T=const lines look like
const Real volATyear1[] = {
0.0128, 0.0093, 0.0083, 0.0073, 0.0064,
0.0058, 0.0042, 0.0046, 0.0053, 0.0064,
0.0098
};
const Real volATyear3[] = {
0.0079, 0.0058, 0.0051, 0.0045, 0.0039,
0.0035, 0.0026, 0.0028, 0.0033, 0.0039,
0.0060
};
Date d = yoySurf->baseDate() + Period(1,Years);
pair<vector<Rate>, vector<Volatility> > someSlice;
someSlice = yoySurf->Dslice(d);
Size n = someSlice.first.size();
Real eps = 0.0001;
for(Size i = 0; i < n; i++){
QL_REQUIRE( fabs(someSlice.second[i] - volATyear1[i]) < eps,
" could not recover 1yr vol: " << someSlice.second[i]
<< " vs " << volATyear1[i] );
}
d = yoySurf->baseDate() + Period(3,Years);
pair<vector<Rate>, vector<Volatility> >
someOtherSlice = yoySurf->Dslice(d);
n = someOtherSlice.first.size();
for(Size i = 0; i < n; i++){
QL_REQUIRE(fabs(someOtherSlice.second[i]-volATyear3[i]) < eps,
"could not recover 3yr vol: "
<< someOtherSlice.second[i]<< " vs " << volATyear3[i] );
}
reset();
}
