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test
Langue: en
Version: 379719 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
test - .TH "test" 3 "Thu Aug 19 2010" "Version 1.0.1" "QuantLib"NAME
test -- 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 AnalyticCompoundOptionEngine
- the correctness of the returned value is tested by reproducing results available in literature.
- 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 AnalyticDiscreteGeometricAverageStrikeAsianEngine
- *
- the correctness of the returned value is tested by reproducing known good results.
- 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 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 FDAmericanEngine< Scheme >
- *
- 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 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 FDDividendAmericanEngine< Scheme >
- *
- the correctness of the returned greeks is tested by reproducing numerical derivatives.
- *
- the invariance of the results upon addition of null dividends is tested.
- Class FDDividendEuropeanEngine< Scheme >
- *
- the correctness of the returned greeks is tested by reproducing numerical derivatives.
- *
- the invariance of the results upon addition of null dividends is tested.
- Class FDEuropeanEngine< Scheme >
- 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 FdHestonHullWhiteVanillaEngine
- the correctness of the returned value is tested by reproducing results available in web/literature and comparison with Black/Heston pricing.
- Class FdHestonVanillaEngine
- the correctness of the returned value is tested by reproducing results available in web/literature and comparison with Black pricing.
- Class FDShoutEngine< Scheme >
- the correctness of the returned greeks is tested by reproducing numerical derivatives.
- 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 LongstaffSchwartzMultiPathPricer
- the correctness of the returned value is tested by reproducing results available in web/literature
- Class LongstaffSchwartzPathPricer< PathType >
- the correctness of the returned value is tested by reproducing results available in web/literature
- 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 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 MCEuropeanBasketEngine< 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 MCLongstaffSchwartzPathEngine< 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.
- 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.
- Member QuantLib::BSMTermOperator
- coefficients are tested against constant BSM operator
- 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 YoYInflationCapFloor
- *
- 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 value is tested by checking it against a known good value.
- 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.
Contenus ©2006-2024 Benjamin Poulain
Design ©2006-2024 Maxime Vantorre