1test(3)                            QuantLib                            test(3)
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NAME

6       test - .TH "test" 3 "Thu Aug 19 2010" "Version 1.0.1" "QuantLib"
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NAME

9       test -
10
11       Class ActualActual
12           the correctness of the results is checked against known good
13           values.
14
15       Class AnalyticBarrierEngine
16           the correctness of the returned value is tested by reproducing
17           results available in literature.
18
19       Class AnalyticBSMHullWhiteEngine
20           the correctness of the returned value is tested by reproducing
21           results available in web/literature
22
23       Class AnalyticCliquetEngine
24
25       · the correctness of the returned value is tested by reproducing
26         results available in literature.
27
28       · the correctness of the returned greeks is tested by reproducing
29         numerical derivatives.
30
31       Class AnalyticCompoundOptionEngine
32           the correctness of the returned value is tested by reproducing
33           results available in literature.
34
35       Class AnalyticContinuousFixedLookbackEngine
36           returned values are verified against results from literature
37
38       Class AnalyticContinuousFloatingLookbackEngine
39           returned values verified against results from literature
40
41       Class AnalyticContinuousGeometricAveragePriceAsianEngine
42
43       · the correctness of the returned value is tested by reproducing
44         results available in literature, and results obtained using a
45         discrete average approximation.
46
47       · the correctness of the returned greeks is tested by reproducing
48         numerical derivatives.
49
50       Class AnalyticDigitalAmericanEngine
51
52       · the correctness of the returned value in case of cash-or-nothing at-
53         hit digital payoff is tested by reproducing results available in
54         literature.
55
56       · the correctness of the returned value in case of asset-or-nothing at-
57         hit digital payoff is tested by reproducing results available in
58         literature.
59
60       · the correctness of the returned value in case of cash-or-nothing at-
61         expiry digital payoff is tested by reproducing results available in
62         literature.
63
64       · the correctness of the returned value in case of asset-or-nothing at-
65         expiry digital payoff is tested by reproducing results available in
66         literature.
67
68       · the correctness of the returned greeks in case of cash-or-nothing at-
69         hit digital payoff is tested by reproducing numerical derivatives.
70
71       Class AnalyticDiscreteGeometricAveragePriceAsianEngine
72
73       · the correctness of the returned value is tested by reproducing
74         results available in literature.
75
76       · the correctness of the available greeks is tested against numerical
77         calculations.
78
79       Class AnalyticDiscreteGeometricAverageStrikeAsianEngine
80
81       · the correctness of the returned value is tested by reproducing known
82         good results.
83
84       Class AnalyticDividendEuropeanEngine
85           the correctness of the returned greeks is tested by reproducing
86           numerical derivatives.
87
88       Class AnalyticEuropeanEngine
89
90       · the correctness of the returned value is tested by reproducing
91         results available in literature.
92
93       · the correctness of the returned greeks is tested by reproducing
94         results available in literature.
95
96       · the correctness of the returned greeks is tested by reproducing
97         numerical derivatives.
98
99       · the correctness of the returned implied volatility is tested by using
100         it for reproducing the target value.
101
102       · the implied-volatility calculation is tested by checking that it does
103         not modify the option.
104
105       · the correctness of the returned value in case of cash-or-nothing
106         digital payoff is tested by reproducing results available in
107         literature.
108
109       · the correctness of the returned value in case of asset-or-nothing
110         digital payoff is tested by reproducing results available in
111         literature.
112
113       · the correctness of the returned value in case of gap digital payoff
114         is tested by reproducing results available in literature.
115
116       · the correctness of the returned greeks in case of cash-or-nothing
117         digital payoff is tested by reproducing numerical derivatives.
118
119       Class AnalyticGJRGARCHEngine
120           the correctness of the returned value is tested by reproducing
121           results available in the Duan et al's 2006 paper.
122
123       Class AnalyticHestonEngine
124           the correctness of the returned value is tested by reproducing
125           results available in web/literature and comparison with Black
126           pricing.
127
128       Class AnalyticHestonHullWhiteEngine
129           the correctness of the returned value is tested by reproducing
130           results available in web/literature, testing against QuantLib's
131           analytic Heston and Black-Scholes-Merton Hull-White engine
132
133       Class AnalyticPerformanceEngine
134           the correctness of the returned greeks is tested by reproducing
135           numerical derivatives.
136
137       Class Array
138           construction of arrays is checked in a number of cases
139
140       Class BaroneAdesiWhaleyApproximationEngine
141           the correctness of the returned value is tested by reproducing
142           results available in literature.
143
144       Class BatesEngine
145           the correctness of the returned value is tested by reproducing
146           results available in web/literature, testing against QuantLib's
147           jump diffusion engine and comparison with Black pricing.
148
149       Class BatesModel
150           calibration is tested against known values.
151
152       Class BinomialVanillaEngine< T >
153           the correctness of the returned values is tested by checking it
154           against analytic results.
155
156       Class Bisection
157           the correctness of the returned values is tested by checking them
158           against known good results.
159
160       Class BivariateCumulativeNormalDistributionDr78
161           the correctness of the returned value is tested by checking it
162           against known good results.
163
164       Class BivariateCumulativeNormalDistributionWe04DP
165           the correctness of the returned value is tested by checking it
166           against known good results.
167
168       Class BjerksundStenslandApproximationEngine
169           the correctness of the returned value is tested by reproducing
170           results available in literature.
171
172       Class Bond
173
174       · price/yield calculations are cross-checked for consistency.
175
176       · price/yield calculations are checked against known good values.
177
178       Class Brazil
179           the correctness of the returned results is tested against a list of
180           known holidays.
181
182       Class Brent
183           the correctness of the returned values is tested by checking them
184           against known good results.
185
186       Class Calendar
187           the methods for adding and removing holidays are tested by
188           inspecting the calendar before and after their invocation.
189
190       Class CapFloor
191
192       · the correctness of the returned value is tested by checking that the
193         price of a cap (resp. floor) decreases (resp. increases) with the
194         strike rate.
195
196       · the relationship between the values of caps, floors and the resulting
197         collars is checked.
198
199       · the put-call parity between the values of caps, floors and swaps is
200         checked.
201
202       · the correctness of the returned implied volatility is tested by using
203         it for reproducing the target value.
204
205       · the correctness of the returned value is tested by checking it
206         against a known good value.
207
208       Class CmsRateBond
209           calculations are tested by checking results against cached values.
210
211       Class CompositeQuote< BinaryFunction >
212           the correctness of the returned values is tested by checking them
213           against numerical calculations.
214
215       Class ConvergenceStatistics< T, U >
216           results are tested against known good values.
217
218       Class CovarianceDecomposition
219           cross checked with getCovariance
220
221       Class CubicInterpolation
222           to be adapted from old ones.
223
224       Class CumulativePoissonDistribution
225           the correctness of the returned value is tested by checking it
226           against known good results.
227
228       Class Date
229           self-consistency of dates, serial numbers, days of month, months,
230           and weekdays is checked over the whole date range.
231
232       Class DerivedQuote< UnaryFunction >
233           the correctness of the returned values is tested by checking them
234           against numerical calculations.
235
236       Class DigitalCoupon
237
238       · the correctness of the returned value in case of Asset-or-nothing
239         embedded option is tested by pricing the digital option with Cox-
240         Rubinstein formula.
241
242       · the correctness of the returned value in case of deep-in-the-money
243         Asset-or-nothing embedded option is tested vs the expected values of
244         coupon and option.
245
246       · the correctness of the returned value in case of deep-out-of-the-
247         money Asset-or-nothing embedded option is tested vs the expected
248         values of coupon and option.
249
250       · the correctness of the returned value in case of Cash-or-nothing
251         embedded option is tested by pricing the digital option with Reiner-
252         Rubinstein formula.
253
254       · the correctness of the returned value in case of deep-in-the-money
255         Cash-or-nothing embedded option is tested vs the expected values of
256         coupon and option.
257
258       · the correctness of the returned value in case of deep-out-of-the-
259         money Cash-or-nothing embedded option is tested vs the expected
260         values of coupon and option.
261
262       · the correctness of the returned value is tested checking the
263         correctness of the call-put parity relation.
264
265       · the correctness of the returned value is tested by the relationship
266         between prices in case of different replication types.
267
268       Class DPlusDMinus
269           the correctness of the returned values is tested by checking them
270           against numerical calculations.
271
272       Class DZero
273           the correctness of the returned values is tested by checking them
274           against numerical calculations.
275
276       Class ExchangeRate
277           application of direct and derived exchange rate is tested against
278           calculations.
279
280       Class ExchangeRateManager
281           lookup of direct, triangulated, and derived exchange rates is
282           tested.
283
284       Class Factorial
285           the correctness of the returned value is tested by checking it
286           against numerical calculations.
287
288       Class FalsePosition
289           the correctness of the returned values is tested by checking them
290           against known good results.
291
292       Class FaureRsg
293           the correctness of the returned values is tested by reproducing
294           known good values.
295
296       Class FDAmericanEngine< Scheme >
297
298       · the correctness of the returned value is tested by reproducing
299         results available in literature.
300
301       · the correctness of the returned greeks is tested by reproducing
302         numerical derivatives.
303
304       Class FdBlackScholesBarrierEngine
305           the correctness of the returned value is tested by reproducing
306           results available in web/literature and comparison with Black
307           pricing.
308
309       Class FdBlackScholesVanillaEngine
310           the correctness of the returned value is tested by reproducing
311           results available in web/literature and comparison with Black
312           pricing.
313
314       Class FDDividendAmericanEngine< Scheme >
315
316       · the correctness of the returned greeks is tested by reproducing
317         numerical derivatives.
318
319       · the invariance of the results upon addition of null dividends is
320         tested.
321
322       Class FDDividendEuropeanEngine< Scheme >
323
324       · the correctness of the returned greeks is tested by reproducing
325         numerical derivatives.
326
327       · the invariance of the results upon addition of null dividends is
328         tested.
329
330       Class FDEuropeanEngine< Scheme >
331           the correctness of the returned value is tested by checking it
332           against analytic results.
333
334       Class FdHestonBarrierEngine
335           the correctness of the returned value is tested by reproducing
336           results available in web/literature and comparison with Black
337           pricing.
338
339       Class FdHestonHullWhiteVanillaEngine
340           the correctness of the returned value is tested by reproducing
341           results available in web/literature and comparison with
342           Black/Heston pricing.
343
344       Class FdHestonVanillaEngine
345           the correctness of the returned value is tested by reproducing
346           results available in web/literature and comparison with Black
347           pricing.
348
349       Class FDShoutEngine< Scheme >
350           the correctness of the returned greeks is tested by reproducing
351           numerical derivatives.
352
353       Class FixedRateBond
354           calculations are tested by checking results against cached values.
355
356       Class FloatingRateBond
357           calculations are tested by checking results against cached values.
358
359       Class ForwardPerformanceVanillaEngine< Engine >
360
361       · the correctness of the returned value is tested by reproducing
362         results available in literature.
363
364       · the correctness of the returned greeks is tested by reproducing
365         numerical derivatives.
366
367       Class ForwardSpreadedTermStructure
368
369       · the correctness of the returned values is tested by checking them
370         against numerical calculations.
371
372       · observability against changes in the underlying term structure and in
373         the added spread is checked.
374
375       Class ForwardVanillaEngine< Engine >
376
377       · the correctness of the returned value is tested by reproducing
378         results available in literature.
379
380       · the correctness of the returned greeks is tested by reproducing
381         numerical derivatives.
382
383       Class GammaFunction
384           the correctness of the returned value is tested by checking it
385           against known good results.
386
387       Class GaussianQuadrature
388           the correctness of the result is tested by checking it against
389           known good values.
390
391       Class GaussKronrodAdaptive
392           the correctness of the result is tested by checking it against
393           known good values.
394
395       Class GenericSequenceStatistics< StatisticsType >
396           the correctness of the returned values is tested by checking them
397           against numerical calculations.
398
399       Class Germany
400           the correctness of the returned results is tested against a list of
401           known holidays.
402
403       Class GJRGARCHModel
404           calibration is not implemented for GJR-GARCH
405
406       Class HaltonRsg
407
408       · the correctness of the returned values is tested by reproducing known
409         good values.
410
411       · the correctness of the returned values is tested by checking their
412         discrepancy against known good values.
413
414       Class HestonModel
415           calibration is tested against known good values.
416
417       Class HullWhite
418           calibration results are tested against cached values
419
420       Class ImpliedTermStructure
421
422       · the correctness of the returned values is tested by checking them
423         against numerical calculations.
424
425       · observability against changes in the underlying term structure is
426         checked.
427
428       Class Instrument
429           observability of class instances is checked.
430
431       Class InterestRate
432           Converted rates are checked against known good results
433
434       Class InverseCumulativePoisson
435           the correctness of the returned value is tested by checking it
436           against known good results.
437
438       Class Italy
439           the correctness of the returned results is tested against a list of
440           known holidays.
441
442       Class JointCalendar
443           the correctness of the returned results is tested by reproducing
444           the calculations.
445
446       Class JumpDiffusionEngine
447
448       · the correctness of the returned value is tested by reproducing
449         results available in literature.
450
451       · the correctness of the returned greeks is tested by reproducing
452         numerical derivatives.
453
454       Class JuQuadraticApproximationEngine
455           the correctness of the returned value is tested by reproducing
456           results available in literature.
457
458       Class LfmHullWhiteParameterization
459           the correctness is tested by Monte-Carlo reproduction of caplet &
460           ratchet npvs and comparison with Black pricing.
461
462       Class LiborForwardModel
463           the correctness is tested using Monte-Carlo Simulation to reproduce
464           swaption npvs, model calibration and exact cap pricing
465
466       Class LiborForwardModelProcess
467           the correctness is tested by Monte-Carlo reproduction of caplet &
468           ratchet NPVs and comparison with Black pricing.
469
470       Class LinearLeastSquaresRegression< ArgumentType >
471           the correctness of the returned values is tested by checking their
472           properties.
473
474       Class LongstaffSchwartzMultiPathPricer
475           the correctness of the returned value is tested by reproducing
476           results available in web/literature
477
478       Class LongstaffSchwartzPathPricer< PathType >
479           the correctness of the returned value is tested by reproducing
480           results available in web/literature
481
482       Class MCAmericanEngine< RNG, S >
483           the correctness of the returned value is tested by reproducing
484           results available in web/literature
485
486       Class MCBarrierEngine< RNG, S >
487           the correctness of the returned value is tested by reproducing
488           results available in literature.
489
490       Class MCDigitalEngine< RNG, S >
491           the correctness of the returned value in case of cash-or-nothing
492           at-hit digital payoff is tested by reproducing known good results.
493
494       Class MCDiscreteArithmeticAPEngine< RNG, S >
495           the correctness of the returned value is tested by reproducing
496           results available in literature.
497
498       Class MCDiscreteGeometricAPEngine< RNG, S >
499           the correctness of the returned value is tested by reproducing
500           results available in literature.
501
502       Class MCEuropeanBasketEngine< RNG, S >
503           the correctness of the returned value is tested by reproducing
504           results available in literature.
505
506       Class MCEuropeanEngine< RNG, S >
507           the correctness of the returned value is tested by checking it
508           against analytic results.
509
510       Class MCEuropeanGJRGARCHEngine< RNG, S >
511           the correctness of the returned value is tested by reproducing
512           results available in web/literature
513
514       Class MCEuropeanHestonEngine< RNG, S >
515           the correctness of the returned value is tested by reproducing
516           results available in web/literature
517
518       Class MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S >
519           the correctness of the returned value is tested by reproducing
520           results available in web/literature
521
522       Class MCLongstaffSchwartzPathEngine< GenericEngine, MC, RNG, S >
523           the correctness of the returned value is tested by reproducing
524           results available in web/literature
525
526       Class MCVarianceSwapEngine< RNG, S >
527           returned fair variances checked for consistency with implied
528           volatility curve.
529
530       Class MersenneTwisterUniformRng
531           the correctness of the returned values is tested by checking them
532           against known good results.
533
534       Class Money
535           money arithmetic is tested with and without currency conversions.
536
537       Class MultiCubicSpline< i >
538           interpolated values are checked against the original function.
539
540       Class MultiPathGenerator< GSG >
541           the generated paths are checked against cached results
542
543       Class Newton
544           the correctness of the returned values is tested by checking them
545           against known good results.
546
547       Class NewtonSafe
548           the correctness of the returned values is tested by checking them
549           against known good results.
550
551       Class NormalDistribution
552           the correctness of the returned value is tested by checking it
553           against numerical calculations. Cross-checks are also performed
554           against the CumulativeNormalDistribution and
555           InverseCumulativeNormal classes.
556
557       Class OperatorFactory
558           coefficients are tested against constant BSM operator
559
560       Class PathGenerator< GSG >
561           the generated paths are checked against cached results
562
563       Class Period
564           self-consistency of algebra is checked.
565
566       Class PiecewiseYieldCurve< Traits, Interpolator, Bootstrap >
567
568       · the correctness of the returned values is tested by checking them
569         against the original inputs.
570
571       · the observability of the term structure is tested.
572
573       Class PoissonDistribution
574           the correctness of the returned value is tested by checking it
575           against known good results.
576
577       Member pseudoSqrt
578
579       · the correctness of the results is tested by reproducing known good
580         data.
581
582       · the correctness of the results is tested by checking returned values
583         against numerical calculations.
584
585       Member QuantLib::BSMTermOperator
586           coefficients are tested against constant BSM operator
587
588       Class QuantoEngine< Instr, Engine >
589
590       · the correctness of the returned value is tested by reproducing
591         results available in literature.
592
593       · the correctness of the returned greeks is tested by reproducing
594         numerical derivatives.
595
596       Class Quote
597           the observability of class instances is tested.
598
599       Class RandomizedLDS< LDS, PRS >
600           correct initialization is tested.
601
602       Class ReplicatingVarianceSwapEngine
603           returned variances verified against results from literature
604
605       Class Ridder
606           the correctness of the returned values is tested by checking them
607           against known good results.
608
609       Class Rounding
610           the correctness of the returned values is tested by checking them
611           against known good results.
612
613       Class Secant
614           the correctness of the returned values is tested by checking them
615           against known good results.
616
617       Class SeedGenerator
618           correct initialization of the single instance is tested.
619
620       Class SegmentIntegral
621           the correctness of the result is tested by checking it against
622           known good values.
623
624       Class SimpleDayCounter
625           the correctness of the results is checked against known good
626           values.
627
628       Class SimpsonIntegral
629           the correctness of the result is tested by checking it against
630           known good values.
631
632       Class SobolRsg
633
634       · the correctness of the returned values is tested by reproducing known
635         good values.
636
637       · the correctness of the returned values is tested by checking their
638         discrepancy against known good values.
639
640       Class StulzEngine
641           the correctness of the returned value is tested by reproducing
642           results available in literature.
643
644       Class SVD
645           the correctness of the returned values is tested by checking their
646           properties.
647
648       Class Swaption
649
650       · the correctness of the returned value is tested by checking that the
651         price of a payer (resp. receiver) swaption decreases (resp.
652         increases) with the strike.
653
654       · the correctness of the returned value is tested by checking that the
655         price of a payer (resp. receiver) swaption increases (resp.
656         decreases) with the spread.
657
658       · the correctness of the returned value is tested by checking it
659         against that of a swaption on a swap with no spread and a
660         correspondingly adjusted fixed rate.
661
662       · the correctness of the returned value is tested by checking it
663         against a known good value.
664
665       · the correctness of the returned value of cash settled swaptions is
666         tested by checking the modified annuity against a value calculated
667         without using the Swaption class.
668
669       Class SymmetricSchurDecomposition
670           the correctness of the returned values is tested by checking their
671           properties.
672
673       Class TARGET
674           the correctness of the returned results is tested against a list of
675           known holidays.
676
677       Class TqrEigenDecomposition
678           the correctness of the result is tested by checking it against
679           known good values.
680
681       Class TrapezoidIntegral< IntegrationPolicy >
682           the correctness of the result is tested by checking it against
683           known good values.
684
685       Class TreeSwaptionEngine
686           calculations are checked against cached results
687
688       Class TreeVanillaSwapEngine
689           calculations are checked against known good results
690
691       Class UnitedKingdom
692           the correctness of the returned results is tested against a list of
693           known holidays.
694
695       Class UnitedStates
696           the correctness of the returned results is tested against a list of
697           known holidays.
698
699       Class VanillaSwap
700
701       · the correctness of the returned value is tested by checking that the
702         price of a swap paying the fair fixed rate is null.
703
704       · the correctness of the returned value is tested by checking that the
705         price of a swap receiving the fair floating-rate spread is null.
706
707       · the correctness of the returned value is tested by checking that the
708         price of a swap decreases with the paid fixed rate.
709
710       · the correctness of the returned value is tested by checking that the
711         price of a swap increases with the received floating-rate spread.
712
713       · the correctness of the returned value is tested by checking it
714         against a known good value.
715
716       Class YieldTermStructure
717           observability against evaluation date changes is checked.
718
719       Class YoYInflationCapFloor
720
721       · the relationship between the values of caps, floors and the resulting
722         collars is checked.
723
724       · the put-call parity between the values of caps, floors and swaps is
725         checked.
726
727       · the correctness of the returned value is tested by checking it
728         against a known good value.
729
730       Class ZeroCouponBond
731           calculations are tested by checking results against cached values.
732
733       Class ZeroSpreadedTermStructure
734
735       · the correctness of the returned values is tested by checking them
736         against numerical calculations.
737
738       · observability against changes in the underlying term structure and in
739         the added spread is checked.
740
741Version 1.0.1                   Thu Aug 19 2010                        test(3)