1test(3)                            QuantLib                            test(3)
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NAME

6       test - Test Suite
7
8
9       Class ActualActual
10           the correctness of the results is checked against known good
11           values.
12
13       Class AnalyticBarrierEngine
14           the correctness of the returned value is tested by reproducing
15           results available in literature.
16
17       Class AnalyticCliquetEngine
18
19       · the correctness of the returned value is tested by reproducing
20         results available in literature.
21
22       · the correctness of the returned greeks is tested by reproducing
23         numerical derivatives.
24
25       Class AnalyticContinuousFixedLookbackEngine
26           returned values are verified against results from literature
27
28       Class AnalyticContinuousFloatingLookbackEngine
29           returned values verified against results from literature
30
31       Class AnalyticContinuousGeometricAveragePriceAsianEngine
32
33       · the correctness of the returned value is tested by reproducing
34         results available in literature, and results obtained using a
35         discrete average approximation.
36
37       · the correctness of the returned greeks is tested by reproducing
38         numerical derivatives.
39
40       Class AnalyticDigitalAmericanEngine
41
42       · the correctness of the returned value in case of cash-or-nothing at-
43         hit digital payoff is tested by reproducing results available in
44         literature.
45
46       · the correctness of the returned value in case of asset-or-nothing at-
47         hit digital payoff is tested by reproducing results available in
48         literature.
49
50       · the correctness of the returned value in case of cash-or-nothing at-
51         expiry digital payoff is tested by reproducing results available in
52         literature.
53
54       · the correctness of the returned value in case of asset-or-nothing at-
55         expiry digital payoff is tested by reproducing results available in
56         literature.
57
58       · the correctness of the returned greeks in case of cash-or-nothing at-
59         hit digital payoff is tested by reproducing numerical derivatives.
60
61       Class AnalyticDiscreteGeometricAveragePriceAsianEngine
62
63       · the correctness of the returned value is tested by reproducing
64         results available in literature.
65
66       · the correctness of the available greeks is tested against numerical
67         calculations.
68
69       Class AnalyticDividendEuropeanEngine
70           the correctness of the returned greeks is tested by reproducing
71           numerical derivatives.
72
73       Class AnalyticEuropeanEngine
74
75       · the correctness of the returned value is tested by reproducing
76         results available in literature.
77
78       · the correctness of the returned greeks is tested by reproducing
79         results available in literature.
80
81       · the correctness of the returned greeks is tested by reproducing
82         numerical derivatives.
83
84       · the correctness of the returned implied volatility is tested by using
85         it for reproducing the target value.
86
87       · the implied-volatility calculation is tested by checking that it does
88         not modify the option.
89
90       · the correctness of the returned value in case of cash-or-nothing
91         digital payoff is tested by reproducing results available in
92         literature.
93
94       · the correctness of the returned value in case of asset-or-nothing
95         digital payoff is tested by reproducing results available in
96         literature.
97
98       · the correctness of the returned value in case of gap digital payoff
99         is tested by reproducing results available in literature.
100
101       · the correctness of the returned greeks in case of cash-or-nothing
102         digital payoff is tested by reproducing numerical derivatives.
103
104       Class AnalyticHestonEngine
105           the correctness of the returned value is tested by reproducing
106           results available in web/literature and comparison with Black
107           pricing.
108
109       Class AnalyticPerformanceEngine
110           the correctness of the returned greeks is tested by reproducing
111           numerical derivatives.
112
113       Class Array
114           construction of arrays is checked in a number of cases
115
116       Class BaroneAdesiWhaleyApproximationEngine
117           the correctness of the returned value is tested by reproducing
118           results available in literature.
119
120       Class BatesEngine
121           the correctness of the returned value is tested by reproducing
122           results available in web/literature, testing against QuantLib's
123           jump diffusion engine and comparison with Black pricing.
124
125       Class BatesModel
126           calibration is tested against known values.
127
128       Class BinomialVanillaEngine
129           the correctness of the returned values is tested by checking it
130           against analytic results.
131
132       Class Bisection
133           the correctness of the returned values is tested by checking them
134           against known good results.
135
136       Class BivariateCumulativeNormalDistributionDr78
137           the correctness of the returned value is tested by checking it
138           against known good results.
139
140       Class BivariateCumulativeNormalDistributionWe04DP
141           the correctness of the returned value is tested by checking it
142           against known good results.
143
144       Class BjerksundStenslandApproximationEngine
145           the correctness of the returned value is tested by reproducing
146           results available in literature.
147
148       Class Bond
149
150       · price/yield calculations are cross-checked for consistency.
151
152       · price/yield calculations are checked against known good values.
153
154       Class Brazil
155           the correctness of the returned results is tested against a list of
156           known holidays.
157
158       Class Brent
159           the correctness of the returned values is tested by checking them
160           against known good results.
161
162       Class Calendar
163           the methods for adding and removing holidays are tested by
164           inspecting the calendar before and after their invocation.
165
166       Class CapFloor
167
168       · the correctness of the returned value is tested by checking that the
169         price of a cap (resp. floor) decreases (resp. increases) with the
170         strike rate.
171
172       · the relationship between the values of caps, floors and the resulting
173         collars is checked.
174
175       · the put-call parity between the values of caps, floors and swaps is
176         checked.
177
178       · the correctness of the returned implied volatility is tested by using
179         it for reproducing the target value.
180
181       · the correctness of the returned value is tested by checking it
182         against a known good value.
183
184       Class CmsRateBond
185           calculations are tested by checking results against cached values.
186
187       Class CompositeQuote
188           the correctness of the returned values is tested by checking them
189           against numerical calculations.
190
191       Class CompoundForward
192
193       · the correctness of the curve is tested by reproducing the input data.
194
195       · the correctness of the curve is tested by checking the consistency
196         between returned rates and swaps priced on the curve.
197
198       Class ConvergenceStatistics
199           results are tested against known good values.
200
201       Class CovarianceDecomposition
202           cross checked with getCovariance
203
204       Class CubicSpline
205           the correctness of the returned values is tested by reproducing
206           results available in literature.
207
208       Class CumulativePoissonDistribution
209           the correctness of the returned value is tested by checking it
210           against known good results.
211
212       Class Date
213           self-consistency of dates, serial numbers, days of month, months,
214           and weekdays is checked over the whole date range.
215
216       Class DerivedQuote
217           the correctness of the returned values is tested by checking them
218           against numerical calculations.
219
220       Class DPlusDMinus
221           the correctness of the returned values is tested by checking them
222           against numerical calculations.
223
224       Class DZero
225           the correctness of the returned values is tested by checking them
226           against numerical calculations.
227
228       Class ExchangeRate
229           application of direct and derived exchange rate is tested against
230           calculations.
231
232       Class ExchangeRateManager
233           lookup of direct, triangulated, and derived exchange rates is
234           tested.
235
236       Class Factorial
237           the correctness of the returned value is tested by checking it
238           against numerical calculations.
239
240       Class FalsePosition
241           the correctness of the returned values is tested by checking them
242           against known good results.
243
244       Class FaureRsg
245           the correctness of the returned values is tested by reproducing
246           known good values.
247
248       Class FDEuropeanEngine
249           the correctness of the returned value is tested by checking it
250           against analytic results.
251
252       Class FixedRateBond
253           calculations are tested by checking results against cached values.
254
255       Class FloatingRateBond
256           calculations are tested by checking results against cached values.
257
258       Class ForwardEngine
259
260       · the correctness of the returned value is tested by reproducing
261         results available in literature.
262
263       · the correctness of the returned greeks is tested by reproducing
264         numerical derivatives.
265
266       Class ForwardPerformanceEngine
267
268       · the correctness of the returned value is tested by reproducing
269         results available in literature.
270
271       · the correctness of the returned greeks is tested by reproducing
272         numerical derivatives.
273
274       Class ForwardSpreadedTermStructure
275
276       · the correctness of the returned values is tested by checking them
277         against numerical calculations.
278
279       · observability against changes in the underlying term structure and in
280         the added spread is checked.
281
282       Class GammaFunction
283           the correctness of the returned value is tested by checking it
284           against known good results.
285
286       Class GaussianQuadrature
287           the correctness of the result is tested by checking it against
288           known good values.
289
290       Class GaussKronrodAdaptive
291           the correctness of the result is tested by checking it against
292           known good values.
293
294       Class GenericSequenceStatistics
295           the correctness of the returned values is tested by checking them
296           against numerical calculations.
297
298       Class Germany
299           the correctness of the returned results is tested against a list of
300           known holidays.
301
302       Class HaltonRsg
303
304       · the correctness of the returned values is tested by reproducing known
305         good values.
306
307       · the correctness of the returned values is tested by checking their
308         discrepancy against known good values.
309
310       Class HestonModel
311           calibration is tested against known good values.
312
313       Class HullWhite
314           calibration results are tested against cached values
315
316       Class ImpliedTermStructure
317
318       · the correctness of the returned values is tested by checking them
319         against numerical calculations.
320
321       · observability against changes in the underlying term structure is
322         checked.
323
324       Class Instrument
325           observability of class instances is checked.
326
327       Class InterestRate
328           Converted rates are checked against known good results
329
330       Class InverseCumulativePoisson
331           the correctness of the returned value is tested by checking it
332           against known good results.
333
334       Class Italy
335           the correctness of the returned results is tested against a list of
336           known holidays.
337
338       Class JointCalendar
339           the correctness of the returned results is tested by reproducing
340           the calculations.
341
342       Class JumpDiffusionEngine
343
344       · the correctness of the returned value is tested by reproducing
345         results available in literature.
346
347       · the correctness of the returned greeks is tested by reproducing
348         numerical derivatives.
349
350       Class JuQuadraticApproximationEngine
351           the correctness of the returned value is tested by reproducing
352           results available in literature.
353
354       Class LfmHullWhiteParameterization
355           the correctness is tested by Monte-Carlo reproduction of caplet &
356           ratchet npvs and comparison with Black pricing.
357
358       Class LiborForwardModel
359           the correctness is tested using Monte-Carlo Simulation to reproduce
360           swaption npvs, model calibration and exact cap pricing
361
362       Class LiborForwardModelProcess
363           the correctness is tested by Monte-Carlo reproduction of caplet &
364           ratchet NPVs and comparison with Black pricing.
365
366       Class LinearLeastSquaresRegression
367           the correctness of the returned values is tested by checking their
368           properties.
369
370       Class LongstaffSchwartzPathPricer
371           the correctness of the returned value is tested by reproducing
372           results available in web/literature
373
374       Member pseudoSqrt
375
376       · the correctness of the results is tested by reproducing known good
377         data.
378
379       · the correctness of the results is tested by checking returned values
380         against numerical calculations.
381
382       Class MCAmericanEngine
383           the correctness of the returned value is tested by reproducing
384           results available in web/literature
385
386       Class MCBarrierEngine
387           the correctness of the returned value is tested by reproducing
388           results available in literature.
389
390       Class MCBasketEngine
391           the correctness of the returned value is tested by reproducing
392           results available in literature.
393
394       Class MCDigitalEngine
395           the correctness of the returned value in case of cash-or-nothing
396           at-hit digital payoff is tested by reproducing known good results.
397
398       Class MCDiscreteArithmeticAPEngine
399           the correctness of the returned value is tested by reproducing
400           results available in literature.
401
402       Class MCDiscreteGeometricAPEngine
403           the correctness of the returned value is tested by reproducing
404           results available in literature.
405
406       Class MCEuropeanEngine
407           the correctness of the returned value is tested by checking it
408           against analytic results.
409
410       Class MCEuropeanHestonEngine
411           the correctness of the returned value is tested by reproducing
412           results available in web/literature
413
414       Class MCLongstaffSchwartzEngine
415           the correctness of the returned value is tested by reproducing
416           results available in web/literature
417
418       Class MCVarianceSwapEngine
419           returned fair variances checked for consistency with implied
420           volatility curve.
421
422       Class MersenneTwisterUniformRng
423           the correctness of the returned values is tested by checking them
424           against known good results.
425
426       Class Money
427           money arithmetic is tested with and without currency conversions.
428
429       Class MultiCubicSpline
430           interpolated values are checked against the original function.
431
432       Class MultiPathGenerator
433           the generated paths are checked against cached results
434
435       Class Newton
436           the correctness of the returned values is tested by checking them
437           against known good results.
438
439       Class NewtonSafe
440           the correctness of the returned values is tested by checking them
441           against known good results.
442
443       Class NormalDistribution
444           the correctness of the returned value is tested by checking it
445           against numerical calculations. Cross-checks are also performed
446           against the CumulativeNormalDistribution and
447           InverseCumulativeNormal classes.
448
449       Class OperatorFactory
450           coefficients are tested against constant BSM operator
451
452       Class PathGenerator
453           the generated paths are checked against cached results
454
455       Class PiecewiseYieldCurve
456
457       · the correctness of the returned values is tested by checking them
458         against the original inputs.
459
460       · the observability of the term structure is tested.
461
462       Class PoissonDistribution
463           the correctness of the returned value is tested by checking it
464           against known good results.
465
466       Class QuantoEngine
467
468       · the correctness of the returned value is tested by reproducing
469         results available in literature.
470
471       · the correctness of the returned greeks is tested by reproducing
472         numerical derivatives.
473
474       Class Quote
475           the observability of class instances is tested.
476
477       Class RandomizedLDS
478           correct initialization is tested.
479
480       Class ReplicatingVarianceSwapEngine
481           returned fair variances verified against results from literature
482
483       Class Ridder
484           the correctness of the returned values is tested by checking them
485           against known good results.
486
487       Class Rounding
488           the correctness of the returned values is tested by checking them
489           against known good results.
490
491       Class Secant
492           the correctness of the returned values is tested by checking them
493           against known good results.
494
495       Class SeedGenerator
496           correct initialization of the single instance is tested.
497
498       Class SegmentIntegral
499           the correctness of the result is tested by checking it against
500           known good values.
501
502       Class SimpleDayCounter
503           the correctness of the results is checked against known good
504           values.
505
506       Class SimpsonIntegral
507           the correctness of the result is tested by checking it against
508           known good values.
509
510       Class SobolRsg
511
512       · the correctness of the returned values is tested by reproducing known
513         good values.
514
515       · the correctness of the returned values is tested by checking their
516         discrepancy against known good values.
517
518       Class StulzEngine
519           the correctness of the returned value is tested by reproducing
520           results available in literature.
521
522       Class SVD
523           the correctness of the returned values is tested by checking their
524           properties.
525
526       Class Swaption
527
528       · the correctness of the returned value is tested by checking that the
529         price of a payer (resp. receiver) swaption decreases (resp.
530         increases) with the strike.
531
532       · the correctness of the returned value is tested by checking that the
533         price of a payer (resp. receiver) swaption increases (resp.
534         decreases) with the spread.
535
536       · the correctness of the returned value is tested by checking it
537         against that of a swaption on a swap with no spread and a
538         correspondingly adjusted fixed rate.
539
540       · the correctness of the returned value is tested by checking it
541         against a known good value.
542
543       · the correctness of the returned value of cash settled swaptions is
544         tested by checking the modified annuity against a value calculated
545         without using the Swaption class.
546
547       Class SymmetricSchurDecomposition
548           the correctness of the returned values is tested by checking their
549           properties.
550
551       Class TARGET
552           the correctness of the returned results is tested against a list of
553           known holidays.
554
555       Class TqrEigenDecomposition
556           the correctness of the result is tested by checking it against
557           known good values.
558
559       Class TrapezoidIntegral
560           the correctness of the result is tested by checking it against
561           known good values.
562
563       Class TreeSwaptionEngine
564           calculations are checked against cached results
565
566       Class TreeVanillaSwapEngine
567           calculations are checked against known good results
568
569       Class UnitedKingdom
570           the correctness of the returned results is tested against a list of
571           known holidays.
572
573       Class UnitedStates
574           the correctness of the returned results is tested against a list of
575           known holidays.
576
577       Class YieldTermStructure
578           observability against evaluation date changes is checked.
579
580       Class ZeroCouponBond
581           calculations are tested by checking results against cached values.
582
583       Class ZeroSpreadedTermStructure
584
585       · the correctness of the returned values is tested by checking them
586         against numerical calculations.
587
588       · observability against changes in the underlying term structure and in
589         the added spread is checked.
590
591       Member FDAmericanEngine
592
593       · the correctness of the returned value is tested by reproducing
594         results available in literature.
595
596       · the correctness of the returned greeks is tested by reproducing
597         numerical derivatives.
598
599       Member FDDividendAmericanEngine
600
601       · the correctness of the returned greeks is tested by reproducing
602         numerical derivatives.
603
604       · the invariance of the results upon addition of null dividends is
605         tested.
606
607       Member FDDividendEuropeanEngine
608
609       · the correctness of the returned greeks is tested by reproducing
610         numerical derivatives.
611
612       · the invariance of the results upon addition of null dividends is
613         tested.
614
615       Member FDShoutEngine
616           the correctness of the returned greeks is tested by reproducing
617           numerical derivatives.
618
619       Member BSMTermOperator
620           coefficients are tested against constant BSM operator
621
622Version 0.8.1                     29 Oct 2007                          test(3)