1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2003 RiskMap srl
5 Copyright (C) 2007 StatPro Italia srl
6 Copyright (C) 2019 Wojciech Ślusarski
7
8 This file is part of QuantLib, a free-software/open-source library
9 for financial quantitative analysts and developers - http://quantlib.org/
10
11 QuantLib is free software: you can redistribute it and/or modify it
12 under the terms of the QuantLib license. You should have received a
13 copy of the license along with this program; if not, please email
14 <quantlib-dev@lists.sf.net>. The license is also available online at
15 <http://quantlib.org/license.shtml>.
16
17 This program is distributed in the hope that it will be useful, but WITHOUT
18 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
19 FOR A PARTICULAR PURPOSE. See the license for more details.
20*/
21
22#ifndef quantlib_test_cap_floor_hpp
23#define quantlib_test_cap_floor_hpp
24
25#include <boost/test/unit_test.hpp>
26
27/* remember to document new and/or updated tests in the Doxygen
28 comment block of the corresponding class */
29
30class CapFloorTest {
31 public:
32 static void testStrikeDependency();
33 static void testConsistency();
34 static void testParity();
35 static void testVega();
36 static void testATMRate();
37 static void testImpliedVolatility();
38 static void testCachedValue();
39 static void testCachedValueFromOptionLets();
40 static void testOptionLetsDelta();
41 static void testBachelierOptionLetsDelta();
42 static boost::unit_test_framework::test_suite* suite();
43};
44
45
46#endif
47

source code of quantlib/test-suite/capfloor.hpp