| 1 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
|---|---|
| 2 | |
| 3 | /* |
| 4 | Copyright (C) 2014, 2015 Johannes Göttker-Schnetmann |
| 5 | Copyright (C) 2014, 2015 Klaus Spanderen |
| 6 | |
| 7 | This file is part of QuantLib, a free-software/open-source library |
| 8 | for financial quantitative analysts and developers - http://quantlib.org/ |
| 9 | |
| 10 | QuantLib is free software: you can redistribute it and/or modify it |
| 11 | under the terms of the QuantLib license. You should have received a |
| 12 | copy of the license along with this program; if not, please email |
| 13 | <quantlib-dev@lists.sf.net>. The license is also available online at |
| 14 | <http://quantlib.org/license.shtml>. |
| 15 | |
| 16 | This program is distributed in the hope that it will be useful, but WITHOUT |
| 17 | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
| 18 | FOR A PARTICULAR PURPOSE. See the license for more details. |
| 19 | */ |
| 20 | |
| 21 | #ifndef quantlib_test_heston_slv_model_hpp |
| 22 | #define quantlib_test_heston_slv_model_hpp |
| 23 | |
| 24 | #include <boost/test/unit_test.hpp> |
| 25 | #include "speedlevel.hpp" |
| 26 | |
| 27 | /* remember to document new and/or updated tests in the Doxygen |
| 28 | comment block of the corresponding class */ |
| 29 | |
| 30 | class HestonSLVModelTest { |
| 31 | public: |
| 32 | static void testBlackScholesFokkerPlanckFwdEquation(); |
| 33 | static void testSquareRootZeroFlowBC(); |
| 34 | static void testTransformedZeroFlowBC(); |
| 35 | static void testSquareRootEvolveWithStationaryDensity(); |
| 36 | static void testSquareRootLogEvolveWithStationaryDensity(); |
| 37 | static void testSquareRootFokkerPlanckFwdEquation(); |
| 38 | static void testHestonFokkerPlanckFwdEquation(); |
| 39 | static void testHestonFokkerPlanckFwdEquationLogLVLeverage(); |
| 40 | static void testBlackScholesFokkerPlanckFwdEquationLocalVol(); |
| 41 | static void testFDMCalibration(); |
| 42 | static void testLocalVolsvSLVPropDensity(); |
| 43 | static void testBarrierPricingViaHestonLocalVol(); |
| 44 | static void testBarrierPricingMixedModels(); |
| 45 | static void testMonteCarloVsFdmPricing(); |
| 46 | static void testBarrierPricingMixedModelsMonteCarloVsFdmPricing(); |
| 47 | static void testMonteCarloCalibration(); |
| 48 | static void testMoustacheGraph(); |
| 49 | static void testForwardSkewSLV(); |
| 50 | static void testDiffusionAndDriftSlvProcess(); |
| 51 | |
| 52 | static boost::unit_test_framework::test_suite* suite(SpeedLevel); |
| 53 | |
| 54 | }; |
| 55 | |
| 56 | #endif |
| 57 |