| 1 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
|---|---|
| 2 | |
| 3 | /* |
| 4 | Copyright (C) 2005, 2006, 2008, 2009, 2017 StatPro Italia srl |
| 5 | |
| 6 | This file is part of QuantLib, a free-software/open-source library |
| 7 | for financial quantitative analysts and developers - http://quantlib.org/ |
| 8 | |
| 9 | QuantLib is free software: you can redistribute it and/or modify it |
| 10 | under the terms of the QuantLib license. You should have received a |
| 11 | copy of the license along with this program; if not, please email |
| 12 | <quantlib-dev@lists.sf.net>. The license is also available online at |
| 13 | <http://quantlib.org/license.shtml>. |
| 14 | |
| 15 | This program is distributed in the hope that it will be useful, but WITHOUT |
| 16 | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
| 17 | FOR A PARTICULAR PURPOSE. See the license for more details. |
| 18 | */ |
| 19 | |
| 20 | #ifndef quantlib_test_piecewise_yield_curve_hpp |
| 21 | #define quantlib_test_piecewise_yield_curve_hpp |
| 22 | |
| 23 | #include <boost/test/unit_test.hpp> |
| 24 | |
| 25 | /* remember to document new and/or updated tests in the Doxygen |
| 26 | comment block of the corresponding class */ |
| 27 | |
| 28 | class PiecewiseYieldCurveTest { |
| 29 | public: |
| 30 | static void testLogCubicDiscountConsistency(); |
| 31 | static void testLogLinearDiscountConsistency(); |
| 32 | static void testLinearDiscountConsistency(); |
| 33 | |
| 34 | static void testLinearZeroConsistency(); |
| 35 | static void testSplineZeroConsistency(); |
| 36 | |
| 37 | static void testLinearForwardConsistency(); |
| 38 | static void testFlatForwardConsistency(); |
| 39 | static void testSplineForwardConsistency(); |
| 40 | |
| 41 | static void testConvexMonotoneForwardConsistency(); |
| 42 | static void testLocalBootstrapConsistency(); |
| 43 | |
| 44 | static void testParFraRegression(); |
| 45 | |
| 46 | static void testDefaultInstantiation(); |
| 47 | |
| 48 | static void testObservability(); |
| 49 | static void testLiborFixing(); |
| 50 | |
| 51 | static void testJpyLibor(); |
| 52 | |
| 53 | static void testSwapRateHelperLastRelevantDate(); |
| 54 | static void testSwapRateHelperSpotDate(); |
| 55 | |
| 56 | static void testBadPreviousCurve(); |
| 57 | |
| 58 | static void testConstructionWithExplicitBootstrap(); |
| 59 | static void testLargeRates(); |
| 60 | |
| 61 | static void testGlobalBootstrap(); |
| 62 | |
| 63 | static void testIterativeBootstrapRetries(); |
| 64 | |
| 65 | static boost::unit_test_framework::test_suite* suite(); |
| 66 | }; |
| 67 | |
| 68 | |
| 69 | #endif |
| 70 |