testObjects.h File Reference

#include <string>
#include "../PartB/yieldCurve.h"
#include "../PartE/volsurface.h"

Go to the source code of this file.

Functions
bool	maindate (void)
	test the date class
bool	mainmontecarlo (void)
	test the montecarlo option pricer functionality
double	mainmc (double Expiry, double Strike, double Spot, volsurface *Vol, yieldCurve *r, unsigned long nPaths, unsigned long nDates, int PrdName)
	main routine which runs the montecarlo pricer
bool	mainoption (void)
	test the BS option pricing functionality
bool	mainoptionstrategy (void)
	test the option strategy functionality
bool	mainmatrix (void)
	test the matrix functions
bool	maininterpolator (void)
	test the 2d/3d interpolator functionality
bool	mainyieldcurve (void)
	test the yield curve functionality
bool	mainasset (void)
	test the asset functionality
bool	mainfilereader (void)
	test the file reader functionality
bool	fr_basic (void)
	file reader basic test
bool	mainvolsurface (void)
	test the volsurface functionality
bool	maincreditcurve (void)
	test of the credit curve object
bool	mainrainbowoptions (void)
	test of the credit curve object
bool	mainbond (void)
	test the bond functionality
bool	mainvarianceswap (void)
	test of the variance swaps object
bool	mainbinomialtree (void)
	test of the binomial tree object
bool	mainconvertiblebond (void)
	test of the convertible bond object
bool	mainIRVanillaSwap (void)
	Test of the Vanilla Swap - Yann.

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Function Documentation

bool fr_basic (  void   )

file reader basic test Returns: true if pass, otherwise fail Definition at line 53 of file mainfilereader.cpp. References FileReader::fileexists(), and FileReader::getdatadirasstring(). Referenced by mainfilereader().

bool mainasset (  void   )

test the asset functionality Author: Yann Definition at line 14 of file maintestasset.cpp. References a, FileReader::buildYieldPointArray(), EUR, asset::forwardPrice(), FileReader::getdatadirasstring(), Natural, Date::plusDays(), Date::plusMonths(), Date::plusYears(), Real, Date::setDateToToday(), and Date::toString(). Referenced by maintests().

bool mainbinomialtree (  void   )

test of the binomial tree object Returns: true if pass, otherwise fail Definition at line 7 of file mainbinomialtree.cpp. References Call, binomialTree::getPrice(), BlackScholes::getPrice(), binomialTree::getStockProcess(), LongNatural, mainmc(), Natural, r, Real, realsEqual(), and binomialTree::runEngineCall(). Referenced by maintests().

bool mainbond (  void   )

test the bond functionality Returns: true if pass, otherwise fail Definition at line 12 of file mainbond.cpp. References ACT_365, bond::convexity(), DayCountConvention, bond::duration(), bond::fairvalue(), Frequency, May, November, Real, Semiannual, and bond::yieldToMaturity(). Referenced by maintests().

bool mainconvertiblebond (  void   )

test of the convertible bond object Returns: true if pass, otherwise fail Definition at line 5 of file mainconvertiblebond.cpp. References ACT_365, Days, convertiblebond::fairvalue(), Months, Natural, convertiblebond::parityDelta(), convertiblebond::parityGamma(), Date::plus(), Real, realsEqual(), convertiblebond::rho(), Date::setDateToToday(), and asset::setPrice(). Referenced by maintests().

bool maincreditcurve (  void   )

test of the credit curve object Returns: true if pass, otherwise fail Definition at line 9 of file maincreditcurves.cpp. References FileReader::buildCreditSpreadPointArray(), FileReader::buildYieldPointArray(), creditCurve::creditSpread(), creditCurve::cumulativeDefaultProbability(), creditCurve::defaultProbability(), FileReader::getdatadirasstring(), creditCurve::hazardRate(), Natural, Real, creditCurve::riskyDiscountFactor(), and creditCurve::survivalProbability(). Referenced by maintests().

bool maindate (  void   )

test the date class Returns: true if pass, otherwise fail Definition at line 7 of file maindate.cpp. References Date::lastDayOfMonth(), Date::setDateToToday(), and Date::toString(). Referenced by maintests().

bool mainfilereader (  void   )

test the file reader functionality Returns: true if pass, otherwise fail Definition at line 45 of file mainfilereader.cpp. References fr_basic(). Referenced by maintests().

bool maininterpolator (  void   )

test the 2d/3d interpolator functionality Returns: true if pass, otherwise fail Definition at line 5 of file maininterpolator.cpp. References Integer, interpolator::interpolate(), and Real. Referenced by maintests().

bool mainIRVanillaSwap (  void   )

Test of the Vanilla Swap - Yann. Author: Yann Definition at line 9 of file mainIRVanillaSwap.cpp. References FileReader::buildYieldPointArray(), FileReader::getdatadirasstring(), CashFlow::getFairValue(), Date::plusMonths(), Date::plusYears(), Real, VanillaSwap::returnPrice(), and Date::setDateToToday(). Referenced by maintests().

bool mainmatrix (  void   )

test the matrix functions Author: Yann Definition at line 16 of file mainmatrix.cpp. References Matrix::CholeskyDecomposition(), Matrix::GetTransposed(), Natural, Matrix::SetValue(), transform1DvalarrayToColumnMatrix(), transform2DvalarrayToMatrix(), transformColumnMatrixTo1Dvalarray(), and transformMatrixTo2Dvalarray(). Referenced by maintests().

double mainmc (  double  Expiry, double  Strike, double  Spot, volsurface *  Vol, yieldCurve *  r, unsigned long  nPaths, unsigned long  nDates, int  PrdName )

main routine which runs the montecarlo pricer

bool mainmontecarlo (  void   )

test the montecarlo option pricer functionality Returns: true if pass, otherwise fail Definition at line 19 of file mainmontecarlo.cpp. References LongNatural, mainmc(), and Real. Referenced by maintests().

bool mainoption (  void   )

test the BS option pricing functionality Returns: true if pass, otherwise fail Definition at line 5 of file mainoptionstrategy.cpp. References Call, BlackScholes::getDelta(), BlackScholes::getGamma(), BlackScholes::getPrice(), BlackScholes::getRho(), BlackScholes::getTheta(), BlackScholes::getVega(), BlackScholes::getVolatility(), and LongNatural. Referenced by maintests().

bool mainoptionstrategy (  void   )

test the option strategy functionality Returns: true if pass, otherwise fail Definition at line 26 of file mainoptionstrategy.cpp. References OptionStrategy::addLongButterflySpread(), OptionStrategy::getGlobalDelta(), and OptionStrategy::returnPrice(). Referenced by maintests().

bool mainrainbowoptions (  void   )

test of the credit curve object Author: Yann * Types (MonteCarlo, ClosedForm ) Definition at line 13 of file mainrainbowoptions.cpp. References AssetsBasketMax, BestOf2AssetsCash, BetterOf2Assets, ClosedForm, RainbowOption::getCorrelRisk(), RainbowOption::getPartialDelta(), RainbowOption::getPartialGamma(), RainbowOption::getPartialVega(), RainbowOption::getPrice(), RainbowOption::getRho(), Max2AssetsCall, Max2AssetsPut, Min2AssetsCall, Min2AssetsPut, MonteCarlo, Real, Date::setDateToToday(), RainbowOption::setRainbowType(), SpreadOptionMax, WorseOf2Assets, and WorstOf2AssetsCash. Referenced by maintests().

bool mainvarianceswap (  void   )

test of the variance swaps object Returns: true if pass, otherwise fail Definition at line 9 of file mainvarianceswap.cpp. References OptionStrategy::addLongButterflySpread(), OptionStrategy::addOneBlackScholesObject(), Call, VarianceSwap::getPrice(), Natural, Put, and Real. Referenced by maintests().

bool mainvolsurface (  void   )

test the volsurface functionality Returns: true if pass, otherwise fail Definition at line 12 of file mainvolsurface.cpp. References FileReader::buildVolSurfaceParams(), December, July, March, Real, September, volsurface::setvolsurface(), Date::toString(), and volsurface::volatility(). Referenced by maintests().

bool mainyieldcurve (  void   )

test the yield curve functionality Author: Yann Definition at line 13 of file mainyieldcurves.cpp. References FileReader::buildYieldPointArray(), Continuous, Discrete, FileReader::getdatadirasstring(), yieldCurve::getMaturitiesInTheZCBCurve(), Month, Natural, Date::plusMonths(), Real, yieldCurve::rotateZCBRateCurve(), Date::setDateToToday(), yieldCurve::shiftZCBRateCurve(), and yieldCurve::spotRate(). Referenced by maintests().

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