1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2003 Ferdinando Ametrano
5 Copyright (C) 2005 Joseph Wang
6 Copyright (C) 2005 StatPro Italia srl
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_american_option_hpp
23#define quantlib_test_american_option_hpp
24
25#include <boost/test/unit_test.hpp>
26#include "speedlevel.hpp"
27
28/* remember to document new and/or updated tests in the Doxygen
29 comment block of the corresponding class */
30
31class AmericanOptionTest {
32 public:
33 static void testBaroneAdesiWhaleyValues();
34 static void testBjerksundStenslandValues();
35 static void testJuValues();
36 static void testFdValues();
37 static void testFdAmericanGreeks();
38 static void testFdShoutGreeks();
39 static void testFDShoutNPV();
40 static void testZeroVolFDShoutNPV();
41 static void testLargeDividendShoutNPV();
42 static void testEscrowedVsSpotAmericanOption();
43 static void testTodayIsDividendDate();
44 static void testCallPutParity();
45 static void testQdPlusBoundaryValues();
46 static void testQdPlusBoundaryConvergence();
47 static void testQdAmericanEngines();
48 static void testQdFpIterationScheme();
49 static void testAndersenLakeHighPrecisionExample();
50 static void testQdEngineStandardExample();
51 static void testBulkQdFpAmericanEngine();
52 static void testQdEngineWithLobattoIntegral();
53 static void testQdNegativeDividendYield();
54 static void testBjerksundStenslandEuropeanGreeks();
55 static void testBjerksundStenslandAmericanGreeks();
56 static void testSingleBjerksundStenslandGreeks();
57
58 static boost::unit_test_framework::test_suite* suite(SpeedLevel);
59};
60
61
62#endif
63

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