| 1 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
|---|---|
| 2 | |
| 3 | /* |
| 4 | Copyright (C) 2013 Gary Kennedy |
| 5 | Copyright (C) 2015 Peter Caspers |
| 6 | Copyright (C) 2017 Klaus Spanderen |
| 7 | Copyright (C) 2020 Marcin Rybacki |
| 8 | |
| 9 | This file is part of QuantLib, a free-software/open-source library |
| 10 | for financial quantitative analysts and developers - http://quantlib.org/ |
| 11 | |
| 12 | QuantLib is free software: you can redistribute it and/or modify it |
| 13 | under the terms of the QuantLib license. You should have received a |
| 14 | copy of the license along with this program; if not, please email |
| 15 | <quantlib-dev@lists.sf.net>. The license is also available online at |
| 16 | <http://quantlib.org/license.shtml>. |
| 17 | |
| 18 | This program is distributed in the hope that it will be useful, but WITHOUT |
| 19 | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
| 20 | FOR A PARTICULAR PURPOSE. See the license for more details. |
| 21 | */ |
| 22 | |
| 23 | #ifndef quantlib_test_blackformula_hpp |
| 24 | #define quantlib_test_blackformula_hpp |
| 25 | |
| 26 | #include <boost/test/unit_test.hpp> |
| 27 | |
| 28 | |
| 29 | class BlackFormulaTest { |
| 30 | public: |
| 31 | static void testBachelierImpliedVol(); |
| 32 | static void testChambersImpliedVol(); |
| 33 | static void testRadoicicStefanicaImpliedVol(); |
| 34 | static void testRadoicicStefanicaLowerBound(); |
| 35 | static void testImpliedVolAdaptiveSuccessiveOverRelaxation(); |
| 36 | static void testBlackFormulaForwardDerivative(); |
| 37 | static void testBlackFormulaForwardDerivativeWithZeroStrike(); |
| 38 | static void testBlackFormulaForwardDerivativeWithZeroVolatility(); |
| 39 | static void testBachelierBlackFormulaForwardDerivative(); |
| 40 | static void testBachelierBlackFormulaForwardDerivativeWithZeroVolatility(); |
| 41 | |
| 42 | static boost::unit_test_framework::test_suite* suite(); |
| 43 | }; |
| 44 | |
| 45 | |
| 46 | #endif |
| 47 |