static void Main(string[] args)
{
DateTime startTime = DateTime.Now;
Date todaysDate = new Date(15, Month.February, 2002);
Calendar calendar = new TARGET();
Date settlementDate = new Date(19, Month.February, 2002);
Settings.instance().setEvaluationDate(todaysDate);
// flat yield term structure impling 1x5 swap at 5%
Quote flatRate = new SimpleQuote(0.04875825);
FlatForward myTermStructure = new FlatForward(
settlementDate,
new QuoteHandle(flatRate),
new Actual365Fixed());
RelinkableYieldTermStructureHandle rhTermStructure =
new RelinkableYieldTermStructureHandle();
rhTermStructure.linkTo(myTermStructure);
// Define the ATM/OTM/ITM swaps
Period fixedLegTenor = new Period(1, TimeUnit.Years);
BusinessDayConvention fixedLegConvention =
BusinessDayConvention.Unadjusted;
BusinessDayConvention floatingLegConvention =
BusinessDayConvention.ModifiedFollowing;
DayCounter fixedLegDayCounter =
new Thirty360(Thirty360.Convention.European);
Period floatingLegTenor = new Period(6, TimeUnit.Months);
double dummyFixedRate = 0.03;
IborIndex indexSixMonths = new Euribor6M(rhTermStructure);
Date startDate = calendar.advance(settlementDate, 1, TimeUnit.Years,
floatingLegConvention);
Date maturity = calendar.advance(startDate, 5, TimeUnit.Years,
floatingLegConvention);
Schedule fixedSchedule = new Schedule(startDate, maturity,
fixedLegTenor, calendar, fixedLegConvention, fixedLegConvention,
DateGeneration.Rule.Forward, false);
Schedule floatSchedule = new Schedule(startDate, maturity,
floatingLegTenor, calendar, floatingLegConvention,
floatingLegConvention, DateGeneration.Rule.Forward, false);
VanillaSwap swap = new VanillaSwap(
VanillaSwap.Type.Payer, 1000.0,
fixedSchedule, dummyFixedRate, fixedLegDayCounter,
floatSchedule, indexSixMonths, 0.0,
indexSixMonths.dayCounter());
DiscountingSwapEngine swapEngine =
new DiscountingSwapEngine(rhTermStructure);
swap.setPricingEngine(swapEngine);
double fixedATMRate = swap.fairRate();
double fixedOTMRate = fixedATMRate * 1.2;
double fixedITMRate = fixedATMRate * 0.8;
VanillaSwap atmSwap = new VanillaSwap(
VanillaSwap.Type.Payer, 1000.0,
fixedSchedule, fixedATMRate, fixedLegDayCounter,
floatSchedule, indexSixMonths, 0.0,
indexSixMonths.dayCounter());
VanillaSwap otmSwap = new VanillaSwap(
VanillaSwap.Type.Payer, 1000.0,
fixedSchedule, fixedOTMRate, fixedLegDayCounter,
floatSchedule, indexSixMonths, 0.0,
indexSixMonths.dayCounter());
VanillaSwap itmSwap = new VanillaSwap(
VanillaSwap.Type.Payer, 1000.0,
fixedSchedule, fixedITMRate, fixedLegDayCounter,
floatSchedule, indexSixMonths, 0.0,
indexSixMonths.dayCounter());
atmSwap.setPricingEngine(swapEngine);
otmSwap.setPricingEngine(swapEngine);
itmSwap.setPricingEngine(swapEngine);
// defining the swaptions to be used in model calibration
PeriodVector swaptionMaturities = new PeriodVector();
swaptionMaturities.Add(new Period(1, TimeUnit.Years));
swaptionMaturities.Add(new Period(2, TimeUnit.Years));
swaptionMaturities.Add(new Period(3, TimeUnit.Years));
swaptionMaturities.Add(new Period(4, TimeUnit.Years));
swaptionMaturities.Add(new Period(5, TimeUnit.Years));
CalibrationHelperVector swaptions = new CalibrationHelperVector();
// List of times that have to be included in the timegrid
DoubleVector times = new DoubleVector();
for (int i = 0; i < numRows; i++)
{
int j = numCols - i - 1; // 1x5, 2x4, 3x3, 4x2, 5x1
int k = i * numCols + j;
Quote vol = new SimpleQuote(swaptionVols[k]);
SwaptionHelper helper = new SwaptionHelper(
swaptionMaturities[i],
new Period(swapLengths[j], TimeUnit.Years),
new QuoteHandle(vol),
indexSixMonths,
indexSixMonths.tenor(),
indexSixMonths.dayCounter(),
indexSixMonths.dayCounter(),
rhTermStructure);
swaptions.Add(helper);
times.AddRange(helper.times());
}
// Building time-grid
TimeGrid grid = new TimeGrid(times, 30);
// defining the models
// G2 modelG2 = new G2(rhTermStructure));
HullWhite modelHW = new HullWhite(rhTermStructure);
HullWhite modelHW2 = new HullWhite(rhTermStructure);
BlackKarasinski modelBK = new BlackKarasinski(rhTermStructure);
// model calibrations
// Console.WriteLine( "G2 (analytic formulae) calibration" );
// for (int i=0; i<swaptions.Count; i++)
// NQuantLibc.as_black_helper(swaptions[i]).setPricingEngine(
// new G2SwaptionEngine( modelG2, 6.0, 16 ) );
//
// calibrateModel( modelG2, swaptions, 0.05);
// Console.WriteLine( "calibrated to:" );
// Console.WriteLine( "a = " + modelG2.parameters()[0] );
// Console.WriteLine( "sigma = " + modelG2.parameters()[1] );
// Console.WriteLine( "b = " + modelG2.parameters()[2] );
// Console.WriteLine( "eta = " + modelG2.parameters()[3] );
// Console.WriteLine( "rho = " + modelG2.parameters()[4] );
Console.WriteLine("Hull-White (analytic formulae) calibration");
for (int i = 0; i < swaptions.Count; i++)
{
NQuantLibc.as_black_helper(swaptions[i]).setPricingEngine(
new JamshidianSwaptionEngine(modelHW));
}
calibrateModel(modelHW, swaptions, 0.05);
// Console.WriteLine( "calibrated to:" );
// Console.WriteLine( "a = " + modelHW.parameters()[0] );
// Console.WriteLine( "sigma = " + modelHW.parameters()[1] );
Console.WriteLine("Hull-White (numerical) calibration");
for (int i = 0; i < swaptions.Count; i++)
{
NQuantLibc.as_black_helper(swaptions[i]).setPricingEngine(
new TreeSwaptionEngine(modelHW2, grid));
}
calibrateModel(modelHW2, swaptions, 0.05);
// std::cout << "calibrated to:\n"
// << "a = " << modelHW2->params()[0] << ", "
// << "sigma = " << modelHW2->params()[1]
// << std::endl << std::endl;
Console.WriteLine("Black-Karasinski (numerical) calibration");
for (int i = 0; i < swaptions.Count; i++)
{
NQuantLibc.as_black_helper(swaptions[i]).setPricingEngine(
new TreeSwaptionEngine(modelBK, grid));
}
calibrateModel(modelBK, swaptions, 0.05);
// std::cout << "calibrated to:\n"
// << "a = " << modelBK->params()[0] << ", "
// << "sigma = " << modelBK->params()[1]
// << std::endl << std::endl;
// ATM Bermudan swaption pricing
Console.WriteLine("Payer bermudan swaption struck at {0} (ATM)",
fixedATMRate);
DateVector bermudanDates = new DateVector();
Schedule schedule = new Schedule(startDate, maturity,
new Period(3, TimeUnit.Months), calendar,
BusinessDayConvention.Following,
BusinessDayConvention.Following,
DateGeneration.Rule.Forward, false);
for (uint i = 0; i < schedule.size(); i++)
{
bermudanDates.Add(schedule.date(i));
}
Exercise bermudaExercise = new BermudanExercise(bermudanDates);
Swaption bermudanSwaption =
new Swaption(atmSwap, bermudaExercise);
bermudanSwaption.setPricingEngine(
new TreeSwaptionEngine(modelHW, 50));
Console.WriteLine("HW: " + bermudanSwaption.NPV());
bermudanSwaption.setPricingEngine(
new TreeSwaptionEngine(modelHW2, 50));
Console.WriteLine("HW (num): " + bermudanSwaption.NPV());
bermudanSwaption.setPricingEngine(
new TreeSwaptionEngine(modelBK, 50));
Console.WriteLine("BK (num): " + bermudanSwaption.NPV());
DateTime endTime = DateTime.Now;
TimeSpan delta = endTime - startTime;
Console.WriteLine();
Console.WriteLine("Run completed in {0} s", delta.TotalSeconds);
Console.WriteLine();
}
private static void Main()
{
DateTime startTime = DateTime.Now;
var todaysDate = new DateTime(2002, 2, 15);
Settings.instance().setEvaluationDate(todaysDate);
Calendar calendar = new TARGET();
var settlementDate = new Date(19, Month.February, 2002);
// flat yield term structure impling 1x5 swap at 5%
Quote flatRate = new SimpleQuote(0.04875825);
var myTermStructure = new FlatForward(settlementDate, new QuoteHandle(flatRate), new Actual365Fixed());
var rhTermStructure = new RelinkableYieldTermStructureHandle();
rhTermStructure.linkTo(myTermStructure);
// Define the ATM/OTM/ITM swaps
var fixedLegTenor = new Period(1, TimeUnit.Years);
const BusinessDayConvention fixedLegConvention = BusinessDayConvention.Unadjusted;
const BusinessDayConvention floatingLegConvention = BusinessDayConvention.ModifiedFollowing;
DayCounter fixedLegDayCounter = new Thirty360(Thirty360.Convention.European);
var floatingLegTenor = new Period(6, TimeUnit.Months);
const double dummyFixedRate = 0.03;
IborIndex indexSixMonths = new Euribor6M(rhTermStructure);
Date startDate = calendar.advance(settlementDate, 1, TimeUnit.Years, floatingLegConvention);
Date maturity = calendar.advance(startDate, 5, TimeUnit.Years, floatingLegConvention);
var fixedSchedule = new Schedule(startDate, maturity, fixedLegTenor, calendar, fixedLegConvention, fixedLegConvention, DateGeneration.Rule.Forward, false);
var floatSchedule = new Schedule(startDate, maturity, floatingLegTenor, calendar, floatingLegConvention, floatingLegConvention, DateGeneration.Rule.Forward, false);
var swap = new VanillaSwap(VanillaSwap.Type.Payer, 1000.0,
fixedSchedule, dummyFixedRate, fixedLegDayCounter,
floatSchedule, indexSixMonths, 0.0, indexSixMonths.dayCounter());
var swapEngine = new DiscountingSwapEngine(rhTermStructure);
swap.setPricingEngine(swapEngine);
double fixedAtmRate = swap.fairRate();
double fixedOtmRate = fixedAtmRate * 1.2;
double fixedItmRate = fixedAtmRate * 0.8;
var atmSwap = new VanillaSwap(VanillaSwap.Type.Payer, 1000.0,
fixedSchedule, fixedAtmRate, fixedLegDayCounter,
floatSchedule, indexSixMonths, 0.0,
indexSixMonths.dayCounter());
var otmSwap = new VanillaSwap(VanillaSwap.Type.Payer, 1000.0,
fixedSchedule, fixedOtmRate, fixedLegDayCounter,
floatSchedule, indexSixMonths, 0.0,
indexSixMonths.dayCounter());
var itmSwap = new VanillaSwap(VanillaSwap.Type.Payer, 1000.0,
fixedSchedule, fixedItmRate, fixedLegDayCounter,
floatSchedule, indexSixMonths, 0.0,
indexSixMonths.dayCounter());
atmSwap.setPricingEngine(swapEngine);
otmSwap.setPricingEngine(swapEngine);
itmSwap.setPricingEngine(swapEngine);
// defining the swaptions to be used in model calibration
var swaptionMaturities = new PeriodVector
{
new Period(1, TimeUnit.Years),
new Period(2, TimeUnit.Years),
new Period(3, TimeUnit.Years),
new Period(4, TimeUnit.Years),
new Period(5, TimeUnit.Years)
};
var swaptions = new CalibrationHelperVector();
// List of times that have to be included in the timegrid
var times = new DoubleVector();
for (int i = 0; i < NUM_ROWS; i++)
{
int j = NUM_COLS - i - 1; // 1x5, 2x4, 3x3, 4x2, 5x1
int k = i * NUM_COLS + j;
Quote vol = new SimpleQuote(SWAPTION_VOLS[k]);
var helper = new SwaptionHelper(swaptionMaturities[i], new Period(SWAP_LENGHTS[j], TimeUnit.Years),
new QuoteHandle(vol),
indexSixMonths, indexSixMonths.tenor(),
indexSixMonths.dayCounter(),
indexSixMonths.dayCounter(),
rhTermStructure);
swaptions.Add(helper);
times.AddRange(helper.times());
}
// Building time-grid
var grid = new TimeGrid(times, 30);
// defining the models
// G2 modelG2 = new G2(rhTermStructure));
var modelHw = new HullWhite(rhTermStructure);
var modelHw2 = new HullWhite(rhTermStructure);
var modelBk = new BlackKarasinski(rhTermStructure);
// model calibrations
Console.WriteLine("Hull-White (analytic formulae) calibration");
foreach (CalibrationHelper calibrationHelper in swaptions)
{
NQuantLibc.as_black_helper(calibrationHelper).setPricingEngine(new JamshidianSwaptionEngine(modelHw));
}
CalibrateModel(modelHw, swaptions, 0.05);
Console.WriteLine("Hull-White (numerical) calibration");
foreach (CalibrationHelper calibrationHelper in swaptions)
{
NQuantLibc.as_black_helper(calibrationHelper).setPricingEngine(new TreeSwaptionEngine(modelHw2, grid));
}
CalibrateModel(modelHw2, swaptions, 0.05);
Console.WriteLine("Black-Karasinski (numerical) calibration");
foreach (CalibrationHelper calibrationHelper in swaptions)
{
NQuantLibc.as_black_helper(calibrationHelper).setPricingEngine(new TreeSwaptionEngine(modelBk, grid));
}
CalibrateModel(modelBk, swaptions, 0.05);
// ATM Bermudan swaption pricing
Console.WriteLine("Payer bermudan swaption struck at {0} (ATM)", fixedAtmRate);
var bermudanDates = new DateVector();
var schedule = new Schedule(startDate, maturity,
new Period(3, TimeUnit.Months), calendar,
BusinessDayConvention.Following,
BusinessDayConvention.Following,
DateGeneration.Rule.Forward, false);
for (uint i = 0; i < schedule.size(); i++)
{
bermudanDates.Add(schedule.date(i));
}
Exercise bermudaExercise = new BermudanExercise(bermudanDates);
var bermudanSwaption = new Swaption(atmSwap, bermudaExercise);
bermudanSwaption.setPricingEngine(new TreeSwaptionEngine(modelHw, 50));
Console.WriteLine("HW: " + bermudanSwaption.NPV());
bermudanSwaption.setPricingEngine(new TreeSwaptionEngine(modelHw2, 50));
Console.WriteLine("HW (num): " + bermudanSwaption.NPV());
bermudanSwaption.setPricingEngine(new TreeSwaptionEngine(modelBk, 50));
Console.WriteLine("BK (num): " + bermudanSwaption.NPV());
DateTime endTime = DateTime.Now;
TimeSpan delta = endTime - startTime;
Console.WriteLine();
Console.WriteLine("Run completed in {0} s", delta.TotalSeconds);
Console.WriteLine();
}
public static void Main() {
// Setup collection
DoubleVector vect = new DoubleVector();
for (int i=0; i<collectionSize; i++) {
double num = i*10.1;
vect.Add(num);
}
// Count property test
if (vect.Count != collectionSize)
throw new Exception("Count test failed");
// IsFixedSize property test
if (vect.IsFixedSize)
throw new Exception("IsFixedSize test failed");
// IsReadOnly property test
if (vect.IsReadOnly)
throw new Exception("IsReadOnly test failed");
// Item indexing
vect[0] = 200.1;
if (vect[0] != 200.1)
throw new Exception("Item property test failed");
vect[0] = 0*10.1;
try {
vect[-1] = 777.1;
throw new Exception("Item out of range (1) test failed");
} catch (ArgumentOutOfRangeException) {
}
try {
vect[vect.Count] = 777.1;
throw new Exception("Item out of range (2) test failed");
} catch (ArgumentOutOfRangeException) {
}
// CopyTo() test
{
double[] outputarray = new double[collectionSize];
vect.CopyTo(outputarray);
int index = 0;
foreach(double val in outputarray) {
if (vect[index] != val)
throw new Exception("CopyTo (1) test failed, index:" + index);
index++;
}
}
{
double[] outputarray = new double[midCollection+collectionSize];
vect.CopyTo(outputarray, midCollection);
int index = midCollection;
foreach(double val in vect) {
if (outputarray[index] != val)
throw new Exception("CopyTo (2) test failed, index:" + index);
index++;
}
}
{
double[] outputarray = new double[3];
vect.CopyTo(10, outputarray, 1, 2);
if (outputarray[0] != 0.0 || outputarray[1] != vect[10] || outputarray[2] != vect[11])
throw new Exception("CopyTo (3) test failed");
}
{
double[] outputarray = new double[collectionSize-1];
try {
vect.CopyTo(outputarray);
throw new Exception("CopyTo (4) test failed");
} catch (ArgumentException) {
}
}
{
StructVector inputvector = new StructVector();
int arrayLen = 10;
for (int i=0; i<arrayLen; i++) {
inputvector.Add(new Struct(i/10.0));
}
Struct[] outputarray = new Struct[arrayLen];
inputvector.CopyTo(outputarray);
for(int i=0; i<arrayLen; i++) {
if (outputarray[i].num != inputvector[i].num)
throw new Exception("CopyTo (6) test failed, i:" + i);
}
foreach (Struct s in inputvector) {
s.num += 20.0;
}
for(int i=0; i<arrayLen; i++) {
if (outputarray[i].num + 20.0 != inputvector[i].num )
throw new Exception("CopyTo (7) test failed (only a shallow copy was made), i:" + i);
}
}
{
try {
vect.CopyTo(null);
throw new Exception("CopyTo (8) test failed");
} catch (ArgumentNullException) {
}
}
// Contains() test
if (!vect.Contains(0*10.1))
throw new Exception("Contains test 1 failed");
if (!vect.Contains(10*10.1))
throw new Exception("Contains test 2 failed");
if (!vect.Contains(19*10.1))
throw new Exception("Contains test 3 failed");
if (vect.Contains(20*10.1))
throw new Exception("Contains test 4 failed");
{
// ICollection constructor
double[] doubleArray = new double[] { 0.0, 11.1, 22.2, 33.3, 44.4, 55.5, 33.3 };
DoubleVector dv = new DoubleVector(doubleArray);
if (doubleArray.Length != dv.Count)
throw new Exception("ICollection constructor length check failed: " + doubleArray.Length + "-" + dv.Count);
for (int i=0; i<doubleArray.Length; i++) {
if (doubleArray[i] != dv[i])
throw new Exception("ICollection constructor failed, index:" + i);
}
{
Struct[] structArray = new Struct[] { new Struct(0.0), new Struct(11.1), new Struct(22.2), new Struct(33.3) };
StructVector sv = new StructVector(structArray);
for (int i=0; i<structArray.Length; i++) {
structArray[i].num += 200.0;
}
for (int i=0; i<structArray.Length; i++) {
if (structArray[i].num != sv[i].num + 200.0)
throw new Exception("ICollection constructor not a deep copy, index:" + i);
}
}
try {
new DoubleVector((System.Collections.ICollection)null);
throw new Exception("ICollection constructor null test failed");
} catch (ArgumentNullException) {
}
{
// Collection initializer test, requires C# 3.0
// myDoubleVector = new DoubleVector() { 123.4, 567.8, 901.2 };
}
// IndexOf() test
for (int i=0; i<collectionSize; i++) {
if (vect.IndexOf(i*10.1) != i)
throw new Exception("IndexOf test " + i + " failed");
}
if (vect.IndexOf(200.1) != -1)
throw new Exception("IndexOf non-existent test failed");
if (dv.IndexOf(33.3) != 3)
throw new Exception("IndexOf position test failed");
// LastIndexOf() test
for (int i=0; i<collectionSize; i++) {
if (vect.LastIndexOf(i*10.1) != i)
throw new Exception("LastIndexOf test " + i + " failed");
}
if (vect.LastIndexOf(200.1) != -1)
throw new Exception("LastIndexOf non-existent test failed");
if (dv.LastIndexOf(33.3) != 6)
throw new Exception("LastIndexOf position test failed");
// Copy constructor test
DoubleVector dvCopy = new DoubleVector(dv);
for (int i=0; i<doubleArray.Length; i++) {
if (doubleArray[i] != dvCopy[i])
throw new Exception("Copy constructor failed, index:" + i);
}
}
{
// Repeat() test
try {
myDoubleVector = DoubleVector.Repeat(77.7, -1);
throw new Exception("Repeat negative count test failed");
} catch (ArgumentOutOfRangeException) {
}
DoubleVector dv = DoubleVector.Repeat(77.7, 5);
if (dv.Count != 5)
throw new Exception("Repeat count test failed");
// Also tests enumerator
{
System.Collections.IEnumerator myEnumerator = dv.GetEnumerator();
while ( myEnumerator.MoveNext() ) {
if ((double)myEnumerator.Current != 77.7)
throw new Exception("Repeat (1) test failed");
}
}
{
System.Collections.Generic.IEnumerator<double> myEnumerator = dv.GetEnumerator();
while ( myEnumerator.MoveNext() ) {
if (myEnumerator.Current != 77.7)
throw new Exception("Repeat (2) test failed");
}
}
}
{
// InsertRange() test
DoubleVector dvect = new DoubleVector();
for (int i=0; i<5; i++) {
dvect.Add(1000.0*i);
}
vect.InsertRange(midCollection, dvect);
if (vect.Count != collectionSize+dvect.Count)
throw new Exception("InsertRange test size failed");
for (int i=0; i<midCollection; i++) {
if (vect.IndexOf(i*10.1) != i)
throw new Exception("InsertRange (1) test " + i + " failed");
}
for (int i=0; i<dvect.Count; i++) {
if (vect[i+midCollection] != dvect[i])
throw new Exception("InsertRange (2) test " + i + " failed");
}
for (int i=midCollection; i<collectionSize; i++) {
if (vect.IndexOf(i*10.1) != i+dvect.Count)
throw new Exception("InsertRange (3) test " + i + " failed");
}
try {
vect.InsertRange(0, null);
throw new Exception("InsertRange (4) test failed");
} catch (ArgumentNullException) {
}
// RemoveRange() test
vect.RemoveRange(0, 0);
vect.RemoveRange(midCollection, dvect.Count);
if (vect.Count != collectionSize)
throw new Exception("RemoveRange test size failed");
for (int i=0; i<collectionSize; i++) {
if (vect.IndexOf(i*10.1) != i)
throw new Exception("RemoveRange test " + i + " failed");
}
try {
vect.RemoveRange(-1, 0);
throw new Exception("RemoveRange index out of range (1) test failed");
} catch (ArgumentOutOfRangeException) {
}
try {
vect.RemoveRange(0, -1);
throw new Exception("RemoveRange count out of range (2) test failed");
} catch (ArgumentOutOfRangeException) {
}
try {
vect.RemoveRange(collectionSize+1, 0);
throw new Exception("RemoveRange index and count out of range (1) test failed");
} catch (ArgumentException) {
}
try {
vect.RemoveRange(0, collectionSize+1);
throw new Exception("RemoveRange index and count out of range (2) test failed");
} catch (ArgumentException) {
}
// AddRange() test
vect.AddRange(dvect);
if (vect.Count != collectionSize+dvect.Count)
throw new Exception("AddRange test size failed");
for (int i=0; i<collectionSize; i++) {
if (vect.IndexOf(i*10.1) != i)
throw new Exception("AddRange (1) test " + i + " failed");
}
for (int i=0; i<dvect.Count; i++) {
if (vect[i+collectionSize] != dvect[i])
throw new Exception("AddRange (2) test " + i + " failed");
}
try {
vect.AddRange(null);
throw new Exception("AddRange (3) test failed");
} catch (ArgumentNullException) {
}
vect.RemoveRange(collectionSize, dvect.Count);
// GetRange() test
int rangeSize = 5;
DoubleVector returnedVec = vect.GetRange(0, 0);
returnedVec = vect.GetRange(midCollection, rangeSize);
if (returnedVec.Count != rangeSize)
throw new Exception("GetRange test size failed");
for (int i=0; i<rangeSize; i++) {
if (returnedVec.IndexOf((i+midCollection)*10.1) != i)
throw new Exception("GetRange test " + i + " failed");
}
try {
vect.GetRange(-1, 0);
throw new Exception("GetRange index out of range (1) test failed");
} catch (ArgumentOutOfRangeException) {
}
try {
vect.GetRange(0, -1);
throw new Exception("GetRange count out of range (2) test failed");
} catch (ArgumentOutOfRangeException) {
}
try {
vect.GetRange(collectionSize+1, 0);
throw new Exception("GetRange index and count out of range (1) test failed");
} catch (ArgumentException) {
}
try {
vect.GetRange(0, collectionSize+1);
throw new Exception("GetRange index and count out of range (2) test failed");
} catch (ArgumentException) {
}
{
StructVector inputvector = new StructVector();
int arrayLen = 10;
for (int i=0; i<arrayLen; i++) {
inputvector.Add(new Struct(i/10.0));
}
StructVector outputvector = inputvector.GetRange(0,arrayLen);
for(int i=0; i<arrayLen; i++) {
if (outputvector[i].num != inputvector[i].num)
throw new Exception("GetRange (1) test failed, i:" + i);
}
foreach (Struct s in inputvector) {
s.num += 20.0;
}
for(int i=0; i<arrayLen; i++) {
if (outputvector[i].num + 20.0 != inputvector[i].num )
throw new Exception("GetRange (2) test failed (only a shallow copy was made), i:" + i);
}
}
}
// Insert() test
int pos = 0;
int count = vect.Count;
vect.Insert(pos, -5.1);
count++;
if (vect.Count != count || vect[pos] != -5.1)
throw new Exception("Insert at beginning test failed");
pos = midCollection;
vect.Insert(pos, 85.1);
count++;
if (vect.Count != count || vect[pos] != 85.1)
throw new Exception("Insert at " + pos + " test failed");
pos = vect.Count;
vect.Insert(pos, 195.1);
count++;
if (vect.Count != count || vect[pos] != 195.1)
throw new Exception("Insert at end test failed");
pos = vect.Count+1;
try {
vect.Insert(pos, 222.1); // should throw
throw new Exception("Insert after end (1) test failed");
} catch (ArgumentOutOfRangeException) {
}
if (vect.Count != count)
throw new Exception("Insert after end (2) test failed");
pos = -1;
try {
vect.Insert(pos, 333.1); // should throw
throw new Exception("Insert before start (1) test failed");
} catch (ArgumentOutOfRangeException) {
}
if (vect.Count != count)
throw new Exception("Insert before start (2) test failed");
// Remove() test
vect.Remove(195.1);
count--;
vect.Remove(-5.1);
count--;
vect.Remove(85.1);
count--;
vect.Remove(9999.1); // element does not exist, should quietly do nothing
if (vect.Count != count)
throw new Exception("Remove count check test failed");
for (int i=0; i<collectionSize; i++) {
if (vect[i] != i*10.1)
throw new Exception("Remove test failed, index:" + i);
}
// RemoveAt() test
vect.Insert(0, -4.1);
vect.Insert(midCollection, 84.1);
vect.Insert(vect.Count, 194.1);
vect.RemoveAt(vect.Count-1);
vect.RemoveAt(midCollection);
vect.RemoveAt(0);
try {
vect.RemoveAt(-1);
throw new Exception("RemoveAt test (1) failed");
} catch (ArgumentOutOfRangeException) {
}
try {
vect.RemoveAt(vect.Count);
throw new Exception("RemoveAt test (2) failed");
} catch (ArgumentOutOfRangeException) {
}
for (int i=0; i<collectionSize; i++) {
if (vect[i] != i*10.1)
throw new Exception("RemoveAt test (3) failed, index:" + i);
}
{
// Capacity test
try {
myDoubleVector = new DoubleVector(-1);
throw new Exception("constructor setting capacity (1) test failed");
} catch (ArgumentOutOfRangeException) {
}
DoubleVector dv = new DoubleVector(10);
if (dv.Capacity != 10 || dv.Count != 0)
throw new Exception("constructor setting capacity (2) test failed");
dv.Capacity = 20;
if (dv.Capacity != 20)
throw new Exception("capacity test (1) failed");
dv.Add(1.11);
try {
dv.Capacity = dv.Count-1;
throw new Exception("capacity test (2) failed");
} catch (ArgumentOutOfRangeException) {
}
// SetRange() test
for (int i=dv.Count; i<collectionSize; i++) {
dv.Add(0.0);
}
dv.SetRange(0, vect);
if (dv.Count != collectionSize)
throw new Exception("SetRange count check test failed");
for (int i=0; i<collectionSize; i++) {
if (vect[i] != dv[i])
throw new Exception("SetRange test (1) failed, index:" + i);
}
try {
dv.SetRange(-1, vect);
throw new Exception("SetRange test (2) failed");
} catch (ArgumentOutOfRangeException) {
}
try {
dv.SetRange(1, vect);
throw new Exception("SetRange test (3) failed");
} catch (ArgumentOutOfRangeException) {
}
try {
vect.SetRange(0, null);
throw new Exception("SetRange (4) test failed");
} catch (ArgumentNullException) {
}
// Reverse() test
dv.Reverse();
for (int i=0; i<collectionSize; i++) {
if (vect[i] != dv[collectionSize-i-1])
throw new Exception("Reverse test (1) failed, index:" + i);
}
dv.Reverse(0, collectionSize);
for (int i=0; i<collectionSize; i++) {
if (vect[i] != dv[i])
throw new Exception("Reverse test (2) failed, index:" + i);
}
dv.Reverse(0, 0); // should do nothing!
for (int i=0; i<collectionSize; i++) {
if (vect[i] != dv[i])
throw new Exception("Reverse test (3) failed, index:" + i);
}
try {
dv.Reverse(-1, 0);
throw new Exception("Reverse test (4) failed");
} catch (ArgumentOutOfRangeException) {
}
try {
dv.Reverse(0, -1);
throw new Exception("Reverse test (5) failed");
} catch (ArgumentOutOfRangeException) {
}
try {
dv.Reverse(collectionSize+1, 0);
throw new Exception("Reverse test (6) failed");
} catch (ArgumentException) {
}
try {
dv.Reverse(0, collectionSize+1);
throw new Exception("Reverse test (7) failed");
} catch (ArgumentException) {
}
}
// foreach test
{
int index=0;
foreach (double s in vect) {
if (s != index*10.1)
throw new Exception("foreach test failed, index:" + index);
index++;
}
}
// Clear() test
vect.Clear();
if (vect.Count != 0)
throw new Exception("Clear failed");
// Finally test the methods being wrapped
{
IntVector iv = new IntVector();
for (int i=0; i<4; i++) {
iv.Add(i);
}
double x = li_std_vector.average(iv);
x += li_std_vector.average( new IntVector( new int[] {1, 2, 3, 4} ) );
myRealVector = li_std_vector.half( new RealVector( new float[] {10F, 10.5F, 11F, 11.5F} ) );
DoubleVector dvec = new DoubleVector();
for (int i=0; i<10; i++) {
dvec.Add(i/2.0);
}
li_std_vector.halve_in_place(dvec);
}
// Dispose()
{
using (StructVector vs = new StructVector( new Struct[] { new Struct(0.0), new Struct(11.1) } ) )
using (DoubleVector vd = new DoubleVector( new double[] { 0.0, 11.1 } ) ) {
}
}
// More wrapped methods
{
RealVector v0 = li_std_vector.vecreal(new RealVector());
float flo = 123.456f;
v0.Add(flo);
flo = v0[0];
IntVector v1 = li_std_vector.vecintptr(new IntVector());
IntPtrVector v2 = li_std_vector.vecintptr(new IntPtrVector());
IntConstPtrVector v3 = li_std_vector.vecintconstptr(new IntConstPtrVector());
v1.Add(123);
v2.Clear();
v3.Clear();
StructVector v4 = li_std_vector.vecstruct(new StructVector());
StructPtrVector v5 = li_std_vector.vecstructptr(new StructPtrVector());
StructConstPtrVector v6 = li_std_vector.vecstructconstptr(new StructConstPtrVector());
v4.Add(new Struct(123));
v5.Add(new Struct(123));
v6.Add(new Struct(123));
}
// Test vectors of pointers
{
StructPtrVector inputvector = new StructPtrVector();
int arrayLen = 10;
for (int i=0; i<arrayLen; i++) {
inputvector.Add(new Struct(i/10.0));
}
Struct[] outputarray = new Struct[arrayLen];
inputvector.CopyTo(outputarray);
for(int i=0; i<arrayLen; i++) {
if (outputarray[i].num != inputvector[i].num)
throw new Exception("StructPtrVector test (1) failed, i:" + i);
}
foreach (Struct s in inputvector) {
s.num += 20.0;
}
for(int i=0; i<arrayLen; i++) {
if (outputarray[i].num != 20.0 + i/10.0)
throw new Exception("StructPtrVector test (2) failed (a deep copy was incorrectly made), i:" + i);
}
int rangeSize = 5;
int mid = arrayLen/2;
StructPtrVector returnedVec = inputvector.GetRange(mid, rangeSize);
for (int i=0; i<rangeSize; i++) {
if (inputvector[i+mid].num != returnedVec[i].num)
throw new Exception("StructPtrVector test (3) failed, i:" + i);
}
}
// Test vectors of const pointers
{
StructConstPtrVector inputvector = new StructConstPtrVector();
int arrayLen = 10;
for (int i=0; i<arrayLen; i++) {
inputvector.Add(new Struct(i/10.0));
}
Struct[] outputarray = new Struct[arrayLen];
inputvector.CopyTo(outputarray);
for(int i=0; i<arrayLen; i++) {
if (outputarray[i].num != inputvector[i].num)
throw new Exception("StructConstPtrVector test (1) failed, i:" + i);
}
foreach (Struct s in inputvector) {
s.num += 20.0;
}
for(int i=0; i<arrayLen; i++) {
if (outputarray[i].num != 20.0 + i/10.0)
throw new Exception("StructConstPtrVector test (2) failed (a deep copy was incorrectly made), i:" + i);
}
int rangeSize = 5;
int mid = arrayLen/2;
StructConstPtrVector returnedVec = inputvector.GetRange(mid, rangeSize);
for (int i=0; i<rangeSize; i++) {
if (inputvector[i+mid].num != returnedVec[i].num)
throw new Exception("StructConstPtrVector test (3) failed, i:" + i);
}
}
}
public static void Main()
{
// Setup collection
DoubleVector vect = new DoubleVector();
for (int i = 0; i < collectionSize; i++)
{
double num = i * 10.1;
vect.Add(num);
}
// Count property test
if (vect.Count != collectionSize)
{
throw new Exception("Count test failed");
}
// IsFixedSize property test
if (vect.IsFixedSize)
{
throw new Exception("IsFixedSize test failed");
}
// IsReadOnly property test
if (vect.IsReadOnly)
{
throw new Exception("IsReadOnly test failed");
}
// Item indexing
vect[0] = 200.1;
if (vect[0] != 200.1)
{
throw new Exception("Item property test failed");
}
vect[0] = 0 * 10.1;
try {
vect[-1] = 777.1;
throw new Exception("Item out of range (1) test failed");
} catch (ArgumentOutOfRangeException) {
}
try {
vect[vect.Count] = 777.1;
throw new Exception("Item out of range (2) test failed");
} catch (ArgumentOutOfRangeException) {
}
// CopyTo() test
{
double[] outputarray = new double[collectionSize];
vect.CopyTo(outputarray);
int index = 0;
foreach (double val in outputarray)
{
if (vect[index] != val)
{
throw new Exception("CopyTo (1) test failed, index:" + index);
}
index++;
}
}
{
double[] outputarray = new double[midCollection + collectionSize];
vect.CopyTo(outputarray, midCollection);
int index = midCollection;
foreach (double val in vect)
{
if (outputarray[index] != val)
{
throw new Exception("CopyTo (2) test failed, index:" + index);
}
index++;
}
}
{
double[] outputarray = new double[3];
vect.CopyTo(10, outputarray, 1, 2);
if (outputarray[0] != 0.0 || outputarray[1] != vect[10] || outputarray[2] != vect[11])
{
throw new Exception("CopyTo (3) test failed");
}
}
{
double[] outputarray = new double[collectionSize - 1];
try {
vect.CopyTo(outputarray);
throw new Exception("CopyTo (4) test failed");
} catch (ArgumentException) {
}
}
{
StructVector inputvector = new StructVector();
int arrayLen = 10;
for (int i = 0; i < arrayLen; i++)
{
inputvector.Add(new Struct(i / 10.0));
}
Struct[] outputarray = new Struct[arrayLen];
inputvector.CopyTo(outputarray);
for (int i = 0; i < arrayLen; i++)
{
if (outputarray[i].num != inputvector[i].num)
{
throw new Exception("CopyTo (6) test failed, i:" + i);
}
}
foreach (Struct s in inputvector)
{
s.num += 20.0;
}
for (int i = 0; i < arrayLen; i++)
{
if (outputarray[i].num + 20.0 != inputvector[i].num)
{
throw new Exception("CopyTo (7) test failed (only a shallow copy was made), i:" + i);
}
}
}
{
try {
vect.CopyTo(null);
throw new Exception("CopyTo (8) test failed");
} catch (ArgumentNullException) {
}
}
// Contains() test
if (!vect.Contains(0 * 10.1))
{
throw new Exception("Contains test 1 failed");
}
if (!vect.Contains(10 * 10.1))
{
throw new Exception("Contains test 2 failed");
}
if (!vect.Contains(19 * 10.1))
{
throw new Exception("Contains test 3 failed");
}
if (vect.Contains(20 * 10.1))
{
throw new Exception("Contains test 4 failed");
}
{
// IEnumerable constructor
double[] doubleArray = new double[] { 0.0, 11.1, 22.2, 33.3, 44.4, 55.5, 33.3 };
DoubleVector dv = new DoubleVector(doubleArray);
if (doubleArray.Length != dv.Count)
{
throw new Exception("ICollection constructor length check failed: " + doubleArray.Length + "-" + dv.Count);
}
for (int i = 0; i < doubleArray.Length; i++)
{
if (doubleArray[i] != dv[i])
{
throw new Exception("ICollection constructor failed, index:" + i);
}
}
{
Struct[] structArray = new Struct[] { new Struct(0.0), new Struct(11.1), new Struct(22.2), new Struct(33.3) };
StructVector sv = new StructVector(structArray);
for (int i = 0; i < structArray.Length; i++)
{
structArray[i].num += 200.0;
}
for (int i = 0; i < structArray.Length; i++)
{
if (structArray[i].num != sv[i].num + 200.0)
{
throw new Exception("ICollection constructor not a deep copy, index:" + i);
}
}
}
try {
new DoubleVector((System.Collections.ICollection)null);
throw new Exception("ICollection constructor null test failed");
} catch (ArgumentNullException) {
}
{
// Collection initializer test, requires C# 3.0
// myDoubleVector = new DoubleVector() { 123.4, 567.8, 901.2 };
}
// IndexOf() test
for (int i = 0; i < collectionSize; i++)
{
if (vect.IndexOf(i * 10.1) != i)
{
throw new Exception("IndexOf test " + i + " failed");
}
}
if (vect.IndexOf(200.1) != -1)
{
throw new Exception("IndexOf non-existent test failed");
}
if (dv.IndexOf(33.3) != 3)
{
throw new Exception("IndexOf position test failed");
}
// LastIndexOf() test
for (int i = 0; i < collectionSize; i++)
{
if (vect.LastIndexOf(i * 10.1) != i)
{
throw new Exception("LastIndexOf test " + i + " failed");
}
}
if (vect.LastIndexOf(200.1) != -1)
{
throw new Exception("LastIndexOf non-existent test failed");
}
if (dv.LastIndexOf(33.3) != 6)
{
throw new Exception("LastIndexOf position test failed");
}
// Copy constructor test
DoubleVector dvCopy = new DoubleVector(dv);
for (int i = 0; i < doubleArray.Length; i++)
{
if (doubleArray[i] != dvCopy[i])
{
throw new Exception("Copy constructor failed, index:" + i);
}
}
}
{
// Repeat() test
try {
myDoubleVector = DoubleVector.Repeat(77.7, -1);
throw new Exception("Repeat negative count test failed");
} catch (ArgumentOutOfRangeException) {
}
DoubleVector dv = DoubleVector.Repeat(77.7, 5);
if (dv.Count != 5)
{
throw new Exception("Repeat count test failed");
}
// Also tests enumerator
{
System.Collections.IEnumerator myEnumerator = dv.GetEnumerator();
while (myEnumerator.MoveNext())
{
if ((double)myEnumerator.Current != 77.7)
{
throw new Exception("Repeat (1) test failed");
}
}
}
{
System.Collections.Generic.IEnumerator <double> myEnumerator = dv.GetEnumerator();
while (myEnumerator.MoveNext())
{
if (myEnumerator.Current != 77.7)
{
throw new Exception("Repeat (2) test failed");
}
}
}
}
{
// InsertRange() test
DoubleVector dvect = new DoubleVector();
for (int i = 0; i < 5; i++)
{
dvect.Add(1000.0 * i);
}
vect.InsertRange(midCollection, dvect);
if (vect.Count != collectionSize + dvect.Count)
{
throw new Exception("InsertRange test size failed");
}
for (int i = 0; i < midCollection; i++)
{
if (vect.IndexOf(i * 10.1) != i)
{
throw new Exception("InsertRange (1) test " + i + " failed");
}
}
for (int i = 0; i < dvect.Count; i++)
{
if (vect[i + midCollection] != dvect[i])
{
throw new Exception("InsertRange (2) test " + i + " failed");
}
}
for (int i = midCollection; i < collectionSize; i++)
{
if (vect.IndexOf(i * 10.1) != i + dvect.Count)
{
throw new Exception("InsertRange (3) test " + i + " failed");
}
}
try {
vect.InsertRange(0, null);
throw new Exception("InsertRange (4) test failed");
} catch (ArgumentNullException) {
}
// RemoveRange() test
vect.RemoveRange(0, 0);
vect.RemoveRange(midCollection, dvect.Count);
if (vect.Count != collectionSize)
{
throw new Exception("RemoveRange test size failed");
}
for (int i = 0; i < collectionSize; i++)
{
if (vect.IndexOf(i * 10.1) != i)
{
throw new Exception("RemoveRange test " + i + " failed");
}
}
try {
vect.RemoveRange(-1, 0);
throw new Exception("RemoveRange index out of range (1) test failed");
} catch (ArgumentOutOfRangeException) {
}
try {
vect.RemoveRange(0, -1);
throw new Exception("RemoveRange count out of range (2) test failed");
} catch (ArgumentOutOfRangeException) {
}
try {
vect.RemoveRange(collectionSize + 1, 0);
throw new Exception("RemoveRange index and count out of range (1) test failed");
} catch (ArgumentException) {
}
try {
vect.RemoveRange(0, collectionSize + 1);
throw new Exception("RemoveRange index and count out of range (2) test failed");
} catch (ArgumentException) {
}
// AddRange() test
vect.AddRange(dvect);
if (vect.Count != collectionSize + dvect.Count)
{
throw new Exception("AddRange test size failed");
}
for (int i = 0; i < collectionSize; i++)
{
if (vect.IndexOf(i * 10.1) != i)
{
throw new Exception("AddRange (1) test " + i + " failed");
}
}
for (int i = 0; i < dvect.Count; i++)
{
if (vect[i + collectionSize] != dvect[i])
{
throw new Exception("AddRange (2) test " + i + " failed");
}
}
try {
vect.AddRange(null);
throw new Exception("AddRange (3) test failed");
} catch (ArgumentNullException) {
}
vect.RemoveRange(collectionSize, dvect.Count);
// GetRange() test
int rangeSize = 5;
DoubleVector returnedVec = vect.GetRange(0, 0);
returnedVec = vect.GetRange(midCollection, rangeSize);
if (returnedVec.Count != rangeSize)
{
throw new Exception("GetRange test size failed");
}
for (int i = 0; i < rangeSize; i++)
{
if (returnedVec.IndexOf((i + midCollection) * 10.1) != i)
{
throw new Exception("GetRange test " + i + " failed");
}
}
try {
vect.GetRange(-1, 0);
throw new Exception("GetRange index out of range (1) test failed");
} catch (ArgumentOutOfRangeException) {
}
try {
vect.GetRange(0, -1);
throw new Exception("GetRange count out of range (2) test failed");
} catch (ArgumentOutOfRangeException) {
}
try {
vect.GetRange(collectionSize + 1, 0);
throw new Exception("GetRange index and count out of range (1) test failed");
} catch (ArgumentException) {
}
try {
vect.GetRange(0, collectionSize + 1);
throw new Exception("GetRange index and count out of range (2) test failed");
} catch (ArgumentException) {
}
{
StructVector inputvector = new StructVector();
int arrayLen = 10;
for (int i = 0; i < arrayLen; i++)
{
inputvector.Add(new Struct(i / 10.0));
}
StructVector outputvector = inputvector.GetRange(0, arrayLen);
for (int i = 0; i < arrayLen; i++)
{
if (outputvector[i].num != inputvector[i].num)
{
throw new Exception("GetRange (1) test failed, i:" + i);
}
}
foreach (Struct s in inputvector)
{
s.num += 20.0;
}
for (int i = 0; i < arrayLen; i++)
{
if (outputvector[i].num + 20.0 != inputvector[i].num)
{
throw new Exception("GetRange (2) test failed (only a shallow copy was made), i:" + i);
}
}
}
}
// Insert() test
int pos = 0;
int count = vect.Count;
vect.Insert(pos, -5.1);
count++;
if (vect.Count != count || vect[pos] != -5.1)
{
throw new Exception("Insert at beginning test failed");
}
pos = midCollection;
vect.Insert(pos, 85.1);
count++;
if (vect.Count != count || vect[pos] != 85.1)
{
throw new Exception("Insert at " + pos + " test failed");
}
pos = vect.Count;
vect.Insert(pos, 195.1);
count++;
if (vect.Count != count || vect[pos] != 195.1)
{
throw new Exception("Insert at end test failed");
}
pos = vect.Count + 1;
try {
vect.Insert(pos, 222.1); // should throw
throw new Exception("Insert after end (1) test failed");
} catch (ArgumentOutOfRangeException) {
}
if (vect.Count != count)
{
throw new Exception("Insert after end (2) test failed");
}
pos = -1;
try {
vect.Insert(pos, 333.1); // should throw
throw new Exception("Insert before start (1) test failed");
} catch (ArgumentOutOfRangeException) {
}
if (vect.Count != count)
{
throw new Exception("Insert before start (2) test failed");
}
// Remove() test
vect.Remove(195.1);
count--;
vect.Remove(-5.1);
count--;
vect.Remove(85.1);
count--;
vect.Remove(9999.1); // element does not exist, should quietly do nothing
if (vect.Count != count)
{
throw new Exception("Remove count check test failed");
}
for (int i = 0; i < collectionSize; i++)
{
if (vect[i] != i * 10.1)
{
throw new Exception("Remove test failed, index:" + i);
}
}
// RemoveAt() test
vect.Insert(0, -4.1);
vect.Insert(midCollection, 84.1);
vect.Insert(vect.Count, 194.1);
vect.RemoveAt(vect.Count - 1);
vect.RemoveAt(midCollection);
vect.RemoveAt(0);
try {
vect.RemoveAt(-1);
throw new Exception("RemoveAt test (1) failed");
} catch (ArgumentOutOfRangeException) {
}
try {
vect.RemoveAt(vect.Count);
throw new Exception("RemoveAt test (2) failed");
} catch (ArgumentOutOfRangeException) {
}
for (int i = 0; i < collectionSize; i++)
{
if (vect[i] != i * 10.1)
{
throw new Exception("RemoveAt test (3) failed, index:" + i);
}
}
{
// Capacity test
try {
myDoubleVector = new DoubleVector(-1);
throw new Exception("constructor setting capacity (1) test failed");
} catch (ArgumentOutOfRangeException) {
}
DoubleVector dv = new DoubleVector(10);
if (dv.Capacity != 10 || dv.Count != 0)
{
throw new Exception("constructor setting capacity (2) test failed");
}
dv.Capacity = 20;
if (dv.Capacity != 20)
{
throw new Exception("capacity test (1) failed");
}
dv.Add(1.11);
try {
dv.Capacity = dv.Count - 1;
throw new Exception("capacity test (2) failed");
} catch (ArgumentOutOfRangeException) {
}
// SetRange() test
for (int i = dv.Count; i < collectionSize; i++)
{
dv.Add(0.0);
}
dv.SetRange(0, vect);
if (dv.Count != collectionSize)
{
throw new Exception("SetRange count check test failed");
}
for (int i = 0; i < collectionSize; i++)
{
if (vect[i] != dv[i])
{
throw new Exception("SetRange test (1) failed, index:" + i);
}
}
try {
dv.SetRange(-1, vect);
throw new Exception("SetRange test (2) failed");
} catch (ArgumentOutOfRangeException) {
}
try {
dv.SetRange(1, vect);
throw new Exception("SetRange test (3) failed");
} catch (ArgumentOutOfRangeException) {
}
try {
vect.SetRange(0, null);
throw new Exception("SetRange (4) test failed");
} catch (ArgumentNullException) {
}
// Reverse() test
dv.Reverse();
for (int i = 0; i < collectionSize; i++)
{
if (vect[i] != dv[collectionSize - i - 1])
{
throw new Exception("Reverse test (1) failed, index:" + i);
}
}
dv.Reverse(0, collectionSize);
for (int i = 0; i < collectionSize; i++)
{
if (vect[i] != dv[i])
{
throw new Exception("Reverse test (2) failed, index:" + i);
}
}
dv.Reverse(0, 0); // should do nothing!
for (int i = 0; i < collectionSize; i++)
{
if (vect[i] != dv[i])
{
throw new Exception("Reverse test (3) failed, index:" + i);
}
}
try {
dv.Reverse(-1, 0);
throw new Exception("Reverse test (4) failed");
} catch (ArgumentOutOfRangeException) {
}
try {
dv.Reverse(0, -1);
throw new Exception("Reverse test (5) failed");
} catch (ArgumentOutOfRangeException) {
}
try {
dv.Reverse(collectionSize + 1, 0);
throw new Exception("Reverse test (6) failed");
} catch (ArgumentException) {
}
try {
dv.Reverse(0, collectionSize + 1);
throw new Exception("Reverse test (7) failed");
} catch (ArgumentException) {
}
}
// foreach test
{
int index = 0;
foreach (double s in vect)
{
if (s != index * 10.1)
{
throw new Exception("foreach test failed, index:" + index);
}
index++;
}
}
// Clear() test
vect.Clear();
if (vect.Count != 0)
{
throw new Exception("Clear failed");
}
// Finally test the methods being wrapped
{
IntVector iv = new IntVector();
for (int i = 0; i < 4; i++)
{
iv.Add(i);
}
double x = li_std_vector.average(iv);
x += li_std_vector.average(new IntVector(new int[] { 1, 2, 3, 4 }));
myRealVector = li_std_vector.half(new RealVector(new float[] { 10F, 10.5F, 11F, 11.5F }));
DoubleVector dvec = new DoubleVector();
for (int i = 0; i < 10; i++)
{
dvec.Add(i / 2.0);
}
li_std_vector.halve_in_place(dvec);
}
// Dispose()
{
using (StructVector vs = new StructVector(new Struct[] { new Struct(0.0), new Struct(11.1) }))
using (DoubleVector vd = new DoubleVector(new double[] { 0.0, 11.1 })) {
}
}
// More wrapped methods
{
RealVector v0 = li_std_vector.vecreal(new RealVector());
float flo = 123.456f;
v0.Add(flo);
flo = v0[0];
IntVector v1 = li_std_vector.vecintptr(new IntVector());
IntPtrVector v2 = li_std_vector.vecintptr(new IntPtrVector());
IntConstPtrVector v3 = li_std_vector.vecintconstptr(new IntConstPtrVector());
v1.Add(123);
v2.Clear();
v3.Clear();
StructVector v4 = li_std_vector.vecstruct(new StructVector());
StructPtrVector v5 = li_std_vector.vecstructptr(new StructPtrVector());
StructConstPtrVector v6 = li_std_vector.vecstructconstptr(new StructConstPtrVector());
v4.Add(new Struct(123));
v5.Add(new Struct(123));
v6.Add(new Struct(123));
}
// Test vectors of pointers
{
StructPtrVector inputvector = new StructPtrVector();
int arrayLen = 10;
for (int i = 0; i < arrayLen; i++)
{
inputvector.Add(new Struct(i / 10.0));
}
Struct[] outputarray = new Struct[arrayLen];
inputvector.CopyTo(outputarray);
for (int i = 0; i < arrayLen; i++)
{
if (outputarray[i].num != inputvector[i].num)
{
throw new Exception("StructPtrVector test (1) failed, i:" + i);
}
}
foreach (Struct s in inputvector)
{
s.num += 20.0;
}
for (int i = 0; i < arrayLen; i++)
{
if (outputarray[i].num != 20.0 + i / 10.0)
{
throw new Exception("StructPtrVector test (2) failed (a deep copy was incorrectly made), i:" + i);
}
}
int rangeSize = 5;
int mid = arrayLen / 2;
StructPtrVector returnedVec = inputvector.GetRange(mid, rangeSize);
for (int i = 0; i < rangeSize; i++)
{
if (inputvector[i + mid].num != returnedVec[i].num)
{
throw new Exception("StructPtrVector test (3) failed, i:" + i);
}
}
}
// Test vectors of const pointers
{
StructConstPtrVector inputvector = new StructConstPtrVector();
int arrayLen = 10;
for (int i = 0; i < arrayLen; i++)
{
inputvector.Add(new Struct(i / 10.0));
}
Struct[] outputarray = new Struct[arrayLen];
inputvector.CopyTo(outputarray);
for (int i = 0; i < arrayLen; i++)
{
if (outputarray[i].num != inputvector[i].num)
{
throw new Exception("StructConstPtrVector test (1) failed, i:" + i);
}
}
foreach (Struct s in inputvector)
{
s.num += 20.0;
}
for (int i = 0; i < arrayLen; i++)
{
if (outputarray[i].num != 20.0 + i / 10.0)
{
throw new Exception("StructConstPtrVector test (2) failed (a deep copy was incorrectly made), i:" + i);
}
}
int rangeSize = 5;
int mid = arrayLen / 2;
StructConstPtrVector returnedVec = inputvector.GetRange(mid, rangeSize);
for (int i = 0; i < rangeSize; i++)
{
if (inputvector[i + mid].num != returnedVec[i].num)
{
throw new Exception("StructConstPtrVector test (3) failed, i:" + i);
}
}
}
// Test construction
{
string[] one_two_three = new string[] { "one", "two", "three" };
// Test construction from array
{
string[] collection = one_two_three;
check123(new StringVector(collection));
}
// Test construction from IEnumerable
{
global::System.Collections.IEnumerable collection = one_two_three;
check123(new StringVector(collection));
}
// Test construction from IEnumerable<>
{
global::System.Collections.Generic.IEnumerable <string> collection = one_two_three;
check123(new StringVector(collection));
}
// Test construction from IList<>
{
global::System.Collections.Generic.IList <string> collection = one_two_three;
check123(new StringVector(collection));
}
// Test construction from ICollection
{
global::System.Collections.ICollection collection = one_two_three;
check123(new StringVector(collection));
}
// Test construction from ICollection<>
{
global::System.Collections.Generic.ICollection <string> collection = new global::System.Collections.Generic.List <string>(one_two_three);
check123(new StringVector(collection));
}
}
}
static void Main(string[] args)
{
DateTime startTime = DateTime.Now;
Date todaysDate = new Date(15, Month.February, 2002);
Calendar calendar = new TARGET();
Date settlementDate = new Date(19, Month.February, 2002);
Settings.instance().setEvaluationDate( todaysDate );
// flat yield term structure impling 1x5 swap at 5%
Quote flatRate = new SimpleQuote(0.04875825);
FlatForward myTermStructure = new FlatForward(
settlementDate,
new QuoteHandle( flatRate ),
new Actual365Fixed() );
RelinkableYieldTermStructureHandle rhTermStructure =
new RelinkableYieldTermStructureHandle();
rhTermStructure.linkTo( myTermStructure );
// Define the ATM/OTM/ITM swaps
Period fixedLegTenor = new Period(1,TimeUnit.Years);
BusinessDayConvention fixedLegConvention =
BusinessDayConvention.Unadjusted;
BusinessDayConvention floatingLegConvention =
BusinessDayConvention.ModifiedFollowing;
DayCounter fixedLegDayCounter =
new Thirty360( Thirty360.Convention.European );
Period floatingLegTenor = new Period(6,TimeUnit.Months);
double dummyFixedRate = 0.03;
IborIndex indexSixMonths = new Euribor6M( rhTermStructure );
Date startDate = calendar.advance(settlementDate,1,TimeUnit.Years,
floatingLegConvention);
Date maturity = calendar.advance(startDate,5,TimeUnit.Years,
floatingLegConvention);
Schedule fixedSchedule = new Schedule(startDate,maturity,
fixedLegTenor,calendar,fixedLegConvention,fixedLegConvention,
DateGeneration.Rule.Forward,false);
Schedule floatSchedule = new Schedule(startDate,maturity,
floatingLegTenor,calendar,floatingLegConvention,
floatingLegConvention,DateGeneration.Rule.Forward,false);
VanillaSwap swap = new VanillaSwap(
VanillaSwap.Payer, 1000.0,
fixedSchedule, dummyFixedRate, fixedLegDayCounter,
floatSchedule, indexSixMonths, 0.0,
indexSixMonths.dayCounter());
DiscountingSwapEngine swapEngine =
new DiscountingSwapEngine(rhTermStructure);
swap.setPricingEngine(swapEngine);
double fixedATMRate = swap.fairRate();
double fixedOTMRate = fixedATMRate * 1.2;
double fixedITMRate = fixedATMRate * 0.8;
VanillaSwap atmSwap = new VanillaSwap(
VanillaSwap.Payer, 1000.0,
fixedSchedule, fixedATMRate, fixedLegDayCounter,
floatSchedule, indexSixMonths, 0.0,
indexSixMonths.dayCounter() );
VanillaSwap otmSwap = new VanillaSwap(
VanillaSwap.Payer, 1000.0,
fixedSchedule, fixedOTMRate, fixedLegDayCounter,
floatSchedule, indexSixMonths, 0.0,
indexSixMonths.dayCounter());
VanillaSwap itmSwap = new VanillaSwap(
VanillaSwap.Payer, 1000.0,
fixedSchedule, fixedITMRate, fixedLegDayCounter,
floatSchedule, indexSixMonths, 0.0,
indexSixMonths.dayCounter());
atmSwap.setPricingEngine(swapEngine);
otmSwap.setPricingEngine(swapEngine);
itmSwap.setPricingEngine(swapEngine);
// defining the swaptions to be used in model calibration
PeriodVector swaptionMaturities = new PeriodVector();
swaptionMaturities.Add( new Period(1, TimeUnit.Years) );
swaptionMaturities.Add( new Period(2, TimeUnit.Years) );
swaptionMaturities.Add( new Period(3, TimeUnit.Years) );
swaptionMaturities.Add( new Period(4, TimeUnit.Years) );
swaptionMaturities.Add( new Period(5, TimeUnit.Years) );
CalibrationHelperVector swaptions = new CalibrationHelperVector();
// List of times that have to be included in the timegrid
DoubleVector times = new DoubleVector();
for ( int i=0; i<numRows; i++) {
int j = numCols - i -1; // 1x5, 2x4, 3x3, 4x2, 5x1
int k = i*numCols + j;
Quote vol = new SimpleQuote( swaptionVols[k] );
SwaptionHelper helper = new SwaptionHelper(
swaptionMaturities[i],
new Period(swapLenghts[j], TimeUnit.Years),
new QuoteHandle(vol),
indexSixMonths,
indexSixMonths.tenor(),
indexSixMonths.dayCounter(),
indexSixMonths.dayCounter(),
rhTermStructure );
swaptions.Add( helper );
times.AddRange( helper.times() );
}
// Building time-grid
TimeGrid grid = new TimeGrid( times, 30);
// defining the models
// G2 modelG2 = new G2(rhTermStructure));
HullWhite modelHW = new HullWhite( rhTermStructure );
HullWhite modelHW2 = new HullWhite( rhTermStructure );
BlackKarasinski modelBK = new BlackKarasinski( rhTermStructure );
// model calibrations
// Console.WriteLine( "G2 (analytic formulae) calibration" );
// for (int i=0; i<swaptions.Count; i++)
// swaptions[i].setPricingEngine( new G2SwaptionEngine( modelG2, 6.0, 16 ) );
//
// calibrateModel( modelG2, swaptions, 0.05);
// Console.WriteLine( "calibrated to:" );
// Console.WriteLine( "a = " + modelG2.parameters()[0] );
// Console.WriteLine( "sigma = " + modelG2.parameters()[1] );
// Console.WriteLine( "b = " + modelG2.parameters()[2] );
// Console.WriteLine( "eta = " + modelG2.parameters()[3] );
// Console.WriteLine( "rho = " + modelG2.parameters()[4] );
Console.WriteLine( "Hull-White (analytic formulae) calibration" );
for (int i=0; i<swaptions.Count; i++)
swaptions[i].setPricingEngine(
new JamshidianSwaptionEngine(modelHW));
calibrateModel( modelHW, swaptions, 0.05);
// Console.WriteLine( "calibrated to:" );
// Console.WriteLine( "a = " + modelHW.parameters()[0] );
// Console.WriteLine( "sigma = " + modelHW.parameters()[1] );
Console.WriteLine( "Hull-White (numerical) calibration" );
for (int i=0; i<swaptions.Count; i++)
swaptions[i].setPricingEngine(
new TreeSwaptionEngine(modelHW2,grid));
calibrateModel(modelHW2, swaptions, 0.05);
// std::cout << "calibrated to:\n"
// << "a = " << modelHW2->params()[0] << ", "
// << "sigma = " << modelHW2->params()[1]
// << std::endl << std::endl;
Console.WriteLine( "Black-Karasinski (numerical) calibration" );
for (int i=0; i<swaptions.Count; i++)
swaptions[i].setPricingEngine(
new TreeSwaptionEngine(modelBK,grid));
calibrateModel(modelBK, swaptions, 0.05);
// std::cout << "calibrated to:\n"
// << "a = " << modelBK->params()[0] << ", "
// << "sigma = " << modelBK->params()[1]
// << std::endl << std::endl;
// ATM Bermudan swaption pricing
Console.WriteLine( "Payer bermudan swaption struck at {0} (ATM)",
fixedATMRate );
DateVector bermudanDates = new DateVector();
Schedule schedule = new Schedule(startDate,maturity,
new Period(3,TimeUnit.Months),calendar,
BusinessDayConvention.Following,
BusinessDayConvention.Following,
DateGeneration.Rule.Forward,false);
for (uint i=0; i<schedule.size(); i++)
bermudanDates.Add( schedule.date( i ) );
Exercise bermudaExercise = new BermudanExercise( bermudanDates );
Swaption bermudanSwaption =
new Swaption( atmSwap, bermudaExercise);
bermudanSwaption.setPricingEngine(
new TreeSwaptionEngine(modelHW, 50));
Console.WriteLine( "HW: " + bermudanSwaption.NPV() );
bermudanSwaption.setPricingEngine(
new TreeSwaptionEngine(modelHW2, 50));
Console.WriteLine( "HW (num): " + bermudanSwaption.NPV() );
bermudanSwaption.setPricingEngine(
new TreeSwaptionEngine(modelBK, 50));
Console.WriteLine( "BK (num): " + bermudanSwaption.NPV() );
DateTime endTime = DateTime.Now;
TimeSpan delta = endTime - startTime;
Console.WriteLine();
Console.WriteLine("Run completed in {0} s", delta.TotalSeconds);
Console.WriteLine();
}