public void MonotoneSplineTest()
{
ClString name = "MonotoneSplineTest";
BeginTest(name);
var test = new MonotoneSplineTest(Log, Context, name, ConsoleOutput);
// Testing data: CallGeomBrownian; f(x) = x, F(x) = x^4 + 2*x^3 + 5*x*x - 6*x + 7,
// f(x) = sin(x), f(x) = 1/2 (x-cos(x) sin(x)), f(x) = x+e^-x, etc.
foreach (ClString testName in test.GetInputFileNames(GetType().FullName))
{
test.StartTest(testName);
// Read input data.
ClString fileName = testName + ".csv";
ClPoint[] data, reference;
test.ReadCSVInputData(fileName, out data, out reference);
// Initialise spline and calculate spline coefficients.
test.Print(String.Format("Calculating spline."));
var monotoneSpline = new ClMonotoneSpline1D();
test.CalculationTime.Restart();
monotoneSpline.LoadData(data);
monotoneSpline.Calculate();
test.CalculationTime.Stop();
var gridData = monotoneSpline.ValueOnGrid(0.01);
var dat = new ClPoint[gridData.RowCount];
for (var i = 0; i < dat.Length; i++)
{
dat[i] = new ClPoint(gridData[i, 0], gridData[i, 1]);
}
var smoothingSpline = new ClSplineCubicSmooth1D(new Spline1DBuilder());
smoothingSpline.LoadData(data);
smoothingSpline.Calculate();
if (PlotResults)
{
test.StoreSpline1D(smoothingSpline, monotoneSpline, data, reference);
}
Log.Result(String.Format(name + " for " + testName + " completed." + "{0}" +
"Number of points: " + data.Length + ";{0}" +
"Processing time: " + test.CalculationTime.ElapsedMilliseconds + ";{0}" +
"Deviation between spline and reference: " + ClApproximUtils.DeviationBetween(monotoneSpline, reference) + ";{0}", Environment.NewLine));
}
Log.Result(name + " completed");
test.FinishTest(PrintPerformance);
}
public void ConvexSplineTest()
{
ClString name = "ConvexSplineTest";
BeginTest(name);
const double convexityConstraint = 0.5;
const double step = 0.1;
var test = new ConvexSplineTest(Log, Context, name, ConsoleOutput);
// Testing data: CallGeomBrownian; FunctionExp(X), FunctionXPow2, FunctionXPow4; PayoffCallOption.
foreach (ClString testName in test.GetInputFileNames(GetType().FullName))
{
test.StartTest(testName);
// Read input data.
ClString fileName = testName + ".csv";
ClPoint[] data, reference;
test.ReadCSVInputData(fileName, out data, out reference);
// Initialise spline and calculate spline coefficients.
test.Print(String.Format("Calculating spline."));
var convexSpline = new ClConvexSpline1D
{
ConvexityConstraint = convexityConstraint,
Step = step
};
convexSpline.LoadData(data);
convexSpline.Extrapolate = false;
test.CalculationTime.Restart();
convexSpline.Calculate();
test.CalculationTime.Stop();
var dat = convexSpline.GridData(step);
var smoothingSpline = new ClSplineCubicSmooth1D(new Spline1DBuilder());
smoothingSpline.LoadData(data);
smoothingSpline.Calculate();
if (PlotResults)
{
test.StoreSpline1D(smoothingSpline, convexSpline, data, reference);
}
Log.Result(String.Format(name + " for " + testName + " completed." + "{0}" +
"Number of points: " + data.Length + ";{0}" +
"Processing time: " + test.CalculationTime.ElapsedMilliseconds + ";{0}" +
"Deviation between spline and reference: " + ClApproximUtils.DeviationBetween(convexSpline, reference) + ";{0}" +
"Convex measure: " + convexSpline.ConvexMeasure(dat) + ";{0}", Environment.NewLine));
test.CalculationTime.Reset();
}
Log.Result(name + " completed");
test.FinishTest(PrintPerformance);
}