public void SplineEndValueTest() { ClString name = "SplineEndValueTest"; BeginTest(name); // Testing data: Call, Put, Risk Reversal, Straddle, Strangle, Bull, Bear, Butterfly and Barrier (Down-and-in call, Down-and-out call, Up-and-in call, Up-and-out call ) Options. ApproximationTestsHelper test = new ApproximationTestsHelper(Log, Context, name, ConsoleOutput); foreach (ClString testName in test.GetInputFileNames(GetType().FullName, "Value")) { test.StartTest(testName); // Read input data. ClString fileName = testName + ".csv"; ClPoint[] data, reference; test.ReadCSVInputData(fileName, out data, out reference); // Read end values. double valueLeft = 0; double valueRight = 0; var n = reference.Length; try { fileName = testName + "Value.csv"; var matrix = new ClCsvMatrix(Context.AsFileContext.LoadText(fileName)); valueLeft = matrix[0, 0].ToDouble(); valueRight = matrix[0, 1].ToDouble(); } catch (Exception) { // set reference values at end points if end values are not set. valueLeft = reference[0].Value; valueRight = reference[n - 1].Value; } // Initialise spline and calculate spline coefficients. Spline1DBuilder builder = new Spline1DBuilder(); builder.ValueLeft = valueLeft; builder.ValueRight = valueRight; var spline = new ClSplineCubicSmoothEndValue1D(builder); spline.LoadData(data); test.CalculationTime.Restart(); spline.Calculate(); test.CalculationTime.Stop(); // Store results and complete test. test.Print(String.Format("Optimal lambda: {0}", spline.Params.SmoothParam)); if (PlotResults) { test.StoreSpline1D(spline, reference); } test.Print("Completed " + name + " for " + testName); } test.FinishTest(PrintPerformance); }
public void SplineSlopeValueTest() { ClString name = "SplineSlopeValueTest"; BeginTest(name); // Testing data: CallGeomBrownian; Linear, Parabolic, Exponential Data; PayoffButterfly, PayoffCallOption. ApproximationTestsHelper test = new ApproximationTestsHelper(Log, Context, name, ConsoleOutput); foreach (ClString testName in test.GetInputFileNames(GetType().FullName, "Slope", "Value")) { test.StartTest(testName); // Read input data. ClString fileName = testName + ".csv"; ClPoint[] data, reference; test.ReadCSVInputData(fileName, out data, out reference); // Read slope. double slopeLeft = 0; double slopeRight = 0; var n = reference.Length; try { fileName = testName + "Slope.csv"; var matrix = new ClCsvMatrix(Context.AsFileContext.LoadText(fileName)); slopeLeft = matrix[0, 0].ToDouble(); slopeRight = matrix[0, 1].ToDouble(); } catch (Exception) { // if slopes are not set, calculates slopes by first and last two points of reference points. slopeLeft = (reference[1].Value - reference[0].Value) / (reference[1].X[0] - reference[0].X[0]); slopeRight = (reference[n - 1].Value - reference[n - 2].Value) / (reference[n - 1].X[0] - reference[n - 2].X[0]); } // Read end values. double valueLeft = 0; double valueRight = 0; try { fileName = testName + "Value.csv"; var matrix = new ClCsvMatrix(Context.AsFileContext.LoadText(fileName)); valueLeft = matrix[0, 0].ToDouble(); valueRight = matrix[0, 1].ToDouble(); } catch (Exception) { // set reference values at end points if end values are not set. valueLeft = reference[0].Value; valueRight = reference[n - 1].Value; } // Initialise spline and calculate spline coefficients. var builder = new Spline1DBuilder { ValueLeft = valueLeft, ValueRight = valueRight, SlopeLeft = slopeLeft, SlopeRight = slopeRight }; var spline = new ClSplineCubicSmoothSlopeValue1D(builder); spline.LoadData(data); test.CalculationTime.Restart(); spline.Calculate(); test.CalculationTime.Stop(); // Store results and complete test. test.Print(String.Format("Optimal lambda: {0}", spline.Params.SmoothParam)); if (PlotResults) { test.StoreSpline1D(spline, reference); } test.Print("Completed " + name + " for " + testName); } test.FinishTest(PrintPerformance); }
public void SplineSlopeBoundTest() { ClString name = "SplineSlopeBoundTest"; BeginTest(name); // Testing data: CallGeomBrownian; Linear, Parabolic, Exponential Data; PayoffButterfly, PayoffCallOption. ApproximationTestsHelper test = new ApproximationTestsHelper(Log, Context, name, ConsoleOutput); foreach (ClString testName in test.GetInputFileNames(GetType().FullName, "Slope", "Bounds")) { test.StartTest(testName); // Read input data. ClString fileName = testName + ".csv"; ClPoint[] data, reference; test.ReadCSVInputData(fileName, out data, out reference); // Read slope. // Read slope. double slopeLeft = 0; double slopeRight = 0; var n = reference.Length; try { fileName = testName + "Slope.csv"; var matrix = new ClCsvMatrix(Context.AsFileContext.LoadText(fileName)); slopeLeft = matrix[0, 0].ToDouble(); slopeRight = matrix[0, 1].ToDouble(); } catch (Exception) { // if slopes are not set, calculates slopes by first and last two points of reference points. slopeLeft = (reference[1].Value - reference[0].Value) / (reference[1].X[0] - reference[0].X[0]); slopeRight = (reference[n - 1].Value - reference[n - 2].Value) / (reference[n - 1].X[0] - reference[n - 2].X[0]); } // Read bounds. ClDouble boundMin; ClDouble boundMax; try { fileName = testName + "Bounds.csv"; var matrix = new ClCsvMatrix(Context.AsFileContext.LoadText(fileName)); boundMin = matrix[0, 0].ToDouble(); boundMax = matrix[0, 1].ToDouble(); } catch (Exception) { var refer = new double[reference.Length]; for (var i = 0; i < refer.Length; i++) { refer[i] = reference[i].Value; } boundMin = refer.Min(); boundMax = refer.Max(); } // Initialise spline and calculate spline coefficients. var splineParams = new Spline1DBuilder { Min = boundMin, Max = boundMax, SlopeLeft = slopeLeft, SlopeRight = slopeRight }; var spline = new ClSplineCubicSmoothSlope1D(splineParams); spline.LoadData(data); test.CalculationTime.Restart(); spline.Calculate(); test.CalculationTime.Stop(); // Store results and complete test. if (PlotResults) { test.StoreSpline1D(spline, reference); } test.Print("Completed " + name + " for " + testName); } test.FinishTest(PrintPerformance); }
public void SplineBoundTest() { ClString name = "SplineBoundTest"; BeginTest(name); // Testing data: CallGeomBrownian, PayoffButterfly, PayoffCallOption. var test = new ApproximationTestsHelper(Log, Context, name, ConsoleOutput); foreach (ClString testName in test.GetInputFileNames(GetType().FullName, "Bounds")) { test.StartTest(testName); // Read input data. ClString fileName = testName + ".csv"; ClPoint[] data, reference; test.ReadCSVInputData(fileName, out data, out reference); // Read bounds. ClDouble boundMin; ClDouble boundMax; const bool fromFile = false; // TODO Switch to true to load bounds from file if (fromFile) { fileName = testName + "Bounds.csv"; ClCsvMatrix matrix = new ClCsvMatrix(Context.AsFileContext.LoadText(fileName)); boundMin = matrix[0, 0].ToDouble(); boundMax = matrix[0, 1].ToDouble(); } else { var refer = new double[reference.Length]; for (var i = 0; i < refer.Length; i++) { refer[i] = reference[i].Value; } boundMin = refer.Min(); boundMax = refer.Max(); } // Initialise spline and calculate spline coefficients. var splineParams = new Spline1DBuilder { Min = boundMin, Max = boundMax }; var spline = new ClSplineCubicSmooth1D(splineParams); spline.LoadData(data); test.CalculationTime.Restart(); spline.Calculate(); test.CalculationTime.Stop(); // Store results and complete test. if (PlotResults) { test.StoreSpline1D(spline, reference); } test.Print("Completed " + name + " for " + testName); } test.FinishTest(PrintPerformance); }