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TimeSeries: Complete test coverage (#1849)
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@lballabio
lballabio authored Dec 18, 2023
2 parents a33b3e0 + 79d1b1f commit 2e8231b
Showing 1 changed file with 96 additions and 52 deletions.
148 changes: 96 additions & 52 deletions test-suite/timeseries.cpp
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Original file line number Diff line number Diff line change
Expand Up @@ -79,90 +79,134 @@ BOOST_AUTO_TEST_CASE(testIntervalPrice) {
low);
}

BOOST_AUTO_TEST_CASE(testIterators) {
BOOST_TEST_MESSAGE("Testing time series iterators...");
BOOST_AUTO_TEST_CASE(testIteratingDefaultContainer) {
BOOST_TEST_MESSAGE("Testing iterating of time series w/ default container which sorts by date...");

std::vector<Date> dates = {Date(25, March, 2005),
Date(29, March, 2005),
Date(15, March, 2005)};
const std::vector<Date> dates = {Date(25, March, 2005),
Date(29, March, 2005),
Date(15, March, 2005)};

std::vector<Real> prices = {25, 23, 20};
const std::vector<Real> prices = {25, 23, 20};

TimeSeries<Real> ts(dates.begin(), dates.end(), prices.begin());
const TimeSeries<Real> ts(dates.begin(), dates.end(), prices.begin());

// projection iterators
// accessing dates
{
std::vector<Date> tsDates;
std::transform(ts.begin(), ts.end(), std::back_inserter(tsDates),
[](const std::pair<const Date, Real>& x) -> Date { return x.first; });
const std::vector<Date> expected{dates[2], dates[0], dates[1]};
BOOST_TEST(tsDates == expected);
}

// accessing Values
{
std::vector<Real> tsValues;
std::transform(ts.begin(), ts.end(), std::back_inserter(tsValues),
[](const std::pair<const Date, Real>& x) -> Real { return x.second; });
const std::vector<Real> expected{prices[2], prices[0], prices[1]};
BOOST_TEST(tsValues == expected);
}

// == deprecated ==
QL_DEPRECATED_DISABLE_WARNING

std::copy(ts.cbegin_time(), ts.cend_time(), dates.begin());
if (dates[0] != Date(15, March, 2005)) {
BOOST_ERROR("date does not match");
// accessing dates
{
std::vector<Date> tsDates;
std::copy(ts.cbegin_time(), ts.cend_time(), std::back_inserter(tsDates));
const std::vector<Date> expected{dates[2], dates[0], dates[1]};
BOOST_TEST(tsDates == expected);
}

std::copy(ts.cbegin_values(), ts.cend_values(), prices.begin());
if (prices[0] != 20) {
BOOST_ERROR("value does not match");
// accessing values
{
std::vector<Real> tsValues;
std::copy(ts.cbegin_values(), ts.cend_values(), std::back_inserter(tsValues));
const std::vector<Real> expected{prices[2], prices[0], prices[1]};
BOOST_TEST(tsValues == expected);
}

dates = ts.dates();
if (dates[0] != Date(15, March, 2005)) {
BOOST_ERROR("date does not match");
}
QL_DEPRECATED_ENABLE_WARNING
}

prices = ts.values();
if (prices[0] != 20) {
BOOST_ERROR("value does not match");
}
BOOST_AUTO_TEST_CASE(testCustomContainer) {
BOOST_TEST_MESSAGE("Testing usage of a custom container for time series data...");

// unordered container
typedef TimeSeries<int, boost::unordered_map<Date, int> >
TimeSeriesUnordered;
TimeSeriesUnordered ts1;
TimeSeriesUnordered ts;
Date d0(25, March, 2005), d1(25, April, 2005), d = d0;
UnitedStates calendar(UnitedStates::NYSE);
for (int i = 0; d < d1; ++i, d = calendar.advance(d, 1, Days)) {
ts1[d] = i;
ts[d] = i;
}

d = d0;
for (int i = 0; d < d1; ++i, d = calendar.advance(d, 1, Days)) {
if (ts1[d] != int(i)) {
BOOST_ERROR("value does not match");
}
BOOST_TEST(ts[d] == i);
}
}

// reverse iterators
BOOST_AUTO_TEST_CASE(testInspectors) {
BOOST_TEST_MESSAGE("Testing inspectors of time series...");

std::vector<std::pair<Date,Real> > data(prices.size());
std::copy(ts.crbegin(), ts.crend(), data.begin());
if (data[2].second != 20) {
BOOST_ERROR("value does not match");
}
if (data[2].first != Date(15, March, 2005)) {
BOOST_ERROR("date does not match");
}
const std::vector<Date> dates = {Date(25, March, 2005),
Date(29, March, 2005),
Date(15, March, 2005)};

std::copy(ts.crbegin_time(), ts.crend_time(), dates.begin());
if (dates[0] != Date(29, March, 2005)) {
BOOST_ERROR("date does not match");
}
const std::vector<Real> prices = {25, 23, 20};

std::copy(ts.crbegin_values(), ts.crend_values(), prices.begin());
if (prices[0] != 23) {
BOOST_ERROR("value does not match");
const TimeSeries<Real> ts(dates.begin(), dates.end(), prices.begin());

BOOST_TEST(ts.firstDate() == Date(15, March, 2005));
BOOST_TEST(ts.lastDate() == Date(29, March, 2005));
BOOST_TEST(ts.size() == 3);
BOOST_TEST(!ts.empty());
}

BOOST_AUTO_TEST_CASE(testUtilities) {
BOOST_TEST_MESSAGE("Testing utilities of time series...");

const std::vector<Date> dates = {Date(25, March, 2005),
Date(29, March, 2005),
Date(15, March, 2005)};

const std::vector<Real> prices = {25, 23, 20};

// find: needs mutable TimeSeries object as it might insert
{
TimeSeries<Real> ts(dates.begin(), dates.end(), prices.begin());

BOOST_TEST(ts.find(Date(15, March, 2005))->first == Date(15, March, 2005));
BOOST_TEST(ts.find(Date(15, March, 2005))->second == 20);
BOOST_TEST(3 == ts.size());

BOOST_TEST(ts.find(Date(25, March, 2005))->first == Date(25, March, 2005));
BOOST_TEST(ts.find(Date(25, March, 2005))->second == 25);
BOOST_TEST(3 == ts.size());

BOOST_TEST(ts.find(Date(29, March, 2005))->first == Date(29, March, 2005));
BOOST_TEST(ts.find(Date(29, March, 2005))->second == 23);
BOOST_TEST(3 == ts.size());

BOOST_TEST(ts.find(Date(1, March, 2005))->first == Date(1, March, 2005));
BOOST_TEST(4 == ts.size());
}

QL_DEPRECATED_ENABLE_WARNING
const TimeSeries<Real> ts(dates.begin(), dates.end(), prices.begin());

// The following should not compile:
// std::transform(ts1.crbegin(), ts1.crend(), prices.begin(),
// TimeSeriesUnordered::get_value);
// std::copy(ts1.crbegin_values(), ts1.crend_values(), prices.begin());
// ts1.lastDate();
// dates()
{
const std::vector<Date> expected{dates[2], dates[0], dates[1]};
BOOST_TEST(ts.dates() == expected);
}

// last date
if (ts.lastDate() != Date(29, March, 2005)) {
BOOST_ERROR("lastDate does not match");
// values()
{
const std::vector<Real> expected{prices[2], prices[0], prices[1]};
BOOST_TEST(ts.values() == expected);
}
}

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