randomvariablelsmbasissystem.cpp File Reference

#include <qle/math/randomvariablelsmbasissystem.hpp>
#include <ql/time/date.hpp>
#include <boost/test/unit_test.hpp>

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Functions
	BOOST_AUTO_TEST_CASE (testBasisSystem1d)

Function Documentation

BOOST_AUTO_TEST_CASE()

BOOST_AUTO_TEST_CASE

(

testBasisSystem1d

)

Definition at line 31 of file randomvariablelsmbasissystem.cpp.

                                        {
 
    BOOST_TEST_MESSAGE("Testing lsm basis system for random variables...");
 
    constexpr double x0 = -2.0;
    for (Size order = 0; order < 200; ++order) {
        auto bs =
            RandomVariableLsmBasisSystem::pathBasisSystem(order, QuantLib::LsmBasisSystem::PolynomialType::Monomial);
        BOOST_REQUIRE(bs.size() == order + 1);
        for (Size i = 0; i <= order; ++i) {
            BOOST_CHECK_CLOSE(bs[i](RandomVariable(1, x0)).at(0), std::pow(x0, i), 1E-10);
        }
    }
}

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