Migrated lookbackoptions.cpp

lballabio · Nov 7, 2023 · 7ef6b4a · 7ef6b4a
1 parent 4ce7939
commit 7ef6b4a
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Showing 7 changed files with 12 additions and 70 deletions.
diff --git a/test-suite/CMakeLists.txt b/test-suite/CMakeLists.txt
@@ -174,7 +174,6 @@ set(QL_TEST_SOURCES
 )
 
 set(QL_TEST_HEADERS
-    lookbackoptions.hpp
     lowdiscrepancysequences.hpp
     margrabeoption.hpp
     marketmodel.hpp

diff --git a/test-suite/Makefile.am b/test-suite/Makefile.am
@@ -174,7 +174,6 @@ QL_TEST_SRCS = \
 	zerocouponswap.cpp
 
 QL_TEST_HDRS = \
-	lookbackoptions.hpp \
 	lowdiscrepancysequences.hpp \
 	margrabeoption.hpp \
 	marketmodel.hpp \

diff --git a/test-suite/lookbackoptions.cpp b/test-suite/lookbackoptions.cpp
@@ -19,7 +19,8 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
-#include "lookbackoptions.hpp"
+#include "speedlevel.hpp"
+#include "toplevelfixture.hpp"
 #include "utilities.hpp"
 #include <ql/time/daycounters/actual360.hpp>
 #include <ql/instruments/lookbackoption.hpp>
@@ -106,8 +107,11 @@ namespace {
 
 }
 
+BOOST_FIXTURE_TEST_SUITE(QuantLibTest, TopLevelFixture)
 
-void LookbackOptionTest::testAnalyticContinuousFloatingLookback() {
+BOOST_AUTO_TEST_SUITE(LookbackOptionTest)
+
+BOOST_AUTO_TEST_CASE(testAnalyticContinuousFloatingLookback) {
 
     BOOST_TEST_MESSAGE(
            "Testing analytic continuous floating-strike lookback options...");
@@ -178,8 +182,7 @@ void LookbackOptionTest::testAnalyticContinuousFloatingLookback() {
     }
 }
 
-
-void LookbackOptionTest::testAnalyticContinuousFixedLookback() {
+BOOST_AUTO_TEST_CASE(testAnalyticContinuousFixedLookback) {
 
     BOOST_TEST_MESSAGE(
               "Testing analytic continuous fixed-strike lookback options...");
@@ -272,7 +275,7 @@ void LookbackOptionTest::testAnalyticContinuousFixedLookback() {
     }
 }
 
-void LookbackOptionTest::testAnalyticContinuousPartialFloatingLookback() {
+BOOST_AUTO_TEST_CASE(testAnalyticContinuousPartialFloatingLookback) {
 
     BOOST_TEST_MESSAGE(
            "Testing analytic continuous partial floating-strike lookback options...");
@@ -380,7 +383,7 @@ void LookbackOptionTest::testAnalyticContinuousPartialFloatingLookback() {
     }
 }
 
-void LookbackOptionTest::testAnalyticContinuousPartialFixedLookback() {
+BOOST_AUTO_TEST_CASE(testAnalyticContinuousPartialFixedLookback) {
 
     BOOST_TEST_MESSAGE(
               "Testing analytic continuous fixed-strike lookback options...");
@@ -485,7 +488,7 @@ void LookbackOptionTest::testAnalyticContinuousPartialFixedLookback() {
     }
 }
 
-void LookbackOptionTest::testMonteCarloLookback() {
+BOOST_AUTO_TEST_CASE(testMonteCarloLookback, *precondition(if_speed(Slow))) {
     BOOST_TEST_MESSAGE("Testing Monte Carlo engines for lookback options...");
 
     Real tolerance = 0.1;
@@ -657,19 +660,6 @@ void LookbackOptionTest::testMonteCarloLookback() {
     }
 }
 
+BOOST_AUTO_TEST_SUITE_END()
 
-test_suite* LookbackOptionTest::suite(SpeedLevel speed) {
-    auto* suite = BOOST_TEST_SUITE("Lookback option tests");
-
-    suite->add(QUANTLIB_TEST_CASE(&LookbackOptionTest::testAnalyticContinuousFloatingLookback));
-    suite->add(QUANTLIB_TEST_CASE(&LookbackOptionTest::testAnalyticContinuousFixedLookback));
-    suite->add(QUANTLIB_TEST_CASE(&LookbackOptionTest::testAnalyticContinuousPartialFloatingLookback));
-    suite->add(QUANTLIB_TEST_CASE(&LookbackOptionTest::testAnalyticContinuousPartialFixedLookback));
-
-    if (speed == Slow) {
-        suite->add(QUANTLIB_TEST_CASE(&LookbackOptionTest::testMonteCarloLookback));
-    }
-
-    return suite;
-}
-
+BOOST_AUTO_TEST_SUITE_END()
diff --git a/test-suite/lookbackoptions.hpp b/test-suite/lookbackoptions.hpp
diff --git a/test-suite/quantlibtestsuite.cpp b/test-suite/quantlibtestsuite.cpp
@@ -36,7 +36,6 @@
 #  include <ql/auto_link.hpp>
 #endif
 
-#include "lookbackoptions.hpp"
 #include "lowdiscrepancysequences.hpp"
 #include "margrabeoption.hpp"
 #include "marketmodel.hpp"
@@ -146,7 +145,6 @@ test_suite* init_unit_test_suite(int, char* []) {
 
     auto* test = BOOST_TEST_SUITE("QuantLib test suite");
 
-    test->add(LookbackOptionTest::suite(speed));
     test->add(LowDiscrepancyTest::suite());
     test->add(MargrabeOptionTest::suite());
     test->add(MarketModelTest::suite(speed));

diff --git a/test-suite/testsuite.vcxproj b/test-suite/testsuite.vcxproj
@@ -810,7 +810,6 @@
     <ClCompile Include="quantlibtestsuite.cpp" />
   </ItemGroup>
   <ItemGroup>
-    <ClInclude Include="lookbackoptions.hpp" />
     <ClInclude Include="lowdiscrepancysequences.hpp" />
     <ClInclude Include="margrabeoption.hpp" />
     <ClInclude Include="marketmodel.hpp" />

diff --git a/test-suite/testsuite.vcxproj.filters b/test-suite/testsuite.vcxproj.filters
@@ -527,9 +527,6 @@
     </ClCompile>
   </ItemGroup>
   <ItemGroup>
-    <ClInclude Include="lookbackoptions.hpp">
-      <Filter>Header Files</Filter>
-    </ClInclude>
     <ClInclude Include="lowdiscrepancysequences.hpp">
       <Filter>Header Files</Filter>
     </ClInclude>