diff --git a/test-suite/americanoption.cpp b/test-suite/americanoption.cpp index 36c28ae33a2..93635df5956 100644 --- a/test-suite/americanoption.cpp +++ b/test-suite/americanoption.cpp @@ -1944,15 +1944,15 @@ BOOST_AUTO_TEST_CASE(testBjerksundStenslandEuropeanGreeks) { constexpr double tol = 1000*QL_EPSILON; - BOOST_CHECK_CLOSE(europeanOption.NPV(), americanOption.NPV(), tol); - BOOST_CHECK_CLOSE(europeanOption.delta(), americanOption.delta(), tol); - BOOST_CHECK_CLOSE(europeanOption.strikeSensitivity(), americanOption.strikeSensitivity(), tol); - BOOST_CHECK_CLOSE(europeanOption.gamma(), americanOption.gamma(), tol); - BOOST_CHECK_CLOSE(europeanOption.vega(), americanOption.vega(), tol); - BOOST_CHECK_CLOSE(europeanOption.theta(), americanOption.theta(), tol); - BOOST_CHECK_CLOSE(europeanOption.thetaPerDay(), americanOption.thetaPerDay(), tol); - BOOST_CHECK_CLOSE(europeanOption.rho(), americanOption.rho(), tol); - BOOST_CHECK_CLOSE(europeanOption.dividendRho(), americanOption.dividendRho(), tol); + QL_CHECK_CLOSE(europeanOption.NPV(), americanOption.NPV(), tol); + QL_CHECK_CLOSE(europeanOption.delta(), americanOption.delta(), tol); + QL_CHECK_CLOSE(europeanOption.strikeSensitivity(), americanOption.strikeSensitivity(), tol); + QL_CHECK_CLOSE(europeanOption.gamma(), americanOption.gamma(), tol); + QL_CHECK_CLOSE(europeanOption.vega(), americanOption.vega(), tol); + QL_CHECK_CLOSE(europeanOption.theta(), americanOption.theta(), tol); + QL_CHECK_CLOSE(europeanOption.thetaPerDay(), americanOption.thetaPerDay(), tol); + QL_CHECK_CLOSE(europeanOption.rho(), americanOption.rho(), tol); + QL_CHECK_CLOSE(europeanOption.dividendRho(), americanOption.dividendRho(), tol); } } diff --git a/test-suite/functions.cpp b/test-suite/functions.cpp index 10fca7e9887..4a008bcb803 100644 --- a/test-suite/functions.cpp +++ b/test-suite/functions.cpp @@ -299,28 +299,28 @@ BOOST_AUTO_TEST_CASE(testExpm1) { BOOST_TEST_MESSAGE("Testing complex valued expm1..."); const std::complex z = std::complex(1.2, 0.5); - BOOST_CHECK_SMALL(std::abs(std::exp(z) - 1.0 - expm1(z)), 10*QL_EPSILON); + QL_CHECK_SMALL(std::abs(std::exp(z) - 1.0 - expm1(z)), 10*QL_EPSILON); const std::complex calculated = expm1(std::complex(5e-6, 5e-5)); //scipy reference value const std::complex expected(4.998762493771078e-06,5.000024997979157e-05); const Real tol = std::max(2.2e-14, 100*QL_EPSILON); - BOOST_CHECK_CLOSE_FRACTION(calculated.real(), expected.real(), tol); - BOOST_CHECK_CLOSE_FRACTION(calculated.imag(), expected.imag(), tol); + QL_CHECK_CLOSE_FRACTION(calculated.real(), expected.real(), tol); + QL_CHECK_CLOSE_FRACTION(calculated.imag(), expected.imag(), tol); } BOOST_AUTO_TEST_CASE(testLog1p) { BOOST_TEST_MESSAGE("Testing complex valued log1p..."); const std::complex z = std::complex(1.2, 0.57); - BOOST_CHECK_SMALL(std::abs(std::log(1.0+z) - log1p(z)), 10*QL_EPSILON); + QL_CHECK_SMALL(std::abs(std::log(1.0+z) - log1p(z)), 10*QL_EPSILON); const std::complex calculated = log1p(std::complex(5e-6, 5e-5)); //scipy reference value const std::complex expected(5.0012374875401984e-06, 4.999974995958395e-05); const Real tol = std::max(2.2e-14, 100*QL_EPSILON); - BOOST_CHECK_CLOSE_FRACTION(calculated.real(), expected.real(), tol); - BOOST_CHECK_CLOSE_FRACTION(calculated.imag(), expected.imag(), tol); + QL_CHECK_CLOSE_FRACTION(calculated.real(), expected.real(), tol); + QL_CHECK_CLOSE_FRACTION(calculated.imag(), expected.imag(), tol); } BOOST_AUTO_TEST_SUITE_END() diff --git a/test-suite/hestonmodel.cpp b/test-suite/hestonmodel.cpp index 1cbd8fed317..9f5f702de3d 100644 --- a/test-suite/hestonmodel.cpp +++ b/test-suite/hestonmodel.cpp @@ -3288,7 +3288,7 @@ BOOST_AUTO_TEST_CASE(testOptimalAlphaKmin) { const Real alphaStar = AnalyticHestonEngine::OptimalAlpha(1.0, engine.get()) .alphaSmallerMinusOne(strike).first; - BOOST_CHECK_SMALL(alphaStar+3.71, 0.0051); + QL_CHECK_SMALL(alphaStar+3.71, 0.0051); const Date maturityDate = todaysDate + Period(15, Months); @@ -3345,7 +3345,7 @@ BOOST_AUTO_TEST_CASE(testOptimalAlphaKmax) { auto engine = ext::make_shared(model); Real alphaStar = AnalyticHestonEngine::OptimalAlpha(T, engine.get()) .alphaGreaterZero(strike).first; - BOOST_CHECK_SMALL(alphaStar - 3.22615, 1e-4); + QL_CHECK_SMALL(alphaStar - 3.22615, 1e-4); // case 2: kappa - sigma*rho < 0, T < t_cut model = ext::make_shared( @@ -3353,7 +3353,7 @@ BOOST_AUTO_TEST_CASE(testOptimalAlphaKmax) { engine = ext::make_shared(model); alphaStar = AnalyticHestonEngine::OptimalAlpha(T, engine.get()) .alphaGreaterZero(strike).first; - BOOST_CHECK_SMALL(alphaStar - 0.31137, 1e-4); + QL_CHECK_SMALL(alphaStar - 0.31137, 1e-4); // case 3: kappa - sigma*rho < 0, T >= t_cut model = ext::make_shared( @@ -3361,7 +3361,7 @@ BOOST_AUTO_TEST_CASE(testOptimalAlphaKmax) { engine = ext::make_shared(model); alphaStar = AnalyticHestonEngine::OptimalAlpha(T, engine.get()) .alphaGreaterZero(strike).first; - BOOST_CHECK_SMALL(alphaStar - 0.11940, 1e-4); + QL_CHECK_SMALL(alphaStar - 0.11940, 1e-4); // case 4: kappa - sigma*rho == 0 model = ext::make_shared( @@ -3369,7 +3369,7 @@ BOOST_AUTO_TEST_CASE(testOptimalAlphaKmax) { engine = ext::make_shared(model); alphaStar = AnalyticHestonEngine::OptimalAlpha(T, engine.get()) .alphaGreaterZero(strike).first; - BOOST_CHECK_SMALL(alphaStar - 0.28006, 1e-4); + QL_CHECK_SMALL(alphaStar - 0.28006, 1e-4); } BOOST_AUTO_TEST_SUITE_END() diff --git a/test-suite/integrals.cpp b/test-suite/integrals.cpp index fe5d5a4daa0..9230fede6cd 100644 --- a/test-suite/integrals.cpp +++ b/test-suite/integrals.cpp @@ -588,16 +588,16 @@ BOOST_AUTO_TEST_CASE(testExponentialIntegralLimits) { const Real tol = 1000*QL_EPSILON; - BOOST_CHECK_CLOSE(largeValuePosImag.imag(), M_PI, tol); + QL_CHECK_CLOSE(largeValuePosImag.imag(), M_PI, tol); - BOOST_CHECK_CLOSE( + QL_CHECK_CLOSE( largeValuePosImag.real(), std::exp(largeValue)/largeValue, 1e3/largeValue); const std::complex largeValueNegImag = Ei(std::complex(largeValue, -std::numeric_limits::min())); - BOOST_CHECK_CLOSE(largeValueNegImag.imag(), -M_PI, tol); - BOOST_CHECK_CLOSE( + QL_CHECK_CLOSE(largeValueNegImag.imag(), -M_PI, tol); + QL_CHECK_CLOSE( largeValueNegImag.real(), std::exp(largeValue)/largeValue, 1e3/largeValue); const std::complex largeValueZeroImag = @@ -619,8 +619,8 @@ BOOST_AUTO_TEST_CASE(testExponentialIntegralLimits) { // principal branch const std::complex limit_ei = M_EULER_MASCHERONI + std::log(z); - BOOST_CHECK_CLOSE(ei.real(), limit_ei.real(), tol); - BOOST_CHECK_CLOSE(ei.imag(), limit_ei.imag(), tol); + QL_CHECK_CLOSE(ei.real(), limit_ei.real(), tol); + QL_CHECK_CLOSE(ei.imag(), limit_ei.imag(), tol); } const Real largeR = largeValue; @@ -632,7 +632,7 @@ BOOST_AUTO_TEST_CASE(testExponentialIntegralLimits) { const Real limit_ei_imag = boost::math::sign(z.imag())*M_PI; BOOST_CHECK(close_enough(ei.real(), 0.0)); - BOOST_CHECK_CLOSE(ei.imag(), limit_ei_imag, tol); + QL_CHECK_CLOSE(ei.imag(), limit_ei_imag, tol); } } }