1 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2 
3 /*
4  Copyright (C) 2013 Gary Kennedy
5  Copyright (C) 2015 Peter Caspers
6  Copyright (C) 2017 Klaus Spanderen
7  Copyright (C) 2020 Marcin Rybacki
8 
9  This file is part of QuantLib, a free-software/open-source library
10  for financial quantitative analysts and developers - http://quantlib.org/
11 
12  QuantLib is free software: you can redistribute it and/or modify it
13  under the terms of the QuantLib license.  You should have received a
14  copy of the license along with this program; if not, please email
15  <quantlib-dev@lists.sf.net>. The license is also available online at
16  <http://quantlib.org/license.shtml>.
17 
18  This program is distributed in the hope that it will be useful, but WITHOUT
19  ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
20  FOR A PARTICULAR PURPOSE.  See the license for more details.
21 */
22 
23 #ifndef quantlib_test_blackformula_hpp
24 #define quantlib_test_blackformula_hpp
25 
26 #include <boost/test/unit_test.hpp>
27 
28 
29 class BlackFormulaTest {
30   public:
31     static void testBachelierImpliedVol();
32     static void testChambersImpliedVol();
33     static void testRadoicicStefanicaImpliedVol();
34     static void testRadoicicStefanicaLowerBound();
35     static void testImpliedVolAdaptiveSuccessiveOverRelaxation();
36     static void testBlackFormulaForwardDerivative();
37     static void testBlackFormulaForwardDerivativeWithZeroStrike();
38     static void testBlackFormulaForwardDerivativeWithZeroVolatility();
39     static void testBachelierBlackFormulaForwardDerivative();
40     static void testBachelierBlackFormulaForwardDerivativeWithZeroVolatility();
41 
42     static boost::unit_test_framework::test_suite* suite();
43 };
44 
45 
46 #endif
47