// Copyright Matthew Pulver 2018 - 2019. // Distributed under the Boost Software License, Version 1.0. // (See accompanying file LICENSE_1_0.txt or copy at // https://www.boost.org/LICENSE_1_0.txt) #include #include #include #include #include // isnan #include // iround #include // itrunc #include #define BOOST_TEST_MODULE test_autodiff #include #include //boost::fusion::vector bin_float_types; boost::fusion::vector bin_float_types; // cpp_bin_float_50 is fixed in boost 1.70 // cpp_dec_float_50 cannot be used with close_at_tolerance //boost::fusion::vector boost::fusion::vector<> multiprecision_float_types; using namespace boost::math::differentiation; template promote mixed_partials_f(const W& w, const X& x, const Y& y, const Z& z) { return exp(w*sin(x*log(y)/z) + sqrt(w*z/(x*y))) + w*w/tan(z); } // Equations and function/variable names are from // https://en.wikipedia.org/wiki/Greeks_(finance)#Formulas_for_European_option_Greeks // // Standard normal probability density function template T phi(const T& x) { return boost::math::constants::one_div_root_two_pi()*exp(-0.5*x*x); } // Standard normal cumulative distribution function template T Phi(const T& x) { return 0.5*erfc(-boost::math::constants::one_div_root_two()*x); } enum CP { call, put }; // Assume zero annual dividend yield (q=0). template promote black_scholes_option_price(CP cp, double K, const Price& S, const Sigma& sigma, const Tau& tau, const Rate& r) { const auto d1 = (log(S/K) + (r+sigma*sigma/2)*tau) / (sigma*sqrt(tau)); const auto d2 = (log(S/K) + (r-sigma*sigma/2)*tau) / (sigma*sqrt(tau)); static_assert(std::is_same::value, "decltype(call) != decltype(put)"); if (cp == call) return S*Phi(d1) - exp(-r*tau)*K*Phi(d2); else return exp(-r*tau)*K*Phi(-d2) - S*Phi(-d1); } template T uncast_return(const T& x) { return x == 0 ? 0 : 1; } BOOST_AUTO_TEST_SUITE(test_autodiff) struct constructors_test { template void operator()(const T&) const { constexpr int m = 3; constexpr int n = 4; // Verify value-initialized instance has all 0 entries. const autodiff_fvar empty1 = autodiff_fvar(); for (int i=0 ; i<=m ; ++i) BOOST_REQUIRE(empty1.derivative(i) == 0.0); const auto empty2 = autodiff_fvar(); for (int i=0 ; i<=m ; ++i) for (int j=0 ; j<=n ; ++j) BOOST_REQUIRE(empty2.derivative(i,j) == 0.0); // Single variable constexpr float cx = 10.0; const auto x = make_fvar(cx); for (int i=0 ; i<=m ; ++i) if (i==0) BOOST_REQUIRE(x.derivative(i) == cx); else if (i==1) BOOST_REQUIRE(x.derivative(i) == 1.0); else BOOST_REQUIRE(x.derivative(i) == 0.0); const autodiff_fvar xn = x; for (int i=0 ; i<=n ; ++i) if (i==0) BOOST_REQUIRE(xn.derivative(i) == cx); else if (i==1) BOOST_REQUIRE(xn.derivative(i) == 1.0); else BOOST_REQUIRE(xn.derivative(i) == 0.0); // Second independent variable constexpr float cy = 100.0; const auto y = make_fvar(cy); for (int i=0 ; i<=m ; ++i) for (int j=0 ; j<=n ; ++j) if (i==0 && j==0) BOOST_REQUIRE(y.derivative(i,j) == cy); else if (i==0 && j==1) BOOST_REQUIRE(y.derivative(i,j) == 1.0); else BOOST_REQUIRE(y.derivative(i,j) == 0.0); } }; BOOST_AUTO_TEST_CASE(constructors) { boost::fusion::for_each(bin_float_types, constructors_test()); boost::fusion::for_each(multiprecision_float_types, constructors_test()); } struct implicit_constructors_test { template void operator()(const T&) const { constexpr int m = 3; const autodiff_fvar x = 3; const autodiff_fvar one = uncast_return(x); const autodiff_fvar two_and_a_half = 2.5; BOOST_REQUIRE(static_cast(x) == 3.0); BOOST_REQUIRE(static_cast(one) == 1.0); BOOST_REQUIRE(static_cast(two_and_a_half) == 2.5); } }; BOOST_AUTO_TEST_CASE(implicit_constructors) { boost::fusion::for_each(bin_float_types, implicit_constructors_test()); boost::fusion::for_each(multiprecision_float_types, implicit_constructors_test()); } struct assignment_test { template void operator()(const T&) const { constexpr int m = 3; constexpr int n = 4; constexpr float cx = 10.0; constexpr float cy = 10.0; autodiff_fvar empty; // Uninitialized variable<> may have non-zero values. // Single variable auto x = make_fvar(cx); empty = static_cast(x); // Test static_cast of single-variable to double-variable type. for (int i=0 ; i<=m ; ++i) for (int j=0 ; j<=n ; ++j) if (i==0 && j==0) BOOST_REQUIRE(empty.derivative(i,j) == cx); else if (i==1 && j==0) BOOST_REQUIRE(empty.derivative(i,j) == 1.0); else BOOST_REQUIRE(empty.derivative(i,j) == 0.0); auto y = make_fvar(cy); empty = y; // default assignment operator for (int i=0 ; i<=m ; ++i) for (int j=0 ; j<=n ; ++j) if (i==0 && j==0) BOOST_REQUIRE(empty.derivative(i,j) == cy); else if (i==0 && j==1) BOOST_REQUIRE(empty.derivative(i,j) == 1.0); else BOOST_REQUIRE(empty.derivative(i,j) == 0.0); empty = cx; // set a constant for (int i=0 ; i<=m ; ++i) for (int j=0 ; j<=n ; ++j) if (i==0 && j==0) BOOST_REQUIRE(empty.derivative(i,j) == cx); else BOOST_REQUIRE(empty.derivative(i,j) == 0.0); } }; BOOST_AUTO_TEST_CASE(assignment) { boost::fusion::for_each(bin_float_types, assignment_test()); boost::fusion::for_each(multiprecision_float_types, assignment_test()); } struct ostream_test { template void operator()(const T&) const { constexpr int m = 3; const T cx = 10; const auto x = make_fvar(cx); std::ostringstream ss; ss << "x = " << x; BOOST_REQUIRE(ss.str() == "x = depth(1)(10,1,0,0)"); } }; BOOST_AUTO_TEST_CASE(ostream) { boost::fusion::for_each(bin_float_types, ostream_test()); boost::fusion::for_each(multiprecision_float_types, ostream_test()); } struct addition_assignment_test { template void operator()(const T&) const { constexpr int m = 3; constexpr int n = 4; constexpr float cx = 10.0; auto sum = autodiff_fvar(); // zero-initialized // Single variable const auto x = make_fvar(cx); sum += x; for (int i=0 ; i<=m ; ++i) for (int j=0 ; j<=n ; ++j) if (i==0 && j==0) BOOST_REQUIRE(sum.derivative(i,j) == cx); else if (i==1 && j==0) BOOST_REQUIRE(sum.derivative(i,j) == 1.0); else BOOST_REQUIRE(sum.derivative(i,j) == 0.0); // Arithmetic constant constexpr float cy = 11.0; sum = 0; sum += cy; for (int i=0 ; i<=m ; ++i) for (int j=0 ; j<=n ; ++j) if (i==0 && j==0) BOOST_REQUIRE(sum.derivative(i,j) == cy); else BOOST_REQUIRE(sum.derivative(i,j) == 0.0); } }; BOOST_AUTO_TEST_CASE(addition_assignment) { boost::fusion::for_each(bin_float_types, addition_assignment_test()); boost::fusion::for_each(multiprecision_float_types, addition_assignment_test()); } struct subtraction_assignment_test { template void operator()(const T&) const { constexpr int m = 3; constexpr int n = 4; constexpr float cx = 10.0; auto sum = autodiff_fvar(); // zero-initialized // Single variable const auto x = make_fvar(cx); sum -= x; for (int i=0 ; i<=m ; ++i) for (int j=0 ; j<=n ; ++j) if (i==0 && j==0) BOOST_REQUIRE(sum.derivative(i,j) == -cx); else if (i==1 && j==0) BOOST_REQUIRE(sum.derivative(i,j) == -1.0); else BOOST_REQUIRE(sum.derivative(i,j) == 0.0); // Arithmetic constant constexpr float cy = 11.0; sum = 0; sum -= cy; for (int i=0 ; i<=m ; ++i) for (int j=0 ; j<=n ; ++j) if (i==0 && j==0) BOOST_REQUIRE(sum.derivative(i,j) == -cy); else BOOST_REQUIRE(sum.derivative(i,j) == 0.0); } }; BOOST_AUTO_TEST_CASE(subtraction_assignment) { boost::fusion::for_each(bin_float_types, subtraction_assignment_test()); boost::fusion::for_each(multiprecision_float_types, subtraction_assignment_test()); } // Try explicit bracing based on feedback. Doesn't add very much except 26 extra lines. struct multiplication_assignment_test { template void operator()(const T&) const { constexpr int m = 3; constexpr int n = 4; constexpr float cx = 10.0; auto product = autodiff_fvar(1); // unit constant // Single variable auto x = make_fvar(cx); product *= x; for (int i=0 ; i<=m ; ++i) { for (int j=0 ; j<=n ; ++j) { if (i==0 && j==0) { BOOST_REQUIRE(product.derivative(i,j) == cx); } else if (i==1 && j==0) { BOOST_REQUIRE(product.derivative(i,j) == 1.0); } else { BOOST_REQUIRE(product.derivative(i,j) == 0.0); } } } // Arithmetic constant constexpr float cy = 11.0; product = 1; product *= cy; for (int i=0 ; i<=m ; ++i) { for (int j=0 ; j<=n ; ++j) { if (i==0 && j==0) { BOOST_REQUIRE(product.derivative(i,j) == cy); } else { BOOST_REQUIRE(product.derivative(i,j) == 0.0); } } } // 0 * inf = nan x = make_fvar(0.0); x *= std::numeric_limits::infinity(); //std::cout << "x = " << x << std::endl; for (int i=0 ; i<=m ; ++i) { if (i==0) { BOOST_REQUIRE(boost::math::isnan(static_cast(x))); // Correct //BOOST_REQUIRE(x.derivative(i) == 0.0); // Wrong. See multiply_assign_by_root_type(). } else if (i==1) { BOOST_REQUIRE(boost::math::isinf(x.derivative(i))); } else { BOOST_REQUIRE(x.derivative(i) == 0.0); } } } }; BOOST_AUTO_TEST_CASE(multiplication_assignment) { boost::fusion::for_each(bin_float_types, multiplication_assignment_test()); boost::fusion::for_each(multiprecision_float_types, multiplication_assignment_test()); } struct division_assignment_test { template void operator()(const T&) const { constexpr int m = 3; constexpr int n = 4; constexpr float cx = 16.0; auto quotient = autodiff_fvar(1); // unit constant // Single variable const auto x = make_fvar(cx); quotient /= x; BOOST_REQUIRE(quotient.derivative(0,0) == 1/cx); BOOST_REQUIRE(quotient.derivative(1,0) == -1/std::pow(cx,2)); BOOST_REQUIRE(quotient.derivative(2,0) == 2/std::pow(cx,3)); BOOST_REQUIRE(quotient.derivative(3,0) == -6/std::pow(cx,4)); for (int i=0 ; i<=m ; ++i) for (int j=1 ; j<=n ; ++j) BOOST_REQUIRE(quotient.derivative(i,j) == 0.0); // Arithmetic constant constexpr float cy = 32.0; quotient = 1; quotient /= cy; for (int i=0 ; i<=m ; ++i) for (int j=0 ; j<=n ; ++j) if (i==0 && j==0) BOOST_REQUIRE(quotient.derivative(i,j) == 1/cy); else BOOST_REQUIRE(quotient.derivative(i,j) == 0.0); } }; BOOST_AUTO_TEST_CASE(division_assignment) { boost::fusion::for_each(bin_float_types, division_assignment_test()); boost::fusion::for_each(multiprecision_float_types, division_assignment_test()); } struct unary_signs_test { template void operator()(const T&) const { constexpr int m = 3; constexpr int n = 4; constexpr float cx = 16.0; autodiff_fvar lhs; // Single variable const auto x = make_fvar(cx); lhs = static_cast(-x); for (int i=0 ; i<=m ; ++i) for (int j=0 ; j<=n ; ++j) if (i==0 && j==0) BOOST_REQUIRE(lhs.derivative(i,j) == -cx); else if (i==1 && j==0) BOOST_REQUIRE(lhs.derivative(i,j) == -1.0); else BOOST_REQUIRE(lhs.derivative(i,j) == 0.0); lhs = static_cast(+x); for (int i=0 ; i<=m ; ++i) for (int j=0 ; j<=n ; ++j) if (i==0 && j==0) BOOST_REQUIRE(lhs.derivative(i,j) == cx); else if (i==1 && j==0) BOOST_REQUIRE(lhs.derivative(i,j) == 1.0); else BOOST_REQUIRE(lhs.derivative(i,j) == 0.0); } }; BOOST_AUTO_TEST_CASE(unary_signs) { boost::fusion::for_each(bin_float_types, unary_signs_test()); boost::fusion::for_each(multiprecision_float_types, unary_signs_test()); } // TODO 3 tests for 3 operator+() definitions. struct cast_double_test { template void operator()(const T&) const { constexpr float ca = 13.0; constexpr int i = 12; constexpr int m = 3; const auto x = make_fvar(ca); BOOST_REQUIRE(i < x); BOOST_REQUIRE(i*x == i*ca); } }; BOOST_AUTO_TEST_CASE(cast_double) { boost::fusion::for_each(bin_float_types, cast_double_test()); boost::fusion::for_each(multiprecision_float_types, cast_double_test()); } struct int_double_casting_test { template void operator()(const T&) const { constexpr float ca = 3.0; const auto x0 = make_fvar(ca); BOOST_REQUIRE(static_cast(x0) == ca); const auto x1 = make_fvar(ca); BOOST_REQUIRE(static_cast(x1) == ca); const auto x2 = make_fvar(ca); BOOST_REQUIRE(static_cast(x2) == ca); } }; BOOST_AUTO_TEST_CASE(int_double_casting) { boost::fusion::for_each(bin_float_types, int_double_casting_test()); boost::fusion::for_each(multiprecision_float_types, int_double_casting_test()); } struct scalar_addition_test { template void operator()(const T&) const { constexpr float ca = 3.0; constexpr float cb = 4.0; const auto sum0 = autodiff_fvar(ca) + autodiff_fvar(cb); BOOST_REQUIRE(ca+cb == static_cast(sum0)); const auto sum1 = autodiff_fvar(ca) + cb; BOOST_REQUIRE(ca+cb == static_cast(sum1)); const auto sum2 = ca + autodiff_fvar(cb); BOOST_REQUIRE(ca+cb == static_cast(sum2)); } }; BOOST_AUTO_TEST_CASE(scalar_addition) { boost::fusion::for_each(bin_float_types, scalar_addition_test()); boost::fusion::for_each(multiprecision_float_types, scalar_addition_test()); } struct power8_test { template void operator()(const T&) const { constexpr int n = 8; constexpr float ca = 3.0; auto x = make_fvar(ca); // Test operator*=() x *= x; x *= x; x *= x; const T power_factorial = boost::math::factorial(n); for (int i=0 ; i<=n ; ++i) BOOST_CHECK(static_cast(x.derivative(i)) == static_cast(power_factorial/boost::math::factorial(n-i)*std::pow(ca,n-i))); x = make_fvar(ca); // Test operator*() x = x*x*x*x * x*x*x*x; for (int i=0 ; i<=n ; ++i) BOOST_REQUIRE(x.derivative(i) == power_factorial/boost::math::factorial(n-i)*std::pow(ca,n-i)); } }; BOOST_AUTO_TEST_CASE(power8) { boost::fusion::for_each(bin_float_types, power8_test()); boost::fusion::for_each(multiprecision_float_types, power8_test()); } struct dim1_multiplication_test { template void operator()(const T&) const { constexpr int m = 2; constexpr int n = 3; constexpr float cy = 4.0; auto y0 = make_fvar(cy); auto y = make_fvar(cy); y *= y0; BOOST_REQUIRE(y.derivative(0) == cy*cy); BOOST_REQUIRE(y.derivative(1) == 2*cy); BOOST_REQUIRE(y.derivative(2) == 2.0); BOOST_REQUIRE(y.derivative(3) == 0.0); y = y * cy; BOOST_REQUIRE(y.derivative(0) == cy*cy*cy); BOOST_REQUIRE(y.derivative(1) == 2*cy*cy); BOOST_REQUIRE(y.derivative(2) == 2.0*cy); BOOST_REQUIRE(y.derivative(3) == 0.0); } }; BOOST_AUTO_TEST_CASE(dim1_multiplication) { boost::fusion::for_each(bin_float_types, dim1_multiplication_test()); boost::fusion::for_each(multiprecision_float_types, dim1_multiplication_test()); } struct dim1and2_multiplication_test { template void operator()(const T&) const { constexpr int m = 2; constexpr int n = 3; constexpr float cx = 3.0; constexpr float cy = 4.0; auto x = make_fvar(cx); auto y = make_fvar(cy); y *= x; BOOST_REQUIRE(y.derivative(0,0) == cx*cy); BOOST_REQUIRE(y.derivative(0,1) == cx); BOOST_REQUIRE(y.derivative(1,0) == cy); BOOST_REQUIRE(y.derivative(1,1) == 1.0); for (int i=1 ; i void operator()(const T&) const { constexpr int m = 2; constexpr int n = 3; constexpr float cx = 3.0; const auto x = make_fvar(cx); BOOST_REQUIRE(x.derivative(0) == cx); BOOST_REQUIRE(x.derivative(1) == 1.0); BOOST_REQUIRE(x.derivative(2) == 0.0); constexpr float cy = 4.0; const auto y = make_fvar(cy); BOOST_REQUIRE(static_cast(y.derivative(0)) == cy); BOOST_REQUIRE(static_cast(y.derivative(1)) == 0.0); // partial of y w.r.t. x. BOOST_REQUIRE(y.derivative(0,0) == cy); BOOST_REQUIRE(y.derivative(0,1) == 1.0); BOOST_REQUIRE(y.derivative(1,0) == 0.0); BOOST_REQUIRE(y.derivative(1,1) == 0.0); const auto z = x + y; BOOST_REQUIRE(z.derivative(0,0) == cx + cy); BOOST_REQUIRE(z.derivative(0,1) == 1.0); BOOST_REQUIRE(z.derivative(1,0) == 1.0); BOOST_REQUIRE(z.derivative(1,1) == 0.0); // The following 4 are unnecessarily more expensive than the previous 4. BOOST_REQUIRE(z.derivative(0).derivative(0) == cx + cy); BOOST_REQUIRE(z.derivative(0).derivative(1) == 1.0); BOOST_REQUIRE(z.derivative(1).derivative(0) == 1.0); BOOST_REQUIRE(z.derivative(1).derivative(1) == 0.0); } }; BOOST_AUTO_TEST_CASE(dim2_addition) { boost::fusion::for_each(bin_float_types, dim2_addition_test()); boost::fusion::for_each(multiprecision_float_types, dim2_addition_test()); } struct dim2_multiplication_test { template void operator()(const T&) const { constexpr int m = 3; constexpr int n = 4; constexpr float cx = 6.0; const auto x = make_fvar(cx); constexpr float cy = 5.0; const auto y = make_fvar(cy); const auto z = x*x * y*y*y; BOOST_REQUIRE(z.derivative(0,0) == cx*cx * cy*cy*cy); // x^2 * y^3 BOOST_REQUIRE(z.derivative(0,1) == cx*cx * 3*cy*cy); // x^2 * 3y^2 BOOST_REQUIRE(z.derivative(0,2) == cx*cx * 6*cy); // x^2 * 6y BOOST_REQUIRE(z.derivative(0,3) == cx*cx * 6); // x^2 * 6 BOOST_REQUIRE(z.derivative(0,4) == 0.0); // x^2 * 0 BOOST_REQUIRE(z.derivative(1,0) == 2*cx * cy*cy*cy); // 2x * y^3 BOOST_REQUIRE(z.derivative(1,1) == 2*cx * 3*cy*cy); // 2x * 3y^2 BOOST_REQUIRE(z.derivative(1,2) == 2*cx * 6*cy); // 2x * 6y BOOST_REQUIRE(z.derivative(1,3) == 2*cx * 6); // 2x * 6 BOOST_REQUIRE(z.derivative(1,4) == 0.0); // 2x * 0 BOOST_REQUIRE(z.derivative(2,0) == 2 * cy*cy*cy); // 2 * y^3 BOOST_REQUIRE(z.derivative(2,1) == 2 * 3*cy*cy); // 2 * 3y^2 BOOST_REQUIRE(z.derivative(2,2) == 2 * 6*cy); // 2 * 6y BOOST_REQUIRE(z.derivative(2,3) == 2 * 6); // 2 * 6 BOOST_REQUIRE(z.derivative(2,4) == 0.0); // 2 * 0 BOOST_REQUIRE(z.derivative(3,0) == 0.0); // 0 * y^3 BOOST_REQUIRE(z.derivative(3,1) == 0.0); // 0 * 3y^2 BOOST_REQUIRE(z.derivative(3,2) == 0.0); // 0 * 6y BOOST_REQUIRE(z.derivative(3,3) == 0.0); // 0 * 6 BOOST_REQUIRE(z.derivative(3,4) == 0.0); // 0 * 0 } }; BOOST_AUTO_TEST_CASE(dim2_multiplication) { boost::fusion::for_each(bin_float_types, dim2_multiplication_test()); boost::fusion::for_each(multiprecision_float_types, dim2_multiplication_test()); } struct dim2_multiplication_and_subtraction_test { template void operator()(const T&) const { constexpr int m = 3; constexpr int n = 4; constexpr float cx = 6.0; const auto x = make_fvar(cx); constexpr float cy = 5.0; const auto y = make_fvar(cy); const auto z = x*x - y*y; BOOST_REQUIRE(z.derivative(0,0) == cx*cx - cy*cy); BOOST_REQUIRE(z.derivative(0,1) == -2*cy); BOOST_REQUIRE(z.derivative(0,2) == -2.0); BOOST_REQUIRE(z.derivative(0,3) == 0.0); BOOST_REQUIRE(z.derivative(0,4) == 0.0); BOOST_REQUIRE(z.derivative(1,0) == 2*cx); BOOST_REQUIRE(z.derivative(2,0) == 2.0); for (int i=1 ; i<=m ; ++i) for (int j=1 ; j<=n ; ++j) BOOST_REQUIRE(z.derivative(i,j) == 0.0); } }; BOOST_AUTO_TEST_CASE(dim2_multiplication_and_subtraction) { boost::fusion::for_each(bin_float_types, dim2_multiplication_and_subtraction_test()); boost::fusion::for_each(multiprecision_float_types, dim2_multiplication_and_subtraction_test()); } struct inverse_test { template void operator()(const T&) const { constexpr int m = 3; constexpr float cx = 4.0; const auto x = make_fvar(cx); const auto xinv = x.inverse(); BOOST_REQUIRE(xinv.derivative(0) == 1/cx); BOOST_REQUIRE(xinv.derivative(1) == -1/std::pow(cx,2)); BOOST_REQUIRE(xinv.derivative(2) == 2/std::pow(cx,3)); BOOST_REQUIRE(xinv.derivative(3) == -6/std::pow(cx,4)); const auto zero = make_fvar(0); const auto inf = zero.inverse(); for (int i=0 ; i<=m ; ++i) BOOST_REQUIRE(inf.derivative(i) == (i&1?-1:1)*std::numeric_limits::infinity()); } }; BOOST_AUTO_TEST_CASE(inverse) { boost::fusion::for_each(bin_float_types, inverse_test()); boost::fusion::for_each(multiprecision_float_types, inverse_test()); } struct division_test { template void operator()(const T&) const { constexpr int m = 3; constexpr int n = 4; constexpr float cx = 16.0; auto x = make_fvar(cx); constexpr float cy = 4.0; auto y = make_fvar(cy); auto z = x*x / (y*y); BOOST_REQUIRE(z.derivative(0,0) == cx*cx / (cy*cy)); // x^2 * y^-2 BOOST_REQUIRE(z.derivative(0,1) == cx*cx * (-2)*std::pow(cy,-3)); BOOST_REQUIRE(z.derivative(0,2) == cx*cx * (6)*std::pow(cy,-4)); BOOST_REQUIRE(z.derivative(0,3) == cx*cx * (-24)*std::pow(cy,-5)); BOOST_REQUIRE(z.derivative(0,4) == cx*cx * (120)*std::pow(cy,-6)); BOOST_REQUIRE(z.derivative(1,0) == 2*cx / (cy*cy)); BOOST_REQUIRE(z.derivative(1,1) == 2*cx * (-2)*std::pow(cy,-3)); BOOST_REQUIRE(z.derivative(1,2) == 2*cx * (6)*std::pow(cy,-4)); BOOST_REQUIRE(z.derivative(1,3) == 2*cx * (-24)*std::pow(cy,-5)); BOOST_REQUIRE(z.derivative(1,4) == 2*cx * (120)*std::pow(cy,-6)); BOOST_REQUIRE(z.derivative(2,0) == 2 / (cy*cy)); BOOST_REQUIRE(z.derivative(2,1) == 2 * (-2)*std::pow(cy,-3)); BOOST_REQUIRE(z.derivative(2,2) == 2 * (6)*std::pow(cy,-4)); BOOST_REQUIRE(z.derivative(2,3) == 2 * (-24)*std::pow(cy,-5)); BOOST_REQUIRE(z.derivative(2,4) == 2 * (120)*std::pow(cy,-6)); for (int j=0 ; j<=n ; ++j) BOOST_REQUIRE(z.derivative(3,j) == 0.0); auto x1 = make_fvar(cx); auto z1 = x1/cy; BOOST_REQUIRE(z1.derivative(0) == cx/cy); BOOST_REQUIRE(z1.derivative(1) == 1/cy); BOOST_REQUIRE(z1.derivative(2) == 0.0); BOOST_REQUIRE(z1.derivative(3) == 0.0); auto y2 = make_fvar(cy); auto z2 = cx/y2; BOOST_REQUIRE(z2.derivative(0,0) == cx/cy); BOOST_REQUIRE(z2.derivative(0,1) == -cx/std::pow(cy,2)); BOOST_REQUIRE(z2.derivative(0,2) == 2*cx/std::pow(cy,3)); BOOST_REQUIRE(z2.derivative(0,3) == -6*cx/std::pow(cy,4)); BOOST_REQUIRE(z2.derivative(0,4) == 24*cx/std::pow(cy,5)); for (int i=1 ; i<=m ; ++i) for (int j=0 ; j<=n ; ++j) BOOST_REQUIRE(z2.derivative(i,j) == 0.0); const auto z3 = y / x; BOOST_REQUIRE(z3.derivative(0,0) == cy / cx); BOOST_REQUIRE(z3.derivative(0,1) == 1 / cx); BOOST_REQUIRE(z3.derivative(1,0) == -cy / std::pow(cx,2)); BOOST_REQUIRE(z3.derivative(1,1) == -1 / std::pow(cx,2)); BOOST_REQUIRE(z3.derivative(2,0) == 2*cy / std::pow(cx,3)); BOOST_REQUIRE(z3.derivative(2,1) == 2 / std::pow(cx,3)); BOOST_REQUIRE(z3.derivative(3,0) == -6*cy / std::pow(cx,4)); BOOST_REQUIRE(z3.derivative(3,1) == -6 / std::pow(cx,4)); for (int i=0 ; i<=m ; ++i) for (int j=2 ; j<=n ; ++j) BOOST_REQUIRE(z3.derivative(i,j) == 0.0); } }; BOOST_AUTO_TEST_CASE(division) { boost::fusion::for_each(bin_float_types, division_test()); boost::fusion::for_each(multiprecision_float_types, division_test()); } struct equality_test { template void operator()(const T&) const { constexpr int m = 3; constexpr int n = 4; constexpr float cx = 10.0; constexpr float cy = 10.0; const auto x = make_fvar(cx); const auto y = make_fvar(cy); BOOST_REQUIRE((x == y)); BOOST_REQUIRE((x == cy)); BOOST_REQUIRE((cx == y)); BOOST_REQUIRE((cy == x)); BOOST_REQUIRE((y == cx)); } }; BOOST_AUTO_TEST_CASE(equality) { boost::fusion::for_each(bin_float_types, equality_test()); boost::fusion::for_each(multiprecision_float_types, equality_test()); } struct inequality_test { template void operator()(const T&) const { constexpr int m = 3; constexpr int n = 4; constexpr float cx = 10.0; constexpr float cy = 11.0; const auto x = make_fvar(cx); const auto y = make_fvar(cy); BOOST_REQUIRE((x != y)); BOOST_REQUIRE((x != cy)); BOOST_REQUIRE((cx != y)); BOOST_REQUIRE((cy != x)); BOOST_REQUIRE((y != cx)); } }; BOOST_AUTO_TEST_CASE(inequality) { boost::fusion::for_each(bin_float_types, inequality_test()); boost::fusion::for_each(multiprecision_float_types, inequality_test()); } struct less_than_or_equal_to_test { template void operator()(const T&) const { constexpr int m = 3; constexpr int n = 4; constexpr float cx = 10.0; constexpr float cy = 11.0; const auto x = make_fvar(cx); const auto y = make_fvar(cy); BOOST_REQUIRE((x <= y)); BOOST_REQUIRE((x <= y-1)); BOOST_REQUIRE((x < y)); BOOST_REQUIRE((x <= cy)); BOOST_REQUIRE((x <= cy-1)); BOOST_REQUIRE((x < cy)); BOOST_REQUIRE((cx <= y)); BOOST_REQUIRE((cx <= y-1)); BOOST_REQUIRE((cx < y)); } }; BOOST_AUTO_TEST_CASE(less_than_or_equal_to) { boost::fusion::for_each(bin_float_types, less_than_or_equal_to_test()); boost::fusion::for_each(multiprecision_float_types, less_than_or_equal_to_test()); } struct greater_than_or_equal_to_test { template void operator()(const T&) const { constexpr int m = 3; constexpr int n = 4; constexpr float cx = 11.0; constexpr float cy = 10.0; const auto x = make_fvar(cx); const auto y = make_fvar(cy); BOOST_REQUIRE((x >= y)); BOOST_REQUIRE((x >= y+1)); BOOST_REQUIRE((x > y)); BOOST_REQUIRE((x >= cy)); BOOST_REQUIRE((x >= cy+1)); BOOST_REQUIRE((x > cy)); BOOST_REQUIRE((cx >= y)); BOOST_REQUIRE((cx >= y+1)); BOOST_REQUIRE((cx > y)); } }; BOOST_AUTO_TEST_CASE(greater_than_or_equal_to) { boost::fusion::for_each(bin_float_types, greater_than_or_equal_to_test()); boost::fusion::for_each(multiprecision_float_types, greater_than_or_equal_to_test()); } struct abs_test_test { template void operator()(const T&) const { constexpr int m = 3; constexpr float cx = 11.0; const auto x = make_fvar(cx); auto a = abs(x); BOOST_REQUIRE(a.derivative(0) == std::abs(cx)); BOOST_REQUIRE(a.derivative(1) == 1.0); BOOST_REQUIRE(a.derivative(2) == 0.0); BOOST_REQUIRE(a.derivative(3) == 0.0); a = abs(-x); BOOST_REQUIRE(a.derivative(0) == std::abs(cx)); BOOST_REQUIRE(a.derivative(1) == 1.0); // abs(-x) = abs(x) BOOST_REQUIRE(a.derivative(2) == 0.0); BOOST_REQUIRE(a.derivative(3) == 0.0); const auto xneg = make_fvar(-cx); a = abs(xneg); BOOST_REQUIRE(a.derivative(0) == std::abs(cx)); BOOST_REQUIRE(a.derivative(1) == -1.0); BOOST_REQUIRE(a.derivative(2) == 0.0); BOOST_REQUIRE(a.derivative(3) == 0.0); const auto zero = make_fvar(0); a = abs(zero); for (int i=0 ; i<=m ; ++i) BOOST_REQUIRE(a.derivative(i) == 0.0); } }; BOOST_AUTO_TEST_CASE(abs_test) { boost::fusion::for_each(bin_float_types, abs_test_test()); boost::fusion::for_each(multiprecision_float_types, abs_test_test()); } struct ceil_and_floor_test { template void operator()(const T&) const { constexpr int m = 3; float tests[] { -1.5, 0.0, 1.5 }; for (unsigned t=0 ; t(tests[t]); auto c = ceil(x); auto f = floor(x); BOOST_REQUIRE(c.derivative(0) == std::ceil(tests[t])); BOOST_REQUIRE(f.derivative(0) == std::floor(tests[t])); for (int i=1 ; i<=m ; ++i) { BOOST_REQUIRE(c.derivative(i) == 0.0); BOOST_REQUIRE(f.derivative(i) == 0.0); } } } }; BOOST_AUTO_TEST_CASE(ceil_and_floor) { boost::fusion::for_each(bin_float_types, ceil_and_floor_test()); boost::fusion::for_each(multiprecision_float_types, ceil_and_floor_test()); } struct one_over_one_plus_x_squared_test { template void operator()(const T&) const { constexpr int m = 4; constexpr float cx = 1.0; auto f = make_fvar(cx); //f = 1 / ((f *= f) += 1); f = ((f *= f) += 1).inverse(); BOOST_REQUIRE(f.derivative(0) == 0.5); BOOST_REQUIRE(f.derivative(1) == -0.5); BOOST_REQUIRE(f.derivative(2) == 0.5); BOOST_REQUIRE(f.derivative(3) == 0.0); BOOST_REQUIRE(f.derivative(4) == -3.0); } }; BOOST_AUTO_TEST_CASE(one_over_one_plus_x_squared) { boost::fusion::for_each(bin_float_types, one_over_one_plus_x_squared_test()); boost::fusion::for_each(multiprecision_float_types, one_over_one_plus_x_squared_test()); } struct exp_test_test { template void operator()(const T&) const { using std::exp; constexpr int m = 4; const T cx = 2.0; const auto x = make_fvar(cx); auto y = exp(x); for (int i=0 ; i<=m ; ++i) { //std::cout.precision(100); //std::cout << "y.derivative("<(cx); auto y = lambert_w0(x); for (int i=0 ; i<=m ; ++i) { const T answer = boost::lexical_cast(answers[i]); BOOST_REQUIRE_CLOSE(y.derivative(i), answer, eps); } //const T cx0 = -1 / boost::math::constants::e(); //auto edge = lambert_w0(make_fvar(cx0)); //std::cout << "edge = " << edge << std::endl; //edge = depth(1)(-1,inf,-inf,inf,-inf,inf,-inf,inf,-inf,inf,-inf) //edge = depth(1)(-1,inf,-inf,inf,-inf,inf,-inf,inf,-inf,inf,-inf) //edge = depth(1)(-1,3.68935e+19,-9.23687e+57,4.62519e+96,-2.89497e+135,2.02945e+174,-1.52431e+213,1.19943e+252,-9.75959e+290,8.14489e+329,-6.93329e+368) } }; BOOST_AUTO_TEST_CASE(lambert_w0_test) { boost::fusion::for_each(bin_float_types, lambert_w0_test_test()); boost::fusion::for_each(multiprecision_float_types, lambert_w0_test_test()); } struct lround_llround_truncl_test { template void operator()(const T&) const { using std::lround; using std::llround; //using std::truncl; // truncl not supported by boost::multiprecision types. constexpr int m = 3; const T cx = 3.25; auto x = make_fvar(cx); long yl = lround(x); BOOST_REQUIRE(yl == lround(cx)); long long yll = llround(x); BOOST_REQUIRE(yll == llround(cx)); //long double yld = truncl(x); //BOOST_REQUIRE(yld == truncl(cx)); } }; BOOST_AUTO_TEST_CASE(lround_llround_truncl) { boost::fusion::for_each(bin_float_types, lround_llround_truncl_test()); boost::fusion::for_each(multiprecision_float_types, lround_llround_truncl_test()); } struct mixed_partials_test { template void operator()(const T&) const { const T eps = 20000e2*std::numeric_limits::epsilon(); // percent // Derivatives calculated from symbolic differentiation by Mathematica for comparison. const char* const answers[] = 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constexpr int Nw=3; constexpr int Nx=2; constexpr int Ny=4; constexpr int Nz=3; const auto w = make_fvar(11); const auto x = make_fvar(12); const auto y = make_fvar(13); const auto z = make_fvar(14); const auto v = mixed_partials_f(w,x,y,z); // auto = autodiff_fvar int ia=0; for (int iw=0 ; iw<=Nw ; ++iw) for (int ix=0 ; ix<=Nx ; ++ix) for (int iy=0 ; iy<=Ny ; ++iy) for (int iz=0 ; iz<=Nz ; ++iz) { const T answer = boost::lexical_cast(answers[ia++]); BOOST_REQUIRE_CLOSE(v.derivative(iw,ix,iy,iz), answer, eps); } } }; BOOST_AUTO_TEST_CASE(mixed_partials) { boost::fusion::for_each(bin_float_types, mixed_partials_test()); } struct multiprecision_test { template void operator()(const T&) const { const T eps = 600*std::numeric_limits::epsilon(); // percent constexpr int Nw=3; constexpr int Nx=2; constexpr int Ny=4; constexpr int Nz=3; const auto w = make_fvar(11); const auto x = make_fvar(12); const auto y = make_fvar(13); const auto z = make_fvar(14); const auto v = mixed_partials_f(w,x,y,z); // auto = autodiff_fvar // Calculated from Mathematica symbolic differentiation. const T answer = boost::lexical_cast("1976.3196007477977177798818752904187209081211892187" "5499076582535951111845769110560421820940516423255314"); // BOOST_REQUIRE_CLOSE(v.derivative(Nw,Nx,Ny,Nz), answer, eps); // Doesn't work for cpp_dec_float using std::fabs; const double relative_error = static_cast(fabs(v.derivative(Nw,Nx,Ny,Nz)/answer-1)); BOOST_REQUIRE(100*relative_error < eps); } }; BOOST_AUTO_TEST_CASE(multiprecision) { //multiprecision_test()(boost::multiprecision::cpp_bin_float_50()); boost::fusion::for_each(bin_float_types, mixed_partials_test()); } struct black_scholes_test { template void operator()(const T&) const { //const T eps = 2725*std::numeric_limits::epsilon(); // percent const T eps = 2600e2*std::numeric_limits::epsilon(); // percent - requied by OSX const double K = 100.0; // Strike price const auto S = make_fvar(105); // Stock price. const auto sigma = make_fvar(5); // Volatility. const auto tau = make_fvar(T(30.0)/365); // Time to expiration in years. (30 days). const auto r = make_fvar(T(1.25)/100); // Interest rate. const auto call_price = black_scholes_option_price(call, K, S, sigma, tau, r); const auto put_price = black_scholes_option_price(put, K, S, sigma, tau, r); // Compare automatically calculated greeks by autodiff with formulas for greeks. // https://en.wikipedia.org/wiki/Greeks_(finance)#Formulas_for_European_option_Greeks const T d1 = static_cast((log(S/K) + (r+sigma*sigma/2)*tau) / (sigma*sqrt(tau))); const T d2 = static_cast((log(S/K) + (r-sigma*sigma/2)*tau) / (sigma*sqrt(tau))); const T Phi_pd1 = Phi(d1); // intermediate cpp_dec_float calculation can't go to template function as it can't be implicitly cast back to T. const T Phi_nd1 = Phi(static_cast(-d1)); const T Phi_pd2 = Phi(d2); const T Phi_nd2 = Phi(static_cast(-d2)); //const T formula_call_delta = +Phi(+d1); const T formula_call_delta = +Phi_pd1; //const T formula_put_delta = -Phi(-d1); const T formula_put_delta = -Phi_nd1; const T formula_vega = static_cast(S*phi(d1)*sqrt(tau)); //const T formula_call_theta = static_cast(-S*phi(d1)*sigma/(2*sqrt(tau))-r*K*exp(-r*tau)*Phi(+d2)); const T formula_call_theta = static_cast(-S*phi(d1)*sigma/(2*sqrt(tau))-r*K*exp(-r*tau)*Phi_pd2); //const T formula_put_theta = static_cast(-S*phi(d1)*sigma/(2*sqrt(tau))+r*K*exp(-r*tau)*Phi(-d2)); const T formula_put_theta = static_cast(-S*phi(d1)*sigma/(2*sqrt(tau))+r*K*exp(-r*tau)*Phi_nd2); //const T formula_call_rho = static_cast(+K*tau*exp(-r*tau)*Phi(+d2)); const T formula_call_rho = static_cast(+K*tau*exp(-r*tau)*Phi_pd2); //const T formula_put_rho = static_cast(-K*tau*exp(-r*tau)*Phi(-d2)); const T formula_put_rho = static_cast(-K*tau*exp(-r*tau)*Phi_nd2); const T formula_gamma = static_cast(phi(d1)/(S*sigma*sqrt(tau))); const T formula_vanna = static_cast(-phi(d1)*d2/sigma); const T formula_charm = static_cast(phi(d1)*(d2*sigma*sqrt(tau)-2*r*tau)/(2*tau*sigma*sqrt(tau))); const T formula_vomma = static_cast(S*phi(d1)*sqrt(tau)*d1*d2/sigma); const T formula_veta = static_cast(-S*phi(d1)*sqrt(tau)*(r*d1/(sigma*sqrt(tau))-(1+d1*d2)/(2*tau))); const T formula_speed = static_cast(-phi(d1)*(d1/(sigma*sqrt(tau))+1)/(S*S*sigma*sqrt(tau))); const T formula_zomma = static_cast(phi(d1)*(d1*d2-1)/(S*sigma*sigma*sqrt(tau))); const T formula_color = static_cast(-phi(d1)/(2*S*tau*sigma*sqrt(tau))*(1+(2*r*tau-d2*sigma*sqrt(tau))*d1/(sigma*sqrt(tau)))); const T formula_ultima = -formula_vega*static_cast((d1*d2*(1-d1*d2)+d1*d1+d2*d2)/(sigma*sigma)); BOOST_REQUIRE_CLOSE( call_price.derivative(1,0,0,0), formula_call_delta, eps); BOOST_REQUIRE_CLOSE( call_price.derivative(0,1,0,0), formula_vega, eps); BOOST_REQUIRE_CLOSE(-call_price.derivative(0,0,1,0), formula_call_theta, eps); // minus sign from tau = T-time BOOST_REQUIRE_CLOSE( call_price.derivative(0,0,0,1), formula_call_rho, eps); BOOST_REQUIRE_CLOSE( put_price.derivative(1,0,0,0), formula_put_delta, eps); BOOST_REQUIRE_CLOSE( put_price.derivative(0,1,0,0), formula_vega, eps); BOOST_REQUIRE_CLOSE( -put_price.derivative(0,0,1,0), formula_put_theta, eps); BOOST_REQUIRE_CLOSE( put_price.derivative(0,0,0,1), formula_put_rho, eps); BOOST_REQUIRE_CLOSE( call_price.derivative(2,0,0,0), formula_gamma, eps); BOOST_REQUIRE_CLOSE( put_price.derivative(2,0,0,0), formula_gamma, eps); BOOST_REQUIRE_CLOSE( call_price.derivative(1,1,0,0), formula_vanna, eps); BOOST_REQUIRE_CLOSE( put_price.derivative(1,1,0,0), formula_vanna, eps); BOOST_REQUIRE_CLOSE(-call_price.derivative(1,0,1,0), formula_charm, eps); BOOST_REQUIRE_CLOSE( -put_price.derivative(1,0,1,0), formula_charm, eps); BOOST_REQUIRE_CLOSE( call_price.derivative(0,2,0,0), formula_vomma, eps); BOOST_REQUIRE_CLOSE( put_price.derivative(0,2,0,0), formula_vomma, eps); BOOST_REQUIRE_CLOSE( call_price.derivative(0,1,1,0), formula_veta, eps); BOOST_REQUIRE_CLOSE( put_price.derivative(0,1,1,0), formula_veta, eps); BOOST_REQUIRE_CLOSE( call_price.derivative(3,0,0,0), formula_speed, eps); BOOST_REQUIRE_CLOSE( put_price.derivative(3,0,0,0), formula_speed, eps); BOOST_REQUIRE_CLOSE( call_price.derivative(2,1,0,0), formula_zomma, eps); BOOST_REQUIRE_CLOSE( put_price.derivative(2,1,0,0), formula_zomma, eps); BOOST_REQUIRE_CLOSE( call_price.derivative(2,0,1,0), formula_color, eps); BOOST_REQUIRE_CLOSE( put_price.derivative(2,0,1,0), formula_color, eps); BOOST_REQUIRE_CLOSE( call_price.derivative(0,3,0,0), formula_ultima, eps); BOOST_REQUIRE_CLOSE( put_price.derivative(0,3,0,0), formula_ultima, eps); } }; BOOST_AUTO_TEST_CASE(black_scholes) { boost::fusion::for_each(bin_float_types, black_scholes_test()); } /* // Compilation tests for boost special functions. struct boost_special_functions_test { template void operator()(const T&) const { using namespace boost; constexpr int m = 3; BOOST_REQUIRE(math::acosh(make_fvar(1.5)) == math::acosh(static_cast(1.5))); // Policy parameter prevents proper ADL for autodiff_fvar objects. E.g. iround(v,pol) instead of iround(v). // In cyl_bessel_j_imp() call is made to iround(v, pol) with v of type autodiff_fvar. It it were just iround(v) // then autodiff's iround would properly be called via ADL. //BOOST_REQUIRE(math::airy_ai(make_fvar(1)) == math::airy_ai(static_cast(1))); //BOOST_REQUIRE(math::airy_bi(make_fvar(1)) == math::airy_bi(static_cast(1))); //BOOST_REQUIRE(math::airy_ai_prime(make_fvar(1)) == math::airy_ai_prime(static_cast(1))); //BOOST_REQUIRE(math::airy_bi_prime(make_fvar(1)) == math::airy_bi_prime(static_cast(1))); BOOST_REQUIRE(math::asinh(make_fvar(0.5)) == math::asinh(static_cast(0.5))); BOOST_REQUIRE(math::atanh(make_fvar(0.5)) == math::atanh(static_cast(0.5))); // Policy parameter prevents ADL. //BOOST_REQUIRE(math::cyl_bessel_j(0,make_fvar(0.5)) == math::cyl_bessel_j(0,static_cast(0.5))); //BOOST_REQUIRE(math::cyl_neumann(0,make_fvar(0.5)) == math::cyl_neumann(0,static_cast(0.5))); //BOOST_REQUIRE(math::cyl_bessel_j_zero(make_fvar(0.5),0) == math::cyl_bessel_j_zero(static_cast(0.5),0)); //BOOST_REQUIRE(math::cyl_neumann_zero(make_fvar(0.5),0) == math::cyl_neumann_zero(static_cast(0.5),0)); // Required sinh() (added) but then has policy parameter ADL issue. //BOOST_REQUIRE(math::cyl_bessel_i(0,make_fvar(0.5)) == math::cyl_bessel_i(0,static_cast(0.5))); BOOST_REQUIRE(math::cyl_bessel_k(0,make_fvar(0.5)) == math::cyl_bessel_k(0,static_cast(0.5))); // Policy parameter prevents ADL. //BOOST_REQUIRE(math::sph_bessel(0,make_fvar(0.5)) == math::sph_bessel(0,static_cast(0.5))); // Required fmod() but then has policy parameter ADL issue. //BOOST_REQUIRE(math::sph_neumann(0,make_fvar(0.5)) == math::sph_neumann(0,static_cast(0.5))); // Policy parameter prevents ADL. //BOOST_REQUIRE(math::cyl_bessel_j_prime(0,make_fvar(0.5)) == math::cyl_bessel_j_prime(0,static_cast(0.5))); //BOOST_REQUIRE(math::cyl_neumann_prime(0,make_fvar(0.5)) == math::cyl_neumann_prime(0,static_cast(0.5))); //BOOST_REQUIRE(math::cyl_bessel_i_prime(0,make_fvar(0.5)) == math::cyl_bessel_i_prime(0,static_cast(0.5))); BOOST_REQUIRE(math::cyl_bessel_k_prime(0,make_fvar(0.5)) == math::cyl_bessel_k_prime(0,static_cast(0.5))); // Policy parameter prevents ADL. //BOOST_REQUIRE(math::sph_bessel_prime(0,make_fvar(0.5)) == math::sph_bessel_prime(0,static_cast(0.5))); //BOOST_REQUIRE(math::sph_neumann_prime(0,make_fvar(0.5)) == math::sph_neumann_prime(0,static_cast(0.5))); // Per docs: "the functions can only be instantiated on types float, double and long double." //BOOST_REQUIRE(math::cyl_hankel_1(0,make_fvar(0.5)).real() == math::cyl_hankel_1(0,static_cast(0.5)).real()); //BOOST_REQUIRE(math::cyl_hankel_2(0,make_fvar(0.5)).real() == math::cyl_hankel_2(0,static_cast(0.5)).real()); //BOOST_REQUIRE(math::sph_hankel_1(0,make_fvar(0.5)).real() == math::sph_hankel_1(0,static_cast(0.5)).real()); //BOOST_REQUIRE(math::sph_hankel_2(0,make_fvar(0.5)).real() == math::sph_hankel_2(0,static_cast(0.5)).real()); // Compiles, but compares 0.74868571757768376251 == 0.74868571757768354047 which is false. // BOOST_REQUIRE(static_cast(math::beta(make_fvar(1.1),make_fvar(1.2))) == static_cast(math::beta(static_cast(1.1),static_cast(1.2)))); // Skipped other beta functions. std::cout.precision(20); // Compiles, but compares 0.7937005259840996807 == 0.79370052598409979172 which is false. //BOOST_REQUIRE(math::cbrt(make_fvar(0.5)) == math::cbrt(static_cast(0.5))); //Skipping other Basic Functions BOOST_REQUIRE(math::chebyshev_next(make_fvar(0.5),make_fvar(0.5),make_fvar(0.5)) == math::chebyshev_next(static_cast(0.5),static_cast(0.5),static_cast(0.5))); // Requires acosh() (added) BOOST_REQUIRE(math::chebyshev_t(0,make_fvar(0.5)) == math::chebyshev_t(0,static_cast(0.5))); BOOST_REQUIRE(math::chebyshev_u(0,make_fvar(0.5)) == math::chebyshev_u(0,static_cast(0.5))); BOOST_REQUIRE(math::chebyshev_t_prime(0,make_fvar(0.5)) == math::chebyshev_t_prime(0,static_cast(0.5))); { std::array c{14.2, -13.7, 82.3, 96}; // /usr/include/boost/math/special_functions/chebyshev.hpp:164:40: error: cannot convert ‘boost::math::differentiation::autodiff_v1::detail::fvar’ to ‘double’ in return //BOOST_REQUIRE(math::chebyshev_clenshaw_recurrence(c.data(),c.size(),make_fvar(0.5)) == math::chebyshev_clenshaw_recurrence(c.data(),c.size(),static_cast(0.5))); } // TODO Continue alphabetically through } }; BOOST_AUTO_TEST_CASE(boost_special_functions) { boost_special_functions_test()(static_cast(0)); //boost::fusion::for_each(bin_float_types, boost_special_functions_test()); //boost::fusion::for_each(multiprecision_float_types, boost_special_functions_test()); } */ BOOST_AUTO_TEST_SUITE_END()