Support Diffractor tests

rcalxrc08 · Feb 14, 2024 · 10709bf · 10709bf
1 parent 254dbb4
commit 10709bf
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Showing 3 changed files with 18 additions and 2 deletions.
diff --git a/test/Project.toml b/test/Project.toml
@@ -1,14 +1,17 @@
 [deps]
+AbstractDifferentiation = "c29ec348-61ec-40c8-8164-b8c60e9d9f3d"
 Dates = "ade2ca70-3891-5945-98fb-dc099432e06a"
+Diffractor = "9f5e2b26-1114-432f-b630-d3fe2085c51c"
 DualNumbers = "fa6b7ba4-c1ee-5f82-b5fc-ecf0adba8f74"
 ForwardDiff = "f6369f11-7733-5829-9624-2563aa707210"
-ReverseDiff = "37e2e3b7-166d-5795-8a7a-e32c996b4267"
 HyperDualNumbers = "50ceba7f-c3ee-5a84-a6e8-3ad40456ec97"
+ReverseDiff = "37e2e3b7-166d-5795-8a7a-e32c996b4267"
 TaylorSeries = "6aa5eb33-94cf-58f4-a9d0-e4b2c4fc25ea"
 Test = "8dfed614-e22c-5e08-85e1-65c5234f0b40"
 Zygote = "e88e6eb3-aa80-5325-afca-941959d7151f"
 
 [compat]
+Diffractor = "0.2.4"
 DualNumbers = "0.5, 0.6"
 ForwardDiff = "0.10"
 HyperDualNumbers = "4"

diff --git a/test/runtests.jl b/test/runtests.jl
@@ -6,7 +6,7 @@ function print_colored(in::String, color1)
     end
 end
 
-test_list = ["testRealNumbers.jl", "test_implied_volatility.jl", "test_implied_volatility_black.jl", "testComplexNumbers.jl", "testForwardDiff.jl", "testReverseDiff.jl", "testDual_.jl", "testHyperDualNumbers.jl", "testDates.jl", "testTaylor.jl", "testZygote.jl"]
+test_list = ["testRealNumbers.jl", "test_implied_volatility.jl", "test_implied_volatility_black.jl", "testComplexNumbers.jl", "testForwardDiff.jl", "testReverseDiff.jl", "testDual_.jl", "testHyperDualNumbers.jl", "testDates.jl", "testTaylor.jl", "testZygote.jl", "testDiffractor.jl"]
 
 println("Running tests:\n")
 for (current_test, i) in zip(test_list, 1:length(test_list))

diff --git a/test/testDiffractor.jl b/test/testDiffractor.jl
@@ -0,0 +1,13 @@
+using FinancialToolbox, Diffractor, AbstractDifferentiation
+S0 = 100.0;
+K = 100.0;
+r = 0.02;
+T = 1.0;
+σ = 0.2;
+d = 0.01;
+price = blsprice(S0, K, r, T, σ, d);
+
+price_grad = AbstractDifferentiation.gradient(Diffractor.DiffractorForwardBackend(), x -> blsprice(x...), [S0, K, r, T, σ, d])
+price_grad_r = Diffractor.reversediff(x -> blsprice(x...), [S0, K, r, T, σ, d])
+sigma_grad = AbstractDifferentiation.gradient(Diffractor.DiffractorForwardBackend(), x -> blsimpv(x...), [S0, K, r, T, price, d])
+sigma_grad_r = Diffractor.reversediff(x -> blsimpv(x...), [S0, K, r, T, price, d])