diff options
| -rw-r--r-- | python/tests/test_yieldcurve.py | 14 |
1 files changed, 13 insertions, 1 deletions
diff --git a/python/tests/test_yieldcurve.py b/python/tests/test_yieldcurve.py index 1331beee..b83616f9 100644 --- a/python/tests/test_yieldcurve.py +++ b/python/tests/test_yieldcurve.py @@ -10,7 +10,12 @@ from quantlib.time.api import ( Unadjusted, ) from quantlib.settings import Settings -from serenitas.analytics.yieldcurve import YC, USDMarkitYieldCurve, ql_to_jp +from serenitas.analytics.yieldcurve import ( + YC, + USDMarkitYieldCurve, + USDIsdaYieldCurve, + ql_to_jp, +) import datetime @@ -68,6 +73,13 @@ class TestYieldCurve(unittest.TestCase): for d, df in zip(old_curve.dates, old_curve.data): self.assertEqual(df, new_curve._yc.discount(d)) + def test_ois_yieldcurve(self): + evaluation_date = datetime.date(2023, 6, 20) + old_curve = YC(evaluation_date=evaluation_date, curve_type="OIS") + new_curve = USDIsdaYieldCurve(evaluation_date) + for d, df in zip(old_curve.dates, old_curve.data): + self.assertEqual(df, new_curve._yc.discount(d)) + def test_sofr_curve(self): yc = YC(evaluation_date=datetime.date(2022, 5, 9), curve_type="OIS") jp_yc = ql_to_jp(yc) |