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| -rw-r--r-- | python/tests/test_yieldcurve.py | 40 |
1 files changed, 40 insertions, 0 deletions
diff --git a/python/tests/test_yieldcurve.py b/python/tests/test_yieldcurve.py new file mode 100644 index 00000000..95cde25d --- /dev/null +++ b/python/tests/test_yieldcurve.py @@ -0,0 +1,40 @@ +import unittest +from quantlib.time.api import ( + Date, Period, Quarterly, Schedule, CDS, WeekendsOnly, + Following, Unadjusted) +from quantlib.settings import Settings +import sys +sys.path.append('..') +from yieldcurve import YC + +def assertListAlmostEqual(self, list1, list2, tol): + self.assertEqual(len(list1), len(list2)) + for a, b in zip(list1, list2): + self.assertAlmostEqual(a, b, tol) + +class TestYieldCurve(unittest.TestCase): + + def assertListAlmostEqual(self, list1, list2): + self.assertEqual(len(list1), len(list2)) + for a, b in zip(list1, list2): + self.assertAlmostEqual(a, b) + + def test_bloomberg(self): + discounts = [0.99848606, 0.99548212, 0.99167201, 0.98772518, + 0.98629694, 0.98509013, 0.98389804, 0.98268094, + 0.97993369, 0.97709955, 0.97430462, 0.97145583, + 0.96827211, 0.9651054, 0.96194904, 0.95869946, + 0.95499459, 0.95125679, 0.94753361, 0.94382501] + settings = Settings() + settings.evaluation_date = Date(23, 6, 2016) + curve = YC() + term_date = Date(20, 6, 2021) + cds_schedule = Schedule(settings.evaluation_date, term_date, Period(Quarterly), + WeekendsOnly(), Following, Unadjusted, CDS) + curve_df = [curve.discount(d) for d in cds_schedule[1:-1]] + #last date is term_date+1 + curve_df.append(curve.discount(term_date+1)) + self.assertListAlmostEqual(discounts, curve_df) + +if __name__=="__main__": + unittest.main() |