diff options
| -rw-r--r-- | python/tests/test_swaption.py | 9 |
1 files changed, 9 insertions, 0 deletions
diff --git a/python/tests/test_swaption.py b/python/tests/test_swaption.py index 33ac81aa..908fe4d2 100644 --- a/python/tests/test_swaption.py +++ b/python/tests/test_swaption.py @@ -45,6 +45,15 @@ class TestPutCallParity(unittest.TestCase): self.assertAlmostEqual(payer.pv, payer.pv) self.assertAlmostEqual(payer.sigma, 0.3756828) + def test_hy(self): + index = Index.from_name("hy", 27, "5yr", + trade_date = datetime.date(2016, 11, 8)) + index.price = 103.875 + exercise_date = datetime.date(2017, 3, 15) + strike = 102.5 + payer = Swaption(index, exercise_date, strike, strike_is_price = True) + payer.pv = 1.948 * 1e-2 + self.assertAlmostEqual(payer.sigma, 0.4144886488) if __name__=="__main__": unittest.main() |