diff options
| -rw-r--r-- | python/analytics/utils.py | 2 | ||||
| -rw-r--r-- | python/tests/test_dates.py | 5 |
2 files changed, 6 insertions, 1 deletions
diff --git a/python/analytics/utils.py b/python/analytics/utils.py index daf93967..edd05284 100644 --- a/python/analytics/utils.py +++ b/python/analytics/utils.py @@ -30,7 +30,7 @@ def next_twentieth(d): def roll_date(d, tenor, nd_array=False): """ roll date d to the next CDS maturity""" - cutoff = pd.Timestamp('2015-12-20') + cutoff = pd.Timestamp('2015-09-20') def kwargs(t): if abs(t) == 0.5: return {'months': int(12 * t)} diff --git a/python/tests/test_dates.py b/python/tests/test_dates.py index 860d9426..bebe4641 100644 --- a/python/tests/test_dates.py +++ b/python/tests/test_dates.py @@ -48,6 +48,11 @@ class TestEndDate(unittest.TestCase): datetime.date(2020, 3, 20)) self.assertEqual(roll_date(datetime.date(2015, 3, 20), 5), datetime.date(2020, 6, 20)) + self.assertEqual(roll_date(datetime.date(2015, 12, 19), 5), + datetime.date(2020, 12, 20)) + self.assertEqual(roll_date(datetime.date(2015, 12, 20), 5), + datetime.date(2020, 12, 20)) + datetime.date(2020, 12, 20)) if __name__=="__main__": unittest.main() |