diff options
| -rw-r--r-- | python/tests/test_index.py | 11 | ||||
| -rw-r--r-- | python/tests/test_yieldcurve.py | 7 |
2 files changed, 14 insertions, 4 deletions
diff --git a/python/tests/test_index.py b/python/tests/test_index.py index d2b39dd2..5e09fe12 100644 --- a/python/tests/test_index.py +++ b/python/tests/test_index.py @@ -90,13 +90,18 @@ class TestForwardIndex(unittest.TestCase): class TestIndexTrade(unittest.TestCase): def test_traded_level(self): trade = CreditIndex.from_tradeid(3436) - dawndb = dbconn("dawndb") - with dawndb.cursor() as c: + with trade._trade_conn.cursor() as c: c.execute("SELECT traded_level FROM cds WHERE id=%s", (3436,)) (spread,) = c.fetchone() - dawndb.commit() self.assertAlmostEqual(trade.spread, float(spread)) + def test_sofr_trade(self): + trade = CreditIndex.from_tradeid(3672) + with trade._trade_conn.cursor() as c: + c.execute("SELECT traded_level FROM cds WHERE id=%s", (3672,)) + (spread,) = c.fetchone() + self.assertAlmostEqual(trade.spread, float(spread), 6) + if __name__ == "__main__": unittest.main() diff --git a/python/tests/test_yieldcurve.py b/python/tests/test_yieldcurve.py index 2160bbfe..d14d6d4d 100644 --- a/python/tests/test_yieldcurve.py +++ b/python/tests/test_yieldcurve.py @@ -10,7 +10,7 @@ from quantlib.time.api import ( Unadjusted, ) from quantlib.settings import Settings -from serenitas.analytics.yieldcurve import YC, USDMarkitYieldCurve +from serenitas.analytics.yieldcurve import YC, USDMarkitYieldCurve, ql_to_jp import datetime @@ -68,6 +68,11 @@ 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_sofr_curve(self): + yc = YC(evaluation_date=datetime.date(2022, 5, 9), curve_type="OIS") + jp_yc = ql_to_jp(yc) + self.assertEqual(hash(jp_yc), -715350334549909076) + if __name__ == "__main__": unittest.main() |