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-rw-r--r--R/tests/test.cds_functions.R6
-rw-r--r--R/tests/test_yieldcurve.R146
2 files changed, 54 insertions, 98 deletions
diff --git a/R/tests/test.cds_functions.R b/R/tests/test.cds_functions.R
index c30651ba..1d17ae21 100644
--- a/R/tests/test.cds_functions.R
+++ b/R/tests/test.cds_functions.R
@@ -1,9 +1,11 @@
library("RUnit")
-root = "//WDSENTINEL/share/CorpCDOs/R"
+root <- "/home/share/CorpCDOs/code/R"
source(file.path(root, "yieldCurve.R"))
-source(file.path(root, "cds_functions.R"))
+source(file.path(root, "cds_functions_generic.R"), chdir = T)
#unit tests
+trade_date <- as.Date("2012-09-28")
+exportYC(trade_date)
cs <- couponSchedule(as.Date("2012-09-28"), as.Date("2016-04-22"),"Q", "FLOAT", 0.075,0.0703)
#test that the curve version gives the same result as the flat version for flat curves
h <- rep(0.05, nrow(cs))
diff --git a/R/tests/test_yieldcurve.R b/R/tests/test_yieldcurve.R
index 97a4e95c..e96e5596 100644
--- a/R/tests/test_yieldcurve.R
+++ b/R/tests/test_yieldcurve.R
@@ -1,99 +1,53 @@
-library(RQuantLib)
+root.dir <- "/home/share/CorpCDOs"
+source(file.path(root.dir, "code", "R", "yieldcurve.R"))
+bbg.discounts.usd <- c(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)
-data.dir <- "."
+tradedate <- as.Date("2016-06-23")
+sched.params <- list(effectiveDate = tradedate,
+ maturityDate = as.Date("2021-06-20"),
+ period = "Quarterly",
+ calendar = "WeekendsOnly",
+ businessDayConvention = "Following",
+ terminationDateConvention = "Following",
+ dateGeneration = "CDS")
-getMarkitIRData <- function(date=Sys.Date(), currency="USD") {
- ## downloads the latest available interest rates data from Markit
- ## before date and returns the parsed file into a list
- require(xml2)
- i <- 0
- while( TRUE ) {
- lastdate <- format(date-i, "%Y%m%d")
- filename <- paste("InterestRates", currency, lastdate, sep="_")
- filename.ext <- paste0(filename, ".xml")
- if( filename.ext %in% dir(file.path(data.dir, "Yield Curves"))){
- return( as_list(read_xml(file.path(data.dir, "Yield Curves", filename.ext))) )
- }else{
- temp <- tempfile(tmpdir = file.path(data.dir, "Yield Curves"))
- download.file(paste0("http://www.markit.com/news/", filename, ".zip"), temp, quiet=T)
- con <- file(temp, "r")
- firstline <- readLines(con, 1, warn=FALSE)
- ## Markit returns a plain text file if there is no data.
- if(firstline == "Interest Rates not available, please check date entered") {
- i <- i + 1
- close(con)
- unlink(temp)
- } else {
- cat("downloaded data for:", lastdate,"\n")
- close(con)
- ## we unzip it
- unzip(temp, exdir = file.path(data.dir, "Yield Curves"))
- unlink(temp)
- return( as_list(read_xml(file.path(data.dir, "Yield Curves", filename.ext))) )
- }
- }
- }
- return( as_list(read_xml(paste(filename,".xml", sep=""))) )
-}
+sched <- Schedule(sched.params)
+ir_data <- getMarkitIRData(tradedate)
+quotes <- buildMarkitYC(ir_data)
+settings <- Settings$new()
+settings$EvaluationDate <- tradedate
+setCalendarContext(calendar="WeekendsOnly", fixingDays=2,
+ settleDate=tradedate)
+legparams <- list(fixFreq="Semiannual",
+ floatFreq="Quarterly",
+ dayCounter="Thirty360")
+calendar <- Calendar$new("WeekendsOnly")
+dc <- DayCounter$new("Actual365Fixed")
+yc <- YieldTermStructure$new("discount", "loglinear", 0, calendar, dc, quotes, legparams)
+test_that("matches bloomberg USD discounts",
+ expect_equal(yc$discount(sched[-1]), bbg.discounts.usd))
-buildMarkitYC <- function(MarkitData, currency=c("USD", "EUR")){
- deposits <- list()
- swaps <- list()
- keys <- unlist(lapply(MarkitData$deposits[5:length(MarkitData$deposits)],
- function(x)paste0("d",tolower(x$tenor))), use.names=FALSE)
- for(i in seq_along(keys)){
- deposits[[keys[i]]] <- as.numeric(MarkitData$deposits[i+4]$curvepoint$parrate)
- }
- if(length(MarkitData$swaps)>8){## swaps quotes probably missing
- keys <- unlist(lapply(MarkitData$swaps[8:length(MarkitData$swaps)],
- function(x) paste0("s", tolower(x$tenor))), use.names=FALSE)
- for(i in seq_along(keys)){
- swaps[[keys[i]]] <- as.numeric(MarkitData$swaps[i+7]$curvepoint$parrate)
- }
- }
- tsQuotes <- c(deposits, swaps)
- return( tsQuotes )
-}
-
-YC <- function(tradedate=Sys.Date(), currency=c("USD", "EUR"){
- ## export the Yield Curve into the environment
- MarkitData <- getMarkitIRData(tradedate-1, currency)
- evaldate <- as.Date(MarkitData$effectiveasof[[1]])
- setEvaluationDate(tradedate)
- if(evaldate!=tradedate){
- stop("wrong date")
- }
- sDate <- as.Date(MarkitData$deposits$spotdate[[1]])
- setCalendarContext(calendar="WeekendsOnly", fixingDays=2,
- settleDate=sDate)
- legparams <- switch(currency,
- USD = list(fixFreq="Semiannual",
- floatFreq="Quarterly",
- dayCounter="Thirty360"),
- EUR = list(fixFreq="Annual",
- floatFreq="Semiannual",
- dayCounter="Thirty360"))
- params <- list(tradeDate=tradedate,
- settleDate=sDate,
- interpWhat="discount",
- interpHow="loglinear")
- quotes <- buildMarkitYC(MarkitData, currency)
- return( list(params=params, tsQuotes=quotes, legparams=legparams) )
-}
-
-dates <- seq(as.Date("2013-01-01"), as.Date("2016-05-16"), by=1)
-for(curr in c("USD", "EUR")) {
- for(i in 1:length(dates)) {
- day <- dates[i]
- cal <- switch(curr,
- USD = "UnitedStates/GovernmentBond",
- EUR = "TARGET")
- calibration.date <- advance(calendar=cal, day, -1, 0)
- if(isBusinessDay(calendar=cal, day)){
- yc <- YC(calibration.date, currency=curr)
- print(day)
- test <- DiscountCurve(c(yc$params, list(dt=0.25)), yc$tsQuotes, 1, yc$legparams)
- cat(day, test$forwards, "\n")
- }
- }
-}
+bbg.discounts.eur <- c(1.00059368, 1.0009714, 1.00103266, 1.00083284, 1.00125876,
+ 1.00202315, 1.00280512, 1.00358771, 1.0040384, 1.00431052,
+ 1.00458875, 1.00486707, 1.00494726, 1.00492662, 1.0049053, 1.00488466,
+ 1.00454702, 1.00406132, 1.00357584, 1.0030906, 1.00218155)
+tradedate <- as.Date("2016-10-18")
+sched.params$maturityDate <- as.Date("2021-12-20")
+sched.params$effectiveDate <- tradedate
+sched <- Schedule(sched.params)
+ir_data <- getMarkitIRData(tradedate, "EUR")
+quotes <- buildMarkitYC(ir_data)
+settings <- Settings$new()
+settings$EvaluationDate <- tradedate
+setCalendarContext(calendar="WeekendsOnly", fixingDays=2,
+ settleDate=tradedate)
+legparams <- list(fixFreq="Annual",
+ floatFreq="Semiannual",
+ dayCounter="Thirty360")
+yc <- YieldTermStructure$new("discount", "loglinear", 0, calendar, dc, quotes, legparams)
+test_that("matches bloomberg EUR discounts",
+ expect_equal(yc$discount(sched[-1]), bbg.discounts.eur))
generated by cgit v1.2.3-70-g09d2 (git 2.52.0) at 2025-12-22 05:57:16 +0000