1 files changed, 46 insertions, 0 deletions
diff --git a/R/test.cds_functions.R b/R/test.cds_functions.R
new file mode 100644
index 00000000..c30651ba
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+++ b/R/test.cds_functions.R
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+library("RUnit")
+root = "//WDSENTINEL/share/CorpCDOs/R"
+source(file.path(root, "yieldCurve.R"))
+source(file.path(root, "cds_functions.R"))
+
+#unit tests
+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))
+dpc <- new("defaultprepaycurve", dates=cs$dates, hazardrates=h)
+eps <- 1e-6
+test.flat <- function() {
+    checkEquals(contingentleg.flat(cs, 0.05, 0.7), contingentleg(cs, dpc, 0.7))
+}
+#test derivative of the flat version
+test.derivativeflat <- function() {
+    checkEquals((contingentleg.flat(cs, 0.05+eps, 0.7)-contingentleg.flat(cs, 0.05-eps,0.7))/(2*eps),
+                dcontingentleg.flat(cs, 0.05, 0.7))
+}
+#test derivative of the curved version
+hvec <- c(rep(0.05,5), rep(0.07, 10))
+hvecplus <- c(rep(0.05,5), rep(0.07 + eps,10))
+hvecminus <- c(rep(0.05, 5), rep(0.07 - eps,10))
+index <- c(rep(0,5), rep(1,10))
+dpc <- new("defaultprepaycurve", dates=cs$dates, hazardrates=hvec)
+dpcplus <- new("defaultprepaycurve", dates=cs$dates, hazardrates=hvecplus)
+dpcminus <- new("defaultprepaycurve", dates=cs$dates, hazardrates=hvecminus)
+
+test.derivativecurve <- function() {
+    checkEquals((contingentleg(cs, dpcplus, 0.7) - contingentleg(cs, dpcminus, 0.7))/(2*eps),
+                dcontingentleg(cs, dpc, 0.7, index))
+}
+## test that the prepay version with 0 prepay is the same as the curved version
+dpc <- new("defaultprepaycurve", dates=cs$dates, hazardrates=hvec, prepayrates=rep(0,nrow(cs)))
+test.prepay <- function() {
+    checkEquals(contingentleg(cs, dpc, 0.7),
+                contingentleg.prepay(cs, dpc, 0.7))
+}
+## test derivative of prepay version
+dpcplus <- new("defaultprepaycurve", dates=cs$dates, hazardrates=hvecplus, prepayrates=k(hvecplus))
+dpcminus <- new("defaultprepaycurve", dates=cs$dates, hazardrates=hvecminus, prepayrates=k(hvecminus))
+dpc <- new("defaultprepaycurve", dates=cs$dates, hazardrates=hvec, prepayrates=k(hvec))
+(contingentleg.prepay(cs, dpcplus, 0.7)-contingentleg.prepay(cs, dpcminus, 0.7))/(2*bps)
+dcontingentleg.prepay(cs, dpc, 0.7, index, 15)
+(couponleg.prepay(cs, dpcplus)-couponleg.prepay(cs, dpcminus, 0.7))/(2*bps)
+dcouponleg.prepay(cs, dpc, index, 15)