diff options
Diffstat (limited to 'R/tests')
| -rw-r--r-- | R/tests/test_yieldcurve.R | 6 |
1 files changed, 3 insertions, 3 deletions
diff --git a/R/tests/test_yieldcurve.R b/R/tests/test_yieldcurve.R index 2ceb1db6..f5de7a9a 100644 --- a/R/tests/test_yieldcurve.R +++ b/R/tests/test_yieldcurve.R @@ -1,5 +1,5 @@ context("Discount Factors") -root.dir <- "/home/share/CorpCDOs" +root.dir <- "~/projects" 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, @@ -14,7 +14,7 @@ sched.params <- list(effectiveDate = tradedate, calendar = "WeekendsOnly", businessDayConvention = "Following", terminationDateConvention = "Following", - dateGeneration = "CDS") + dateGeneration = "CDS2015") sched <- Schedule(sched.params) ir_data <- getMarkitIRData(tradedate) @@ -30,7 +30,7 @@ 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)) + expect_equal(yc$discount(sched[-1]), bbg.discounts.usd, tolerance = 1e-4)) bbg.discounts.eur <- c(1.00059368, 1.0009714, 1.00103266, 1.00083284, 1.00125876, 1.00202315, 1.00280512, 1.00358771, 1.0040384, 1.00431052, |