diff options
Diffstat (limited to 'python/tests/test_dates.py')
| -rw-r--r-- | python/tests/test_dates.py | 14 |
1 files changed, 13 insertions, 1 deletions
diff --git a/python/tests/test_dates.py b/python/tests/test_dates.py index 0a4078ba..054a0ee1 100644 --- a/python/tests/test_dates.py +++ b/python/tests/test_dates.py @@ -6,7 +6,7 @@ import sys sys.path.append("..") from analytics.utils import roll_date -from analytics.tranche_functions import cds_accrued +from analytics.tranche_functions import cds_accrued, credit_schedule from pyisda.date import ( roll_date as roll_date_c, cds_accrued as cds_accrued_c, @@ -15,6 +15,7 @@ from pyisda.date import ( TDate_to_pydate, ) from dates import days_accrued +from yieldcurve import get_curve class TestStartDate(unittest.TestCase): @@ -173,5 +174,16 @@ class TestDaysAccrued(unittest.TestCase): self.assertEqual(days_accrued(date), days) +class TestCdsSchedule(unittest.TestCase): + def setUp(self): + self.trade_date = datetime.date(2020, 6, 19) + self.yc = get_curve(self.trade_date, "USD") + + def test_credit_schedule(self): + """ tests when IMM date falls on a week-end""" + df = credit_schedule(self.trade_date, 1.0, self.yc, datetime.date(2022, 12, 20)) + self.assertEqual(df.index[0], pd.Timestamp("2020-06-22")) + + if __name__ == "__main__": unittest.main() |