diff options
Diffstat (limited to 'python/tests/test_index.py')
| -rw-r--r-- | python/tests/test_index.py | 22 |
1 files changed, 11 insertions, 11 deletions
diff --git a/python/tests/test_index.py b/python/tests/test_index.py index edf15a4c..59dbfe88 100644 --- a/python/tests/test_index.py +++ b/python/tests/test_index.py @@ -11,7 +11,7 @@ import pickle class TestPickle(unittest.TestCase): index = Index.from_name("ig", 26, "5yr", - trade_date=datetime.date(2016, 7, 1)) + value_date=datetime.date(2016, 7, 1)) index.notional = 50e6 index.spread = 75 @@ -21,29 +21,29 @@ class TestPickle(unittest.TestCase): class TestStrike(unittest.TestCase): index = Index.from_name("ig", 26, "5yr", - trade_date = datetime.date(2016, 7, 1)) - index.notional = 50e6 + value_date=datetime.date(2016, 7, 1)) + index.notional = 50_000_000. index.spread = 75 exercise_date = datetime.date(2016, 8, 19) def test_pv(self): self.assertAlmostEqual(self.index.clean_pv, - g(self.index, self.index.spread, self.index.trade_date) * + g(self.index, self.index.spread, self.index.value_date) * self.index.notional) def test_strike(self): """strike price equals clean_pv using expected forward yield curve""" strike = g(self.index, self.index.spread, self.exercise_date) * self.index.notional old_yc = self.index._yc - self.index.trade_date = self.exercise_date + self.index.value_date = self.exercise_date self.index._yc = old_yc.expected_forward_curve(self.exercise_date) self.index._update() self.assertAlmostEqual(self.index.clean_pv, strike) def test_strike_vec(self): - self.index.trade_date = datetime.date(2016, 8, 19) - r = pv_vec(np.array([70, 75])*1e-4, self.index._yc, self.index.trade_date, - self.index._value_date, self.index.start_date, self.index.end_date, + self.index.value_date = datetime.date(2016, 8, 19) + r = pv_vec(np.array([70, 75])*1e-4, self.index._yc, self.index.value_date, + self.index._cash_settle_date, self.index.start_date, self.index.end_date, self.index.recovery, self.index.fixed_rate * 1e-4) self.index.notional = 1 self.index.spread = 70 @@ -57,8 +57,8 @@ class TestStrike(unittest.TestCase): class TestForwardIndex(unittest.TestCase): index = Index.from_name("ig", 26, "5yr", - trade_date = datetime.date(2016, 7, 1)) - index.notional = 50e6 + value_date=datetime.date(2016, 7, 1)) + index.notional = 50_000_000. index.spread = 75 exercise_date = datetime.date(2016, 8, 19) fi = ForwardIndex(index, exercise_date) @@ -71,7 +71,7 @@ class TestForwardIndex(unittest.TestCase): def test_forward_pv(self): """default adjusted forward price for trade_date equals clean pv""" - fi = ForwardIndex(self.index, self.index.trade_date) + fi = ForwardIndex(self.index, self.index.value_date) self.assertAlmostEqual(fi.forward_pv, self.index.clean_pv / self.index.notional) if __name__=="__main__": |