diff options
Diffstat (limited to 'python/tests/test_swaption.py')
| -rw-r--r-- | python/tests/test_swaption.py | 7 |
1 files changed, 6 insertions, 1 deletions
diff --git a/python/tests/test_swaption.py b/python/tests/test_swaption.py index c3b008c6..bccab8de 100644 --- a/python/tests/test_swaption.py +++ b/python/tests/test_swaption.py @@ -20,8 +20,13 @@ class TestPutCallParity(unittest.TestCase): receiver.sigma = 0.416 df = self.index._yc.discount_factor(payer.exercise_date_settle) self.assertAlmostEqual(payer.pv - receiver.pv, - df * (self.index.forward_pv(self.exercise_date)/self.index.notional - + df * (payer.forward_pv(self.exercise_date) - g(self.index, self.strike, self.exercise_date, payer._forward_yc))) + def test_inheritance(self): + payer = Swaption(self.index, self.exercise_date, self.strike) + self.assertEqual(payer.forward_pv, + self.index.forward_pv(self.exercise_date)/self.index.notional) + def test_parity_pvblack(self): payer = Swaption(self.index, self.exercise_date, self.strike) receiver = Swaption(self.index, self.exercise_date, self.strike, "receiver") |