diff options
Diffstat (limited to 'python/tests/test_swaption.py')
| -rw-r--r-- | python/tests/test_swaption.py | 11 |
1 files changed, 10 insertions, 1 deletions
diff --git a/python/tests/test_swaption.py b/python/tests/test_swaption.py index bccab8de..33ac81aa 100644 --- a/python/tests/test_swaption.py +++ b/python/tests/test_swaption.py @@ -20,7 +20,7 @@ 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 * (payer.forward_pv(self.exercise_date) - + df * (payer.forward_pv - g(self.index, self.strike, self.exercise_date, payer._forward_yc))) def test_inheritance(self): payer = Swaption(self.index, self.exercise_date, self.strike) @@ -37,5 +37,14 @@ class TestPutCallParity(unittest.TestCase): df * (self.index.forward_pv(self.exercise_date)/self.index.notional - g(self.index, self.strike, self.exercise_date, payer._forward_yc))) + def test_calibration(self): + payer = Swaption(self.index, self.exercise_date, self.strike) + payer.sigma = 0.2 + pv = 30 * 1e-4 + payer.pv = pv + self.assertAlmostEqual(payer.pv, payer.pv) + self.assertAlmostEqual(payer.sigma, 0.3756828) + + if __name__=="__main__": unittest.main() |