diff options
Diffstat (limited to 'python/tests/test_swaption.py')
| -rw-r--r-- | python/tests/test_swaption.py | 12 |
1 files changed, 6 insertions, 6 deletions
diff --git a/python/tests/test_swaption.py b/python/tests/test_swaption.py index 4cd34093..36e08b1a 100644 --- a/python/tests/test_swaption.py +++ b/python/tests/test_swaption.py @@ -39,7 +39,7 @@ class TestPutCallParity(unittest.TestCase): pv = 30 * 1e-4 payer.pv = pv self.assertAlmostEqual(payer.pv, pv) - self.assertAlmostEqual(payer.sigma, 0.3756828) + self.assertAlmostEqual(payer.sigma, 0.37648716) def test_hy(self): index = Index.from_name("hy", 27, "5yr", @@ -49,7 +49,7 @@ class TestPutCallParity(unittest.TestCase): strike = 102.5 payer = Swaption(index, exercise_date, strike) payer.pv = 1.948 * 1e-2 - self.assertAlmostEqual(payer.sigma, 0.4144886488) + self.assertAlmostEqual(payer.sigma, 0.4156000826) class TestBreakeven(unittest.TestCase): @@ -68,27 +68,27 @@ class TestBreakeven(unittest.TestCase): payer = Swaption(self.hyindex, self.exercise_date, self.hystrike) payer.sigma = .4 payer.notional = 100_000_000 - self.assertAlmostEqual(payer.breakeven, 100.66971148766) + self.assertAlmostEqual(payer.breakeven, 100.67426187413359) def test_hyreceiver(self): receiver = Swaption(self.hyindex, self.exercise_date, self.hystrike, "receiver") receiver.sigma = .4 receiver.notional = 100_000_000 - self.assertAlmostEqual(receiver.breakeven, 103.9609977905) + self.assertAlmostEqual(receiver.breakeven, 103.95644740397454) def test_igpayer(self): payer = Swaption(self.igindex, self.exercise_date, self.igstrike) payer.sigma = .4 payer.notional = 1e7 - self.assertAlmostEqual(payer.breakeven, 88.39037813) + self.assertAlmostEqual(payer.breakeven, 88.366980851176223) def test_igreceiver(self): receiver = Swaption(self.igindex, self.exercise_date, self.igstrike, "receiver") receiver.sigma = .4 receiver.notional = 1e7 - self.assertAlmostEqual(receiver.breakeven, 73.698281555) + self.assertAlmostEqual(receiver.breakeven, 73.715942707132982) if __name__=="__main__": unittest.main() |