1 files changed, 40 insertions, 0 deletions
diff --git a/python/tests/test_yieldcurve.py b/python/tests/test_yieldcurve.py
new file mode 100644
index 00000000..95cde25d
--- /dev/null
+++ b/python/tests/test_yieldcurve.py
@@ -0,0 +1,40 @@
+import unittest
+from quantlib.time.api import (
+    Date, Period, Quarterly, Schedule, CDS, WeekendsOnly,
+    Following, Unadjusted)
+from quantlib.settings import Settings
+import sys
+sys.path.append('..')
+from yieldcurve import YC
+
+def assertListAlmostEqual(self, list1, list2, tol):
+    self.assertEqual(len(list1), len(list2))
+    for a, b in zip(list1, list2):
+         self.assertAlmostEqual(a, b, tol)
+
+class TestYieldCurve(unittest.TestCase):
+
+    def assertListAlmostEqual(self, list1, list2):
+        self.assertEqual(len(list1), len(list2))
+        for a, b in zip(list1, list2):
+            self.assertAlmostEqual(a, b)
+
+    def test_bloomberg(self):
+        discounts = [0.99848606, 0.99548212, 0.99167201, 0.98772518,
+                     0.98629694, 0.98509013, 0.98389804, 0.98268094,
+                     0.97993369, 0.97709955, 0.97430462, 0.97145583,
+                     0.96827211, 0.9651054, 0.96194904, 0.95869946,
+                     0.95499459, 0.95125679, 0.94753361, 0.94382501]
+        settings = Settings()
+        settings.evaluation_date = Date(23, 6, 2016)
+        curve = YC()
+        term_date = Date(20, 6, 2021)
+        cds_schedule = Schedule(settings.evaluation_date, term_date, Period(Quarterly),
+                                WeekendsOnly(), Following, Unadjusted, CDS)
+        curve_df = [curve.discount(d) for d in cds_schedule[1:-1]]
+        #last date is term_date+1
+        curve_df.append(curve.discount(term_date+1))
+        self.assertListAlmostEqual(discounts, curve_df)
+
+if __name__=="__main__":
+    unittest.main()