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Diffstat (limited to 'python/tests/test_yieldcurve.py')
| -rw-r--r-- | python/tests/test_yieldcurve.py | 7 |
1 files changed, 6 insertions, 1 deletions
diff --git a/python/tests/test_yieldcurve.py b/python/tests/test_yieldcurve.py index 2160bbfe..d14d6d4d 100644 --- a/python/tests/test_yieldcurve.py +++ b/python/tests/test_yieldcurve.py @@ -10,7 +10,7 @@ from quantlib.time.api import ( Unadjusted, ) from quantlib.settings import Settings -from serenitas.analytics.yieldcurve import YC, USDMarkitYieldCurve +from serenitas.analytics.yieldcurve import YC, USDMarkitYieldCurve, ql_to_jp import datetime @@ -68,6 +68,11 @@ class TestYieldCurve(unittest.TestCase): for d, df in zip(old_curve.dates, old_curve.data): self.assertEqual(df, new_curve._yc.discount(d)) + def test_sofr_curve(self): + yc = YC(evaluation_date=datetime.date(2022, 5, 9), curve_type="OIS") + jp_yc = ql_to_jp(yc) + self.assertEqual(hash(jp_yc), -715350334549909076) + if __name__ == "__main__": unittest.main() |