diff options
Diffstat (limited to 'python/tests')
| -rw-r--r-- | python/tests/test_scenarios.py | 9 |
1 files changed, 2 insertions, 7 deletions
diff --git a/python/tests/test_scenarios.py b/python/tests/test_scenarios.py index c22c8be3..6536c97e 100644 --- a/python/tests/test_scenarios.py +++ b/python/tests/test_scenarios.py @@ -12,7 +12,7 @@ class TestSenarios(unittest.TestCase): option_delta = CreditIndex.from_tradeid(874) option1 = BlackSwaption.from_tradeid(7, option_delta) option2 = BlackSwaption.from_tradeid(8, option_delta) - portf = Portfolio([option1, option2, option_delta]) + portf = Portfolio([option1, option2, option_delta], trade_ids=['opt1', 'opt2', 'delta']) date_range = pd.bdate_range(option_delta.value_date, pd.Timestamp('2017-05-17') - BDay(), freq='5B') @@ -26,21 +26,16 @@ class TestSenarios(unittest.TestCase): spread_shock=spread_shock, vol_shock=vol_shock, vol_surface=vol_surface) - df = df.set_index(['spread', 'vol_shock'], append=True) - df1 = run_swaption_scenarios(self.option1, self.date_range, spread_shock, vol_shock, vol_surface, ["pnl"]) df2 = run_swaption_scenarios(self.option2, self.date_range, spread_shock, vol_shock, vol_surface, ["pnl"]) df_index = run_index_scenarios(self.option_delta, self.date_range, spread_shock) - df1 = df1.set_index(['spread', 'vol_shock'], append=True) - df2 = df2.set_index(['spread', 'vol_shock'], append=True) - df_index = df_index.set_index(['spread'], append=True) df_swaptions = df1 + df2 df_swaptions = df_swaptions.reset_index(level='vol_shock') df_orig = df_index.add(df_swaptions, fill_value=0) df_orig = df_orig.set_index('vol_shock', append=True) - self.assertFalse(np.any((df-df_orig).values)) + self.assertFalse(np.any((df.sum(axis=1).values-df_orig['pnl'].values))) if __name__ == "__main__": unittest.main() |