diff options
Diffstat (limited to 'python/tests')
| -rw-r--r-- | python/tests/test_index.py | 34 |
1 files changed, 21 insertions, 13 deletions
diff --git a/python/tests/test_index.py b/python/tests/test_index.py index 6f127fcd..a4ef886a 100644 --- a/python/tests/test_index.py +++ b/python/tests/test_index.py @@ -25,27 +25,32 @@ class TestPickle(unittest.TestCase): def test_from_tradeid(self): ig28 = CreditIndex.from_tradeid(874) - self.assertTrue(ig28.spread, 68.) + self.assertTrue(ig28.spread, 68.0) class TestStrike(unittest.TestCase): index = CreditIndex("ig", 26, "5yr", value_date=datetime.date(2016, 7, 1)) - index.notional = 50_000_000. + index.notional = 50_000_000.0 index.spread = 75 exercise_date = datetime.date(2016, 8, 19) def test_pv(self): - self.assertAlmostEqual(self.index.clean_pv, - g(self.index, self.index.spread, self.index.value_date) * - self.index.notional) + self.assertAlmostEqual( + self.index.clean_pv, + g(self.index, self.index.spread, self.index.value_date) + * self.index.notional, + ) def test_strike(self): """strike price equals clean_pv using expected forward yield curve""" - strike = g(self.index, self.index.spread, self.exercise_date) * self.index.notional + strike = ( + g(self.index, self.index.spread, self.exercise_date) * self.index.notional + ) old_yc = self.index._yc self.index.value_date = self.exercise_date self.index._yc = old_yc.expected_forward_curve(self.exercise_date) - self.index._update() + self.index._update_spread_curve() + self.index._update_pvs() self.assertAlmostEqual(self.index.clean_pv, strike) def test_price_setting(self): @@ -54,23 +59,26 @@ class TestStrike(unittest.TestCase): class TestForwardIndex(unittest.TestCase): - index = CreditIndex("ig", 26, "5yr", - value_date=datetime.date(2016, 7, 1)) - index.notional = 50_000_000. + index = CreditIndex("ig", 26, "5yr", value_date=datetime.date(2016, 7, 1)) + index.notional = 50_000_000.0 index.spread = 75 exercise_date = datetime.date(2016, 8, 19) fi = ForwardIndex(index, exercise_date) def test_forward_pv(self): """default adjusted forward spread and forward annuity match""" - self.assertAlmostEqual(self.fi.forward_pv, - self.fi.forward_annuity * - (self.fi.index.fixed_rate - self.forward_spread) * 1e-4) + self.assertAlmostEqual( + self.fi.forward_pv, + self.fi.forward_annuity + * (self.fi.index.fixed_rate - self.forward_spread) + * 1e-4, + ) def test_forward_pv(self): """default adjusted forward price for trade_date equals clean pv""" fi = ForwardIndex(self.index, self.index.value_date) self.assertAlmostEqual(fi.forward_pv, self.index.clean_pv / self.index.notional) + if __name__ == "__main__": unittest.main() |