diff options
Diffstat (limited to 'python/tests')
| -rw-r--r-- | python/tests/test_cms_spread.py | 11 |
1 files changed, 4 insertions, 7 deletions
diff --git a/python/tests/test_cms_spread.py b/python/tests/test_cms_spread.py index 777aee86..db1903ff 100644 --- a/python/tests/test_cms_spread.py +++ b/python/tests/test_cms_spread.py @@ -4,8 +4,6 @@ import numpy as np import unittest from serenitas.analytics.cms_spread import ( build_spread_index, - VolatilityType, - get_swaption_vol_data, get_swaption_vol_matrix, get_cms_coupons, get_params, @@ -14,6 +12,7 @@ from serenitas.analytics.cms_spread import ( h_put, CmsSpread, ) +from serenitas.utils.db import serenitas_pool from quantlib.quotes import SimpleQuote from quantlib.time.api import ( Actual365Fixed, @@ -68,10 +67,9 @@ class TestCmsSpread(unittest.TestCase): evaluation_date = datetime.date(2018, 8, 23) self.yc.link_to(YC(evaluation_date=evaluation_date, extrapolation=True)) self.yc.extrapolation = True - date, surf = get_swaption_vol_data( - date=evaluation_date, vol_type=VolatilityType.ShiftedLognormal - ) - atm_vol = get_swaption_vol_matrix(evaluation_date, surf) + conn = serenitas_pool.getconn() + atm_vol = get_swaption_vol_matrix(conn, evaluation_date) + serenitas_pool.putconn(conn) μ = SimpleQuote(0.1) self.ρ = SimpleQuote(0.8) self.cms_pricer = AnalyticHaganPricer(atm_vol, YieldCurveModel.Standard, μ) @@ -130,7 +128,6 @@ class TestCmsSpread(unittest.TestCase): def test_scipy_integrate(self): x, w = roots_hermitenorm(20) val_call = np.dot(w, h_call(x, self.cap, *self.params, self.ρ.value)) - args = (self.cap, *self.params, self.ρ.value) val, _ = quad( _call_integrand, -np.inf, |