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Diffstat (limited to 'python/tests')
| -rw-r--r-- | python/tests/test_tranche_basket.py | 9 |
1 files changed, 9 insertions, 0 deletions
diff --git a/python/tests/test_tranche_basket.py b/python/tests/test_tranche_basket.py index a7506955..34be0af2 100644 --- a/python/tests/test_tranche_basket.py +++ b/python/tests/test_tranche_basket.py @@ -20,6 +20,15 @@ class TestTopDown(unittest.TestCase): eu30 = TrancheBasket("EU", 30, "5yr", value_date=datetime.date(2019, 8, 15)) market_quotes = eu30._accrued + eu30.tranche_quotes.quotes + def test_invariant(self): + hy35 = TrancheBasket("HY", 35, "5yr", value_date=datetime.date(2020, 10, 5)) + hy35.tweak() + hy35.build_skew() + self.assertAlmostEqual( + hy35.index_pv(clean=True).bond_price, + (hy35.tranche_pvs().bond_price * np.diff(hy35.K)).sum(), + ) + def test_bottomup(self): self.eu30.build_skew() upfronts = 1 - self.eu30.tranche_pvs().bond_price |