diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/tests/test_swaption.py | 6 |
1 files changed, 1 insertions, 5 deletions
diff --git a/python/tests/test_swaption.py b/python/tests/test_swaption.py index ae43d4ae..935a964b 100644 --- a/python/tests/test_swaption.py +++ b/python/tests/test_swaption.py @@ -22,10 +22,6 @@ class TestPutCallParity(unittest.TestCase): self.assertAlmostEqual(payer.pv - receiver.pv, df * (payer.forward_pv - g(self.index, self.strike, self.exercise_date, payer._forward_yc))) - def test_inheritance(self): - payer = Swaption(self.index, self.exercise_date, self.strike) - self.assertEqual(payer.forward_pv, - self.index.forward_pv(self.exercise_date)/self.index.notional) def test_parity_pvblack(self): payer = Swaption(self.index, self.exercise_date, self.strike) @@ -34,7 +30,7 @@ class TestPutCallParity(unittest.TestCase): receiver.sigma = 0.416 df = self.index._yc.discount_factor(payer.exercise_date_settle) self.assertAlmostEqual(payer.pv_black - receiver.pv_black, - df * (payer.forward_pv/self.index.notional - + df * (payer.forward_pv - g(self.index, self.strike, self.exercise_date, payer._forward_yc))) def test_calibration(self): |