diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/tests/test_swaption.py | 4 | ||||
| -rw-r--r-- | python/tests/test_yieldcurve.py | 5 |
2 files changed, 5 insertions, 4 deletions
diff --git a/python/tests/test_swaption.py b/python/tests/test_swaption.py index bc71d012..4cd34093 100644 --- a/python/tests/test_swaption.py +++ b/python/tests/test_swaption.py @@ -67,14 +67,14 @@ class TestBreakeven(unittest.TestCase): def test_hypayer(self): payer = Swaption(self.hyindex, self.exercise_date, self.hystrike) payer.sigma = .4 - payer.notional = 1e7 + payer.notional = 100_000_000 self.assertAlmostEqual(payer.breakeven, 100.66971148766) def test_hyreceiver(self): receiver = Swaption(self.hyindex, self.exercise_date, self.hystrike, "receiver") receiver.sigma = .4 - receiver.notional = 1e7 + receiver.notional = 100_000_000 self.assertAlmostEqual(receiver.breakeven, 103.9609977905) def test_igpayer(self): diff --git a/python/tests/test_yieldcurve.py b/python/tests/test_yieldcurve.py index 5bf708e2..0a84ead8 100644 --- a/python/tests/test_yieldcurve.py +++ b/python/tests/test_yieldcurve.py @@ -24,8 +24,9 @@ class TestYieldCurve(unittest.TestCase): settings.evaluation_date = Date(23, 6, 2016) curve = YC() term_date = Date(20, 6, 2021) - cds_schedule = Schedule(settings.evaluation_date, term_date, Period(Quarterly), - WeekendsOnly(), Following, Unadjusted, CDS) + cds_schedule = Schedule.from_effective_termination( + settings.evaluation_date, term_date, Period(Quarterly), + WeekendsOnly(), Following, Unadjusted, CDS) curve_df = [curve.discount(d) for d in cds_schedule[1:-1]] #last date is term_date+1 curve_df.append(curve.discount(term_date+1)) |