diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/tests/test_yieldcurve.py | 9 |
1 files changed, 8 insertions, 1 deletions
diff --git a/python/tests/test_yieldcurve.py b/python/tests/test_yieldcurve.py index 8a684fda..b225e632 100644 --- a/python/tests/test_yieldcurve.py +++ b/python/tests/test_yieldcurve.py @@ -10,7 +10,8 @@ from quantlib.time.api import ( Unadjusted, ) from quantlib.settings import Settings -from serenitas.analytics.yieldcurve import YC +from serenitas.analytics.yieldcurve import YC, USDMarkitYieldCurve +import datetime class TestYieldCurve(unittest.TestCase): @@ -60,6 +61,12 @@ class TestYieldCurve(unittest.TestCase): curve_df.append(curve.discount(term_date + 1)) self.assertListAlmostEqual(discounts, curve_df) + def test_new_yieldcurve(self): + evaluation_date = datetime.date(2021, 7, 14) + old_curve = YC(evaluation_date=evaluation_date) + new_curve = USDMarkitYieldCurve(evaluation_date) + self.assertEquals(old_curve.data, new_curve._yc.data) + if __name__ == "__main__": unittest.main() |