diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/tests/test_cms_spread.py | 5 |
1 files changed, 3 insertions, 2 deletions
diff --git a/python/tests/test_cms_spread.py b/python/tests/test_cms_spread.py index edbbd6ae..9ee89bbb 100644 --- a/python/tests/test_cms_spread.py +++ b/python/tests/test_cms_spread.py @@ -108,10 +108,11 @@ class TestCmsSpread(unittest.TestCase): def test_CmsSpread(self): trade = CmsSpread(None, 2, 30, 0.0075835, Period(2, Years), value_date=self.trade_date) trade1 = CmsSpread.from_tradeid(1) - trade.value_date = datetime.date(2018, 2, 12) - trade1.value_date = datetime.date(2018, 2, 12) + trade.value_date = datetime.date(2018, 8, 23) + trade1.value_date = datetime.date(2018, 8, 23) self.assertAlmostEqual(self.cms30y2y_cap.rate * 1e8 * self.yc.discount(self.cms2y.fixing_date), trade.pv) + self.assertAlmostEqual(trade.pv, trade1.pv) if __name__ == "__main__": |