1 files changed, 0 insertions, 46 deletions
diff --git a/test.cds_functions.R b/test.cds_functions.R
deleted file mode 100644
index c30651ba..00000000
--- a/test.cds_functions.R
+++ /dev/null
@@ -1,46 +0,0 @@
-library("RUnit")
-root = "//WDSENTINEL/share/CorpCDOs/R"
-source(file.path(root, "yieldCurve.R"))
-source(file.path(root, "cds_functions.R"))
-
-#unit tests
-cs <- couponSchedule(as.Date("2012-09-28"), as.Date("2016-04-22"),"Q", "FLOAT", 0.075,0.0703)
-#test that the curve version gives the same result as the flat version for flat curves
-h <- rep(0.05, nrow(cs))
-dpc <- new("defaultprepaycurve", dates=cs$dates, hazardrates=h)
-eps <- 1e-6
-test.flat <- function() {
-    checkEquals(contingentleg.flat(cs, 0.05, 0.7), contingentleg(cs, dpc, 0.7))
-}
-#test derivative of the flat version
-test.derivativeflat <- function() {
-    checkEquals((contingentleg.flat(cs, 0.05+eps, 0.7)-contingentleg.flat(cs, 0.05-eps,0.7))/(2*eps),
-                dcontingentleg.flat(cs, 0.05, 0.7))
-}
-#test derivative of the curved version
-hvec <- c(rep(0.05,5), rep(0.07, 10))
-hvecplus <- c(rep(0.05,5), rep(0.07 + eps,10))
-hvecminus <- c(rep(0.05, 5), rep(0.07 - eps,10))
-index <- c(rep(0,5), rep(1,10))
-dpc <- new("defaultprepaycurve", dates=cs$dates, hazardrates=hvec)
-dpcplus <- new("defaultprepaycurve", dates=cs$dates, hazardrates=hvecplus)
-dpcminus <- new("defaultprepaycurve", dates=cs$dates, hazardrates=hvecminus)
-
-test.derivativecurve <- function() {
-    checkEquals((contingentleg(cs, dpcplus, 0.7) - contingentleg(cs, dpcminus, 0.7))/(2*eps),
-                dcontingentleg(cs, dpc, 0.7, index))
-}
-## test that the prepay version with 0 prepay is the same as the curved version
-dpc <- new("defaultprepaycurve", dates=cs$dates, hazardrates=hvec, prepayrates=rep(0,nrow(cs)))
-test.prepay <- function() {
-    checkEquals(contingentleg(cs, dpc, 0.7),
-                contingentleg.prepay(cs, dpc, 0.7))
-}
-## test derivative of prepay version
-dpcplus <- new("defaultprepaycurve", dates=cs$dates, hazardrates=hvecplus, prepayrates=k(hvecplus))
-dpcminus <- new("defaultprepaycurve", dates=cs$dates, hazardrates=hvecminus, prepayrates=k(hvecminus))
-dpc <- new("defaultprepaycurve", dates=cs$dates, hazardrates=hvec, prepayrates=k(hvec))
-(contingentleg.prepay(cs, dpcplus, 0.7)-contingentleg.prepay(cs, dpcminus, 0.7))/(2*bps)
-dcontingentleg.prepay(cs, dpc, 0.7, index, 15)
-(couponleg.prepay(cs, dpcplus)-couponleg.prepay(cs, dpcminus, 0.7))/(2*bps)
-dcouponleg.prepay(cs, dpc, index, 15)