1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
|
import unittest
import datetime
import pandas as pd
import sys
sys.path.append('..')
from analytics.utils import roll_date
from analytics.tranche_functions import cds_accrued
from pyisda.date import (roll_date as roll_date_c,
cds_accrued as cds_accrued_c,
previous_twentieth,
pydate_to_TDate,
TDate_to_pydate)
from dates import days_accrued
class TestStartDate(unittest.TestCase):
def test_previous_twentieth(self):
self.assertEqual(previous_twentieth(datetime.date(2016, 9, 20)),
datetime.date(2016, 9, 20))
self.assertEqual(previous_twentieth(datetime.date(2016, 6, 10)),
datetime.date(2016, 3, 21))
self.assertEqual(previous_twentieth(datetime.date(2016, 6, 10), False),
datetime.date(2016, 3, 20))
self.assertEqual(previous_twentieth(datetime.date(2016, 10, 15)),
datetime.date(2016, 9, 20))
self.assertEqual(previous_twentieth(datetime.date(2016, 12, 20)),
datetime.date(2016, 12, 20))
self.assertEqual(previous_twentieth(datetime.date(2017, 3, 19)),
datetime.date(2016, 12, 20))
def test_previous_twentieth_timestamp(self):
self.assertEqual(previous_twentieth(pd.Timestamp('2016-09-20')),
datetime.date(2016, 9, 20))
self.assertEqual(previous_twentieth(pd.Timestamp('2016-10-15')),
datetime.date(2016, 9, 20))
self.assertEqual(previous_twentieth(pd.Timestamp('2016-12-20')),
datetime.date(2016, 12, 20))
self.assertEqual(previous_twentieth(pd.Timestamp('2017-03-19')),
datetime.date(2016, 12, 20))
class TestEndDate(unittest.TestCase):
def test_enddate(self):
self.assertEqual(roll_date(datetime.date(2016, 9, 20), 5),
datetime.date(2021, 12, 20))
self.assertEqual(roll_date(datetime.date(2016, 10, 15), 5),
datetime.date(2021, 12, 20))
self.assertEqual(roll_date(datetime.date(2017, 3, 19), 5),
datetime.date(2021, 12, 20))
self.assertEqual(roll_date(datetime.date(2017, 3, 20), 5),
datetime.date(2022, 6, 20))
def test_enddate_pre2015(self):
self.assertEqual(roll_date(datetime.date(2014, 9, 20), 5),
datetime.date(2019, 12, 20))
self.assertEqual(roll_date(datetime.date(2014, 10, 15), 5),
datetime.date(2019, 12, 20))
self.assertEqual(roll_date(datetime.date(2015, 3, 19), 5),
datetime.date(2020, 3, 20))
self.assertEqual(roll_date(datetime.date(2015, 3, 20), 5),
datetime.date(2020, 6, 20))
self.assertEqual(roll_date(datetime.date(2015, 12, 19), 5),
datetime.date(2020, 12, 20))
self.assertEqual(roll_date(datetime.date(2015, 12, 20), 5),
datetime.date(2020, 12, 20))
class TestEndDateC(unittest.TestCase):
def test_enddate(self):
self.assertEqual(roll_date_c(datetime.date(2016, 9, 20), 5),
datetime.date(2021, 12, 20))
self.assertEqual(roll_date_c(datetime.date(2016, 10, 15), 5),
datetime.date(2021, 12, 20))
self.assertEqual(roll_date_c(datetime.date(2017, 3, 19), 5),
datetime.date(2021, 12, 20))
self.assertEqual(roll_date_c(datetime.date(2017, 3, 20), 5),
datetime.date(2022, 6, 20))
def test_enddate_pre2015(self):
self.assertEqual(roll_date_c(datetime.date(2014, 9, 20), 5),
datetime.date(2019, 12, 20))
self.assertEqual(roll_date_c(datetime.date(2014, 10, 15), 5),
datetime.date(2019, 12, 20))
self.assertEqual(roll_date_c(datetime.date(2015, 3, 19), 5),
datetime.date(2020, 3, 20))
self.assertEqual(roll_date_c(datetime.date(2015, 3, 20), 5),
datetime.date(2020, 6, 20))
self.assertEqual(roll_date_c(datetime.date(2015, 12, 19), 5),
datetime.date(2020, 12, 20))
self.assertEqual(roll_date_c(datetime.date(2015, 12, 20), 5),
datetime.date(2020, 12, 20))
class TestCdsAccrued(unittest.TestCase):
def test_cdsaccrued(self):
self.assertAlmostEqual(cds_accrued(datetime.date(2016, 4, 1), 100),
cds_accrued_c(datetime.date(2016, 4, 1), 100))
self.assertAlmostEqual(cds_accrued(datetime.date(2016, 3, 21), 100),
0.2777777777777778)
self.assertAlmostEqual(cds_accrued(datetime.date(2016, 3, 18), 100),
24.72222222222222)
#buggy
# self.assertAlmostEqual(cds_accrued(datetime.date(2016, 9, 19), 100),
# 0.)
def test_cdsaccrued_c(self):
self.assertAlmostEqual(cds_accrued_c(datetime.date(2016, 4, 1), 100),
3.3333333333333)
self.assertAlmostEqual(cds_accrued_c(datetime.date(2016, 3, 21), 100),
0.27777777777777)
self.assertAlmostEqual(cds_accrued_c(datetime.date(2016, 3, 18), 100),
24.72222222222)
self.assertAlmostEqual(cds_accrued_c(datetime.date(2016, 9, 19), 100),
0.)
self.assertAlmostEqual(cds_accrued_c(datetime.date(2014, 9, 19), 100),
25.55555555556)
class TestDaysAccrued(unittest.TestCase):
def test_days_accrued(self):
dates = [
("2015-01-07", 17),
("2015-06-19", 92),
("2015-03-19", 0),
("2015-06-20", 93),
("2015-06-21", 0),
("2015-12-21", 1),
("2015-12-28", 8),
]
for date, days in dates:
self.assertEqual(days_accrued(date), days)
if __name__ == "__main__":
unittest.main()
|
