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import unittest
import datetime
import pandas as pd
import sys
sys.path.append('..')
from analytics.utils import *
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
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):
roll_date_c = lambda d, t: TDate_to_pydate(end_dates(pydate_to_TDate(d), t))
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)
if __name__=="__main__":
unittest.main()
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