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import unittest
from quantlib.time.api import (
Date, Period, Quarterly, Schedule, Rule, WeekendsOnly,
Following, Unadjusted)
from quantlib.settings import Settings
import sys
sys.path.append('..')
from yieldcurve import YC
class TestYieldCurve(unittest.TestCase):
def assertListAlmostEqual(self, list1, list2, places = 7):
self.assertEqual(len(list1), len(list2))
for a, b in zip(list1, list2):
self.assertAlmostEqual(a, b, places)
def test_bloomberg(self):
discounts = [0.99848606, 0.99548212, 0.99167201, 0.98772518,
0.98629694, 0.98509013, 0.98389804, 0.98268094,
0.97993369, 0.97709955, 0.97430462, 0.97145583,
0.96827211, 0.9651054, 0.96194904, 0.95869946,
0.95499459, 0.95125679, 0.94753361, 0.94382501]
settings = Settings()
settings.evaluation_date = Date(23, 6, 2016)
curve = YC()
term_date = Date(20, 6, 2021)
cds_schedule = Schedule.from_rule(
settings.evaluation_date, term_date, Period(Quarterly),
WeekendsOnly(), Following, Unadjusted, Rule.CDS2015)
curve_df = [curve.discount(d) for d in cds_schedule[1:-1]]
#last date is term_date+1
curve_df.append(curve.discount(term_date+1))
self.assertListAlmostEqual(discounts, curve_df)
if __name__=="__main__":
unittest.main()
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