diff options
Diffstat (limited to 'tests/test_pickle.py')
| -rw-r--r-- | tests/test_pickle.py | 41 |
1 files changed, 15 insertions, 26 deletions
diff --git a/tests/test_pickle.py b/tests/test_pickle.py index 476e834..4bb1d46 100644 --- a/tests/test_pickle.py +++ b/tests/test_pickle.py @@ -4,19 +4,11 @@ from pyisda.legs import ContingentLeg, FeeLeg from pyisda.curve import SpreadCurve from pickle import dumps, loads import datetime -from quantlib.settings import Settings -from quantlib.time.api import Date -import sys -sys.path.append('/home/share/CorpCDOs/code/python/') -from yieldcurve import YC, get_dates, ql_to_jp +from pyisda.utils import build_yc class TestPickle(unittest.TestCase): - - settings = Settings() trade_date = datetime.date(2016, 10, 6) - settings.evaluation_date = Date(6, 10, 2016) - yc = YC() - jp_yc = ql_to_jp(yc) + yc = build_yc(trade_date, ql_curve = True) def assertListAlmostEqual(self, l1, l2): if len(l1) != len(l2): @@ -25,29 +17,26 @@ class TestPickle(unittest.TestCase): self.assertAlmostEqual(a, b) def test_yc(self): - jp_yc = ql_to_jp(self.yc) - dates = get_dates(self.trade_date) - self.assertListAlmostEqual([jp_yc.discount_factor(d) for d in dates], - self.yc.data[1:]) - pickled_yc = loads(dumps(jp_yc)) - self.assertListAlmostEqual([pickled_yc.discount_factor(d) for d in dates], - self.yc.data[1:]) + orig_dfs = [self.yc.discount_factor(d) for d in self.yc.dates] + pickled_yc = loads(dumps(self.yc)) + self.assertListAlmostEqual([pickled_yc.discount_factor(d) for d in pickled_yc.dates], + orig_dfs) - def test_contingentleg(self): - start_date = datetime.date(2016, 9, 20) + def test_legs(self): + start_date = datetime.date(2016, 3, 20) end_date = datetime.date(2021, 12, 20) step_in_date = datetime.date(2016, 10, 7) value_date = datetime.date(2016, 10, 11) cl = ContingentLeg(start_date, end_date, 1) fl = FeeLeg(start_date, end_date, True, 1, 1) - sc = SpreadCurve(self.trade_date, self.jp_yc, start_date, + sc = SpreadCurve(self.trade_date, self.yc, start_date, step_in_date, value_date, [end_date], array.array('d', [75*1e-4]), 0.4) sc_pickled = loads(dumps(sc)) - self.assertListAlmostEqual([sc.survival_probability(d) for d in get_dates(self.trade_date)], - [sc_pickled.survival_probability(d) for d in get_dates(self.trade_date)]) + self.assertListAlmostEqual([sc.survival_probability(d) for d in self.yc.dates], + [sc_pickled.survival_probability(d) for d in self.yc.dates]) cl_pickled = loads(dumps(cl)) fl_pickled = loads(dumps(fl)) - self.assertEqual(cl_pickled.pv(self.trade_date, step_in_date, value_date, self.jp_yc, sc, 0.4), - cl.pv(self.trade_date, step_in_date, value_date, self.jp_yc, sc, 0.4)) - self.assertEqual(fl.pv(self.trade_date, step_in_date, value_date, self.jp_yc, sc, False), - fl_pickled.pv(self.trade_date, step_in_date, value_date, self.jp_yc, sc, False)) + self.assertEqual(cl_pickled.pv(self.trade_date, step_in_date, value_date, self.yc, sc, 0.4), + cl.pv(self.trade_date, step_in_date, value_date, self.yc, sc, 0.4)) + self.assertEqual(fl.pv(self.trade_date, step_in_date, value_date, self.yc, sc, False), + fl_pickled.pv(self.trade_date, step_in_date, value_date, self.yc, sc, False)) |