diff options
Diffstat (limited to 'tests/test_pickle.py')
| -rw-r--r-- | tests/test_pickle.py | 43 |
1 files changed, 31 insertions, 12 deletions
diff --git a/tests/test_pickle.py b/tests/test_pickle.py index 6417c86..9eabcec 100644 --- a/tests/test_pickle.py +++ b/tests/test_pickle.py @@ -6,9 +6,10 @@ from pickle import dumps, loads import datetime from pyisda.utils import build_yc + class TestPickle(unittest.TestCase): trade_date = datetime.date(2016, 10, 6) - yc = build_yc(trade_date, ql_curve = True) + yc = build_yc(trade_date, ql_curve=True) def assertListAlmostEqual(self, l1, l2): if len(l1) != len(l2): @@ -19,8 +20,9 @@ class TestPickle(unittest.TestCase): def test_yc(self): orig_dfs = [self.yc.discount_factor(d) for d in self.yc.dates] pickled_yc = loads(dumps(self.yc, 2)) - self.assertListAlmostEqual([pickled_yc.discount_factor(d) for d in pickled_yc.dates], - orig_dfs) + self.assertListAlmostEqual( + [pickled_yc.discount_factor(d) for d in pickled_yc.dates], orig_dfs + ) def test_legs(self): start_date = datetime.date(2016, 3, 20) @@ -29,17 +31,34 @@ class TestPickle(unittest.TestCase): 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.yc, start_date, - step_in_date, value_date, [end_date], np.array([75*1e-4]), 0.4) + sc = SpreadCurve( + self.trade_date, + self.yc, + start_date, + step_in_date, + value_date, + [end_date], + np.array([75 * 1e-4]), + 0.4, + ) sc_pickled = loads(dumps(sc, 2)) - self.assertListAlmostEqual([sc.survival_probability(d) for d in self.yc.dates], - [sc_pickled.survival_probability(d) for d in self.yc.dates]) + 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, 2)) fl_pickled = loads(dumps(fl, 2)) - 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)) + 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 + ), + ) + -if __name__=="__main__": +if __name__ == "__main__": unittest.main() |