def test_german_calendar(self):
frankfcal = Germany(FrankfurtStockExchange)
first_date = Date(31, Oct, 2009)
second_date = Date(1, Jan, 2010)
Dec_30_2009 = Date(30, Dec, 2009)
Jan_4_2010 = Date(4, Jan, 2010)
self.assertEquals(Dec_30_2009,
frankfcal.adjust(second_date, Preceding))
self.assertEquals(Jan_4_2010,
frankfcal.adjust(second_date, ModifiedPreceding))
mat = Period(2, Months)
self.assertEquals(
Jan_4_2010,
frankfcal.advance(first_date,
period=mat,
convention=Following,
end_of_month=False))
self.assertEquals(
Dec_30_2009,
frankfcal.advance(first_date,
period=mat,
convention=ModifiedFollowing,
end_of_month=False))
self.assertEquals(
41,
frankfcal.business_days_between(first_date, second_date, False,
False))
def test_equality(self):
date1 = Date(1, 1, 2011)
date2 = Date(1, 1, 2011)
date3 = datetime.date(2011, 1, 1)
self.assertEquals(date1, date2)
self.assertEquals(date1, date3)
def test_short_calculation_first_period_afb(self):
day_counter = ActualActual(AFB)
from_date = Date(1, February, 1999)
to_date = Date(1, July, 1999)
expected_result = 0.410958904110
self.assertAlmostEquals(expected_result,
day_counter.year_fraction(from_date, to_date))
def test_is_business_day(self):
ukcal = UnitedKingdom()
bank_holiday_date = Date(3, May, 2010) #Early May Bank Holiday
business_day = Date(28, March, 2011)
self.assertFalse(ukcal.is_business_day(bank_holiday_date))
self.assertTrue(ukcal.is_business_day(business_day))
def test_short_calculation_second_period_isda(self):
day_counter = ActualActual(ISDA)
from_date = Date(1, July, 1999)
to_date = Date(1, July, 2000)
expected_result = 1.001377348600
self.assertAlmostEquals(expected_result,
day_counter.year_fraction(from_date, to_date))
def test_thirty360(self):
day_counter = Thirty360(EUROBONDBASIS)
from_date = Date(1, July, 1999)
to_date = Date(1, July, 2000)
expected_result = 1.000000000000
self.assertAlmostEquals(expected_result,
day_counter.year_fraction(from_date, to_date))
def test_end_of_month(self):
date1 = Date(16, Feb, 2011)
date2 = end_of_month(date1)
print date2
expected_date = Date(28, Feb, 2011)
self.assertTrue(expected_date == date2)
def test_united_states_calendar(self):
uscal = UnitedStates()
holiday_date = Date(4, Jul, 2010)
self.assertTrue(uscal.is_holiday(holiday_date))
uscal = UnitedStates(market=NYSE)
holiday_date = Date(5, Sep, 2011) # Labor day
self.assertTrue(uscal.is_holiday(holiday_date))
def test_date_creation(self):
date1 = Date(19, Nov, 1998)
self.assertEquals(11, date1.month)
date2 = Date(29, Feb, 2008)
self.assertEquals(2, date2.month)
with self.assertRaises(RuntimeError):
# getting an invalid day
date2 = Date(29, Feb, 2009)
def test_short_calculation_first_period_isma(self):
day_counter = ActualActual(ISMA)
from_date = Date(1, February, 1999)
to_date = Date(1, July, 1999)
ref_start = Date(1, July, 1998)
ref_end = Date(1, July, 1999)
expected_result = 0.410958904110
self.assertAlmostEquals(
expected_result,
day_counter.year_fraction(from_date, to_date, ref_start, ref_end))
def test_short_calculation_second_period_isma(self):
day_counter = ActualActual(ISMA)
from_date = Date(1, July, 1999)
to_date = Date(1, July, 2000)
ref_start = Date(1, July, 1999)
ref_end = Date(1, July, 2000)
expected_result = 1.000000000000
self.assertAlmostEquals(
expected_result,
day_counter.year_fraction(from_date, to_date, ref_start, ref_end))
def test_calendar_date_advance(self):
ukcal = UnitedKingdom()
bank_holiday_date = Date(3, May, 2010) #Early May Bank Holiday
advanced_date = ukcal.advance(bank_holiday_date, step=6, units=Months)
expected_date = Date(3, November, 2010)
self.assertTrue(expected_date == advanced_date)
period_10days = Period(10, Days)
advanced_date = ukcal.advance(bank_holiday_date, period=period_10days)
expected_date = Date(17, May, 2010)
self.assertTrue(expected_date == advanced_date)
def test_arithmetic_operators(self):
# addition
date1 = Date(19, Nov, 1998)
date2 = date1 + 5
expected_date = Date(24, Nov, 1998)
self.assertTrue(expected_date == date2)
# iadd
date1 = Date(19, Nov, 1998)
date1 += 3
expected_date = Date(22, Nov, 1998)
self.assertTrue(expected_date == date1)
# substraction
date1 = Date(19, Nov, 1998)
date3 = date1 - 5
expected_date = Date(14, Nov, 1998)
self.assertTrue(expected_date == date3)
# isub
date1 = Date(19, Nov, 1998)
date1 -= 3
expected_date = Date(16, Nov, 1998)
self.assertTrue(expected_date == date1)
def test_next_weekday(self):
''' Test next weekday
The Friday following Tuesday, January 15th, 2002 was January 18th, 2002.
see http://www.cpearson.com/excel/DateTimeWS.htm
'''
date1 = Date(15, Jan, 2002)
date2 = next_weekday(date1, Friday)
expected_date = Date(18, Jan, 2002)
print expected_date
print date2
self.assertTrue(expected_date == date2)
def test_business_days_between_dates(self):
ukcal = UnitedKingdom()
date1 = Date(30, May, 2011)
# 30st of May is Spring Bank Holiday
date2 = Date(3, June, 2011)
day_count = ukcal.business_days_between(date1,
date2,
include_last=True)
self.assertEquals(4, day_count)
def test_christmas_is_holiday(self):
calendar = TARGET()
date = Date(24, 12, 2011)
self.assertTrue(calendar.is_holiday(date))
def setUp(self):
self.from_date = Date(1, Jan, 2011)
self.to_date = Date(31, Dec, 2011)
self.tenor = Period(4, Weeks)
self.calendar = UnitedKingdom()
self.convention = Following
self.termination_convention = Preceding
self.rule = Twentieth
self.schedule = Schedule(
self.from_date, self.to_date, self.tenor, self.calendar,
self.convention, self.termination_convention, self.rule
)
for date in self.schedule.dates():
print date
def test_adding_period_to_date(self):
date1 = Date(1, May, 2011)
period = Period(1, Months)
date2 = date1 + period
expected_date = Date(1, Jun, 2011)
self.assertTrue(expected_date == date2)
period = Period(Bimonthly)
date2 = date1 + period
expected_date = Date(1, Jul, 2011)
self.assertTrue(expected_date == date2)
period = Period(10, Months)
date2 = date1 + period
expected_date = Date(1, Mar, 2012)
self.assertTrue(expected_date == date2)
def test_substracting_period_to_date(self):
date1 = Date(1, May, 2011)
period = Period(1, Months)
date2 = date1 - period
expected_date = Date(1, Apr, 2011)
self.assertTrue(expected_date == date2)
period = Period(Bimonthly)
date2 = date1 - period
expected_date = Date(1, Mar, 2011)
self.assertTrue(expected_date == date2)
period = Period(10, Days)
date2 = date1 - period
expected_date = Date(21, Apr, 2011)
self.assertTrue(expected_date == date2)
def test_nth_weekday(self):
''' The 4th Thursday of Mar, 1998 was Mar 26th, 1998.
see http://www.cpearson.com/excel/DateTimeWS.htm
'''
date1 = nth_weekday(4, Thursday, Mar, 1998)
expected_date = Date(26, Mar, 1998)
self.assertTrue(expected_date == date1)
def test_comparison_with_datetime(self):
date_nov_98 = Date(19, Nov, 1998)
datetime_date_nov_98 = datetime.date(1998, 11, 19)
self.assertTrue(date_nov_98 == datetime_date_nov_98)
self.assertEquals(cmp(date_nov_98, datetime_date_nov_98), 0)
datetime_date_oct_98 = datetime.date(1998, 10, 19)
self.assertTrue(date_nov_98 > datetime_date_oct_98)
def test_from_datetime_classmethod(self):
date1 = Date(19, Nov, 1998)
datetime_date = datetime.date(1998, 11, 19)
from_datetime_date = Date.from_datetime(datetime_date)
self.assertEquals(from_datetime_date.serial, date1.serial)
datetime_datetime = datetime.datetime(1998, 11, 19, 01, 00)
from_datetime_datetime = Date.from_datetime(datetime_datetime)
self.assertEquals(from_datetime_datetime.serial, date1.serial)
def test_at(self):
expected_date = self.calendar.adjust(self.from_date, Following)
self.assertTrue(expected_date == self.schedule.at(0))
next_date = self.calendar.adjust(
self.from_date + Period(4, Weeks), Following
)
expected_date = Date(20, next_date.month, next_date.year)
print expected_date, self.schedule.at(1)
self.assertTrue(expected_date == self.schedule.at(1))
def test_simple(self):
periods = [3, 6, 12]
expected_times = [0.25, 0.5, 1.0]
first = Date(1, January, 2002)
day_counter = SimpleDayCounter()
for index, period in enumerate(periods):
end = first + Period(period, Months)
calculated = day_counter.year_fraction(first, end)
self.assertAlmostEquals(expected_times[index], calculated)
def test_previous_next_reference_date(self):
from_date = Date(3, Sep, 2011)
to_date = Date(15, Dec, 2011)
tenor = Period(1, Months)
calendar = UnitedKingdom()
convention = Following
termination_convention = Following
rule = Forward
fwd_schedule = Schedule(from_date, to_date, tenor, calendar, convention,
termination_convention, rule)
expected_date = Date(5, Sep, 2011)
print expected_date, fwd_schedule.next_date(from_date)
self.assert_(expected_date == fwd_schedule.next_date(from_date))
rule = Backward
bwd_schedule = Schedule(from_date, to_date, tenor, calendar, convention,
termination_convention, rule)
expected_date = Date(15, Nov, 2011)
self.assert_(expected_date == bwd_schedule.previous_date(to_date))
def test_create_schedule(self):
from_date = Date(1, Jan, 2011)
to_date = Date(31, Dec, 2011)
tenor = Period(3, Weeks)
calendar = UnitedKingdom()
convention = Following
termination_convention = Following
rule = Forward
schedule = Schedule(
from_date, to_date, tenor, calendar, convention, termination_convention, rule
)
for date in schedule.dates():
print date
self.assert_(schedule is not None)
# Constructor using the defaults for the different conventions
schedule = Schedule(from_date, to_date, tenor, calendar)
self.assert_(schedule is not None)
def test_iteration_on_date_list(self):
date_iterator = holiday_list(TARGET(), Date(1, Jan, 2000),
Date(1, Jan, 2001))
holidays = [
Date(21, Apr, 2000),
Date(24, Apr, 2000),
Date(1, May, 2000),
Date(25, Dec, 2000),
Date(26, Dec, 2000),
Date(1, Jan, 2001)
]
for date in date_iterator:
self.assertIn(date, holidays)
def test_today(self):
pydate = date(2030, 7, 1)
cf_date = Date(1, 7, 2030)
cf_amount = 100.0
test_cf = cf.SimpleCashFlow(cf_amount, cf_date)
self.assertEquals(test_cf.amount, cf_amount)
self.assertEquals(test_cf.date, cf_date)
leg = ((cf_amount, cf_date), )
test_leg = cf.SimpleLeg(leg)
self.assertEquals(test_leg.size, 1)
self.assertEquals(test_leg.items, [(100.0, pydate)])
def test_adjust_business_day(self):
ukcal = UnitedKingdom()
bank_holiday_date = Date(3, May, 2010) #Early May Bank Holiday
adjusted_date = ukcal.adjust(bank_holiday_date)
following_date = bank_holiday_date + 1
self.assertTrue(following_date == adjusted_date)
adjusted_date = ukcal.adjust(bank_holiday_date, convention=Preceding)
following_date = bank_holiday_date - 3 # bank holiday is a Monday
self.assertTrue(following_date == adjusted_date)
adjusted_date = ukcal.adjust(bank_holiday_date,
convention=ModifiedPreceding)
following_date = bank_holiday_date + 1 # Preceding is on a different
# month
self.assertTrue(following_date == adjusted_date)
def test_holiday_list_acces_and_modification(self):
ukcal = UnitedKingdom()
holidays = list(
holiday_list(ukcal, Date(1, Jan, 2011), Date(31, 12, 2011)))
self.assertEquals(8, len(holidays))
new_holiday_date = Date(23, August, 2011)
ukcal.add_holiday(new_holiday_date)
holidays = list(
holiday_list(ukcal, Date(1, Jan, 2011), Date(31, 12, 2011)))
self.assertEquals(9, len(holidays))
ukcal.remove_holiday(new_holiday_date)
holidays = list(
holiday_list(ukcal, Date(1, Jan, 2011), Date(31, 12, 2011)))
self.assertEquals(8, len(holidays))