def test_creation(self):
# Market information
settings = Settings(calendar = TARGET())
calendar = settings.calendar
settlement_date = Date(18, September, 2008)
# must be a business day
settlement_date = calendar.adjust(settlement_date);
# must be a business day
settings.evaluation_date = pydate_from_qldate(
calendar.advance(settlement_date, -2, Days)
)
quotes = [0.0096, 0.0145, 0.0194]
tenors = [3, 6, 12]
rate_helpers = []
deposit_day_counter = Actual365Fixed()
convention = ModifiedFollowing
end_of_month = True
for quote, month in zip(quotes, tenors):
tenor = Period(month, Months)
fixing_days = 3
helper = DepositRateHelper(
quote, tenor, fixing_days, calendar, convention, end_of_month,
deposit_day_counter
)
rate_helpers.append(helper)
ts_day_counter = ActualActual(ISDA)
tolerance = 1.0e-15
ts = term_structure_factory(
'discount', 'loglinear', settlement_date, rate_helpers,
ts_day_counter, tolerance
)
self.assertIsNotNone(ts)
self.assertEquals( Date(18, September, 2008), ts.reference_date)
# this is not a real test ...
self.assertAlmostEquals(0.9975, ts.discount(Date(21, 12, 2008)), 4)
def test_creation(self):
# Market information
settings = Settings(calendar=TARGET())
calendar = settings.calendar
settlement_date = Date(18, September, 2008)
# must be a business day
settlement_date = calendar.adjust(settlement_date)
# must be a business day
settings.evaluation_date = pydate_from_qldate(
calendar.advance(settlement_date, -2, Days))
quotes = [0.0096, 0.0145, 0.0194]
tenors = [3, 6, 12]
rate_helpers = []
deposit_day_counter = Actual365Fixed()
convention = ModifiedFollowing
end_of_month = True
for quote, month in zip(quotes, tenors):
tenor = Period(month, Months)
fixing_days = 3
helper = DepositRateHelper(quote, tenor, fixing_days, calendar,
convention, end_of_month,
deposit_day_counter)
rate_helpers.append(helper)
ts_day_counter = ActualActual(ISDA)
tolerance = 1.0e-15
ts = term_structure_factory('discount', 'loglinear', settlement_date,
rate_helpers, ts_day_counter, tolerance)
self.assertIsNotNone(ts)
self.assertEquals(Date(18, September, 2008), ts.reference_date)
# this is not a real test ...
self.assertAlmostEquals(0.9975, ts.discount(Date(21, 12, 2008)), 4)
def test_using_settings(self):
settings = Settings()
ql_date_today = Date(12, January, 2012)
evaluation_date = pydate_from_qldate(ql_date_today)
# have to set the evaluation date before the test as it is a global
# attribute for the whole library ... meaning that previous test_cases
# might have set this to another date
settings.evaluation_date = evaluation_date
self.assertTrue(
evaluation_date == settings.evaluation_date
)
self.assertTrue(settings.version.startswith('1'))
