class CastZeroRateCurveUnitTests(TestCase):
def setUp(self):
self.cast_type = ZeroRateCurve
self.grid = ['0D', '3M', '12M']
self.points = [0.02, 0.01, 0.015]
self.grid = ['0D', '1M', '2M', '3M', '4M', '5M', '6M', '1Y']
self.points = [
0.02, 0.018, 0.0186, 0.018, 0.0167, 0.0155, 0.015, 0.015
]
self.precision = 10
self.cash_precision = 2
self.today = BusinessDate()
self.today_eom = self.today == self.today.end_of_month()
self.periods = ('0D', '1D', '2B', '8D', '2W', '14B', '1M', '1M1D',
'3M', '6M', '6M2W1D', '9M', '12M')
def pp(d, a, b):
print((d, abs(a(d) - b(d)) < self.precision, a(d), b(d)))
self.pp = pp
def curve(p='0D'):
grid = [self.today + p + _ for _ in self.grid]
return self.cast_type(grid, self.points)
self.curve = curve
def test_interpolation(self):
curve = self.curve()
for t in (DiscountFactorCurve, ZeroRateCurve, ShortRateCurve):
cast = t(curve)
curve.cast(t)
recast = self.cast_type(cast)
self.assertEqual(self.cast_type._interpolation,
curve.interpolation)
self.assertEqual(t._interpolation, cast.interpolation)
self.assertEqual(self.cast_type._interpolation,
recast.interpolation)
def test_discount_cast(self):
for p in self.periods:
curve = self.curve(p)
cast = self.cast_type(DiscountFactorCurve(curve))
for d in curve.domain[1:]:
self.assertAlmostEqual(cast(d), curve(d), self.precision)
def test_zero_cast(self):
for p in self.periods:
curve = self.curve(p)
cast = self.cast_type(ZeroRateCurve(curve))
for d in curve.domain[1:]:
self.assertAlmostEqual(cast(d), curve(d), self.precision)
def test_short_cast(self):
for p in self.periods:
curve = self.curve(p)
cast = self.cast_type(ShortRateCurve(curve))
for d in curve.domain[1:]:
self.assertAlmostEqual(cast(d), curve(d), self.precision)
def test_cash1m_cast(self):
for p in self.periods:
curve = self.curve(p)
cast = self.cast_type(CashRateCurve(curve, forward_tenor='1M'))
for d in curve.domain[1:]:
self.assertAlmostEqual(cast(d), curve(d), self.cash_precision)
def test_cash3m_cast(self):
for p in self.periods:
curve = self.curve(p)
cast = self.cast_type(CashRateCurve(curve, forward_tenor='3M'))
for d in curve.domain[1:]:
self.assertAlmostEqual(cast(d), curve(d), self.cash_precision)
class CastIntensityCurveUnitTests(TestCase):
def setUp(self):
self.cast_type = FlatIntensityCurve
self.grid = ['0D', '3M', '12M']
self.points = [0.02, 0.01, 0.015]
self.grid = ['0D', '1M', '2M', '3M', '4M', '5M', '6M', '1Y']
self.points = [
0.02, 0.018, 0.0186, 0.018, 0.0167, 0.0155, 0.015, 0.015
]
self.precision = 10
self.marginal_precision = 2
self.today = BusinessDate()
self.today_eom = self.today == self.today.end_of_month()
self.periods = ('0D', '1D', '2B', '8D', '2W', '14B', '1M', '1M1D',
'3M', '6M', '6M2W1D', '9M', '12M')
def pp(d, a, b):
print((d, abs(a(d) - b(d)) < self.precision, a(d), b(d)))
self.pp = pp
def curve(p='0D'):
grid = [self.today + p + _ for _ in self.grid]
return self.cast_type(grid, self.points)
self.curve = curve
def test_interpolation(self):
curve = self.curve()
for t in (SurvivalProbabilityCurve, FlatIntensityCurve,
HazardRateCurve):
cast = curve.cast(t)
recast = cast.cast(self.cast_type)
self.assertEqual(self.cast_type._interpolation,
curve.interpolation)
self.assertEqual(t._interpolation, cast.interpolation)
self.assertEqual(self.cast_type._interpolation,
recast.interpolation)
def test_survival_cast(self):
for p in self.periods:
curve = self.curve(p)
cast = curve.cast(SurvivalProbabilityCurve).cast(self.cast_type)
for d in curve.domain[1:]:
self.assertAlmostEqual(cast(d), curve(d), self.precision)
def test_intensity_cast(self):
for p in self.periods:
curve = self.curve(p)
cast = curve.cast(FlatIntensityCurve).cast(self.cast_type)
for d in curve.domain[1:]:
self.assertAlmostEqual(cast(d), curve(d), self.precision)
def test_hazard_cast(self):
for p in self.periods:
curve = self.curve(p)
cast = curve.cast(HazardRateCurve).cast(self.cast_type)
for d in curve.domain[1:]:
self.assertAlmostEqual(cast(d), curve(d), self.precision)
def test_default_cast(self):
for p in self.periods:
curve = self.curve(p)
cast = curve.cast(DefaultProbabilityCurve).cast(self.cast_type)
for d in curve.domain[1:]:
self.assertAlmostEqual(cast(d), curve(d), self.precision)
def test_marginal_survival_cast(self):
for p in self.periods:
curve = self.curve(p)
cast = curve.cast(MarginalSurvivalProbabilityCurve).cast(
self.cast_type)
for d in curve.domain[1:]:
self.assertAlmostEqual(cast(d), curve(d),
self.marginal_precision)
def test_marginal_default_cast(self):
for p in self.periods:
curve = self.curve(p)
cast = curve.cast(MarginalDefaultProbabilityCurve).cast(
self.cast_type)
for d in curve.domain[1:]:
self.assertAlmostEqual(cast(d), curve(d),
self.marginal_precision)
