def test_ForwardGenWithLongEndStub_BondAnnuity():
settlement_date = Date(20, 6, 2018)
face = 1000000
maturity_date = Date(20, 6, 2028)
coupon = 0.05
freq_type = FrequencyTypes.SEMI_ANNUAL
calendar_type = CalendarTypes.WEEKEND
bus_day_adjust_type = BusDayAdjustTypes.FOLLOWING
date_gen_rule_type = DateGenRuleTypes.FORWARD
basis_type = DayCountTypes.ACT_360
annuity = BondAnnuity(maturity_date, coupon, freq_type, calendar_type,
bus_day_adjust_type, date_gen_rule_type, basis_type,
face)
annuity.calculate_payments(settlement_date)
assert len(annuity._flow_amounts) == 10 * 2 + 1
assert len(annuity._flow_dates) == 10 * 2 + 1
assert annuity._flow_dates[0] == settlement_date
assert annuity._flow_dates[-1] == maturity_date
assert round(annuity._flow_amounts[0]) == 0.0
assert round(annuity._flow_amounts[-1]) == 25417.0
assert annuity.calc_accrued_interest(settlement_date) == 0.0
def test_Monthly_BondAnnuity():
settlement_date = Date(20, 6, 2018)
face = 1000000
#Monthly Frequency
maturity_date = Date(20, 6, 2028)
coupon = 0.05
freq_type = FrequencyTypes.MONTHLY
calendar_type = CalendarTypes.WEEKEND
bus_day_adjust_type = BusDayAdjustTypes.FOLLOWING
date_gen_rule_type = DateGenRuleTypes.BACKWARD
basis_type = DayCountTypes.ACT_360
annuity = BondAnnuity(maturity_date, coupon, freq_type, calendar_type,
bus_day_adjust_type, date_gen_rule_type, basis_type,
face)
annuity.calculate_payments(settlement_date)
assert len(annuity._flow_amounts) == 10 * 12 + 1
assert len(annuity._flow_dates) == 10 * 12 + 1
assert annuity._flow_dates[0] == settlement_date
assert annuity._flow_dates[-1] == maturity_date
assert annuity._flow_amounts[0] == 0.0
assert round(annuity._flow_amounts[-1]) == 4306.0
assert annuity.calc_accrued_interest(settlement_date) == 0.0
def test_SemiAnnual_BondAnnuity():
settlement_date = Date(20, 6, 2018)
face = 1000000
#Semi-Annual Frequency
maturity_date = Date(20, 6, 2019)
coupon = 0.05
freq_type = FrequencyTypes.SEMI_ANNUAL
calendar_type = CalendarTypes.WEEKEND
bus_day_adjust_type = BusDayAdjustTypes.FOLLOWING
date_gen_rule_type = DateGenRuleTypes.BACKWARD
basis_type = DayCountTypes.ACT_360
annuity = BondAnnuity(maturity_date, coupon, freq_type, calendar_type,
bus_day_adjust_type, date_gen_rule_type, basis_type,
face)
annuity.calculate_payments(settlement_date)
assert len(annuity._flow_amounts) == 2 * 1 + 1
assert len(annuity._flow_dates) == 2 * 1 + 1
assert annuity._flow_dates[0] == settlement_date
assert annuity._flow_dates[-1] == maturity_date
assert annuity._flow_amounts[0] == 0.0
assert round(annuity._flow_amounts[-1]) == 25278.0
assert annuity.calc_accrued_interest(settlement_date) == 0.0
