def get_term_structure():
date = get_db_date()
data = structures.atm_term_structure("SPX", date)
data = [
{"x": dates.business_dates_diff(date, expiration), "y": iv, "name": expiration.strftime("%b'%y")}
for expiration, iv in data
]
return jsonify({"root": data})
def test_atm_term_structure(self):
structure1 = structures.atm_term_structure(
'SPX', self.test_timestamp.date(), TEST_DB_NAME)
structure2 = [
(date(2016, 1, 15), 20.08),
(date(2016, 2, 19), 18.30),
(date(2016, 3, 18), 17.89),
(date(2016, 4, 15), 17.72),
(date(2016, 6, 17), 17.21),
(date(2016, 9, 16), 16.87),
(date(2016, 12, 16), 16.59),
(date(2017, 1, 20), 16.66),
(date(2017, 6, 16), 16.53),
(date(2017, 12, 15), 16.36),
]
self.assertEqual(structure1, structure2)
