def test_zero_rate(self):
"""
Not a real test - just verifies that it runs
"""
instruments = ['Libor1M',
'Libor3M',
'Libor6M',
'Swap1Y',
'Swap2Y',
'Swap3Y',
'Swap5Y',
'Swap7Y',
'Swap10Y',
'Swap20Y',
'Swap30Y']
yields = [SimpleQuote(.01), SimpleQuote(.015), SimpleQuote(.02), SimpleQuote(.03), SimpleQuote(.04),
SimpleQuote(.05), SimpleQuote(.06), SimpleQuote(.07), SimpleQuote(.08), SimpleQuote(.09),
SimpleQuote(.1)]
pricing_date = '01-dec-2013'
dt, rates = zbt_libor_yield(instruments, yields, pricing_date,
compounding_freq='Continuous',
maturity_dates=None)
self.assertAlmostEqual(rates[0], .01, 3)
def test_zero_rate(self):
"""
Not a real test - just verifies that it runs
"""
instruments = [
"Libor1M",
"Libor3M",
"Libor6M",
"Swap1Y",
"Swap2Y",
"Swap3Y",
"Swap5Y",
"Swap7Y",
"Swap10Y",
"Swap20Y",
"Swap30Y",
]
yields = [0.01, 0.015, 0.02, 0.03, 0.04, 0.05, 0.06, 0.07, 0.08, 0.09, 0.1]
pricing_date = "01-dec-2013"
dt, rates = zbt_libor_yield(
instruments, yields, pricing_date, compounding_freq="Continuous", maturity_dates=None
)
self.assertAlmostEqual(rates[0], 0.01, 3)
def test_zero_rate(self):
"""
Not a real test - just verifies that it runs
"""
instruments = [
'Libor1M', 'Libor3M', 'Libor6M', 'Swap1Y', 'Swap2Y', 'Swap3Y',
'Swap5Y', 'Swap7Y', 'Swap10Y', 'Swap20Y', 'Swap30Y'
]
yields = [float(x + 1) / 100 for x in range(len(instruments))]
pricing_date = '01-dec-2013'
dt, rates = zbt_libor_yield(instruments,
yields,
pricing_date,
compounding_freq='Continuous',
maturity_dates=None)
self.assertAlmostEqual(rates[0], .01, 3)
def test_zero_rate(self):
"""
Not a real test - just verifies that it runs
"""
instruments = ['Libor1M',
'Libor3M',
'Libor6M',
'Swap1Y',
'Swap2Y',
'Swap3Y',
'Swap5Y',
'Swap7Y',
'Swap10Y',
'Swap20Y',
'Swap30Y']
yields = [float(x+1)/100 for x in range(len(instruments))]
pricing_date = '01-dec-2013'
dt, rates = zbt_libor_yield(instruments, yields, pricing_date,
compounding_freq='Continuous',
maturity_dates=None)
self.assertAlmostEqual(rates[0], .01, 3)
