def test_yield(self): rates_data = [('Libor1M',.01), ('Libor3M', .015), ('Libor6M', .017), ('Swap1Y', .02), ('Swap2Y', .03), ('Swap3Y', .04), ('Swap5Y', .05), ('Swap7Y', .06), ('Swap10Y', .07), ('Swap20Y', .08)] settlement_date = pydate_to_qldate('01-Dec-2013') rate_helpers = [] for label, rate in rates_data: h = make_rate_helper(label, rate, settlement_date) rate_helpers.append(h) ts_day_counter = ActualActual(ISDA) tolerance = 1.0e-15 ts = PiecewiseYieldCurve[BootstrapTrait.Discount, LogLinear].from_reference_date( settlement_date, rate_helpers, ts_day_counter, accuracy=tolerance ) zc = zero_rate(ts, (200, 300), settlement_date) # not a real test - just verify execution self.assertAlmostEqual(zc[1][0], 0.0189, 2)
def test_yield(self): rates_data = [('Libor1M',SimpleQuote(.01)), ('Libor3M', SimpleQuote(.015)), ('Libor6M', SimpleQuote(.017)), ('Swap1Y', SimpleQuote(.02)), ('Swap2Y', SimpleQuote(.03)), ('Swap3Y', SimpleQuote(.04)), ('Swap5Y', SimpleQuote(.05)), ('Swap7Y', SimpleQuote(.06)), ('Swap10Y', SimpleQuote(.07)), ('Swap20Y', SimpleQuote(.08))] settlement_date = pydate_to_qldate('01-Dec-2013') rate_helpers = [] for label, rate in rates_data: h = make_rate_helper(label, rate, settlement_date) rate_helpers.append(h) ts_day_counter = ActualActual(ISDA) tolerance = 1.0e-15 ts = PiecewiseYieldCurve( 'discount', 'loglinear', settlement_date, rate_helpers, ts_day_counter, tolerance ) zc = zero_rate(ts, (200, 300), settlement_date) # not a real test - just verify execution self.assertAlmostEqual(zc[1][0], 0.0189, 2)
def test_yield(self): rates_data = [ ("Libor1M", 0.01), ("Libor3M", 0.015), ("Libor6M", 0.017), ("Swap1Y", 0.02), ("Swap2Y", 0.03), ("Swap3Y", 0.04), ("Swap5Y", 0.05), ("Swap7Y", 0.06), ("Swap10Y", 0.07), ("Swap20Y", 0.08), ] settlement_date = pydate_to_qldate("01-Dec-2013") rate_helpers = [] for label, rate in rates_data: h = make_rate_helper(label, rate, settlement_date) rate_helpers.append(h) ts_day_counter = ActualActual(ISDA) tolerance = 1.0e-15 ts = term_structure_factory("discount", "loglinear", settlement_date, rate_helpers, ts_day_counter, tolerance) zc = zero_rate(ts, (200, 300), settlement_date) # not a real test - just verify execution self.assertAlmostEqual(zc[1][0], 0.0189, 2)
def test_yield(self): rates_data = [('Libor1M',.01), ('Libor3M', .015), ('Libor6M', .017), ('Swap1Y', .02), ('Swap2Y', .03), ('Swap3Y', .04), ('Swap5Y', .05), ('Swap7Y', .06), ('Swap10Y', .07), ('Swap20Y', .08)] settlement_date = pydate_to_qldate('01-Dec-2013') rate_helpers = [] for label, rate in rates_data: h = make_rate_helper(label, rate, settlement_date) rate_helpers.append(h) ts_day_counter = ActualActual(ISDA) tolerance = 1.0e-15 ts = PiecewiseYieldCurve.from_reference_date( BootstrapTrait.Discount, Interpolator.LogLinear, settlement_date, rate_helpers, ts_day_counter, tolerance ) zc = zero_rate(ts, (200, 300), settlement_date) # not a real test - just verify execution self.assertAlmostEqual(zc[1][0], 0.0189, 2)