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
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_BondAnnuity():
settlement_date = Date(20, 6, 2018)
# print("==============================================================")
# print("SEMI-ANNUAL FREQUENCY")
# print("==============================================================")
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
face = 1000000
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)
testCases.header("Date", "Flow")
num_flows = len(annuity._flow_dates)
for i in range(1, num_flows):
dt = annuity._flow_dates[i]
flow = annuity._flow_amounts[i]
testCases.print(dt, flow)
# print("===============================================================")
# print("QUARTERLY FREQUENCY")
# print("===============================================================")
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.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)
testCases.header("Date", "Flow")
num_flows = len(annuity._flow_dates)
for i in range(1, num_flows):
dt = annuity._flow_dates[i]
flow = annuity._flow_amounts[i]
testCases.print(dt, flow)
# print("==================================================================")
# print("MONTHLY FREQUENCY")
# print("==================================================================")
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)
testCases.header("Date", "Flow")
num_flows = len(annuity._flow_dates)
for i in range(1, num_flows):
dt = annuity._flow_dates[i]
flow = annuity._flow_amounts[i]
testCases.print(dt, flow)
# print("==================================================================")
# print("FORWARD GEN")
# print("==================================================================")
maturity_date = Date(20, 6, 2028)
coupon = 0.05
freq_type = FrequencyTypes.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)
testCases.header("Date", "Flow")
num_flows = len(annuity._flow_dates)
for i in range(1, num_flows):
dt = annuity._flow_dates[i]
flow = annuity._flow_amounts[i]
testCases.print(dt, flow)
# print("==================================================================")
# print("BACKWARD GEN WITH SHORT END STUB")
# print("==================================================================")
maturity_date = Date(20, 6, 2028)
coupon = 0.05
freq_type = FrequencyTypes.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)
testCases.header("Date", "Flow")
num_flows = len(annuity._flow_dates)
for i in range(1, num_flows):
dt = annuity._flow_dates[i]
flow = annuity._flow_amounts[i]
testCases.print(dt, flow)
# print("==================================================================")
# print("FORWARD GEN WITH LONG END STUB")
# print("==================================================================")
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)
testCases.header("Date", "Flow")
num_flows = len(annuity._flow_dates)
for i in range(1, num_flows):
dt = annuity._flow_dates[i]
flow = annuity._flow_amounts[i]
testCases.print(dt, flow)