def test_mean_reversion(self):
res = list()
res.append([
self.hull_white_curve.get_zero_rate(self.today, t)
for t in self.grid
])
for short_rate in [-.01, .0, .01]:
for mr in [0.01, 0.02, 0.05, 0.1, 0.2, 0.5]:
hwc = HullWhiteCurveFactorModel(self.zero_curve,
mean_reversion=mr,
volatility=self.volatility)
hwc.set_risk_factor(self.today + '1y', short_rate)
res.append(
[hwc.get_zero_rate(self.today, t) for t in self.grid])
self.plot['test_mean_reversion'] = res
self.assertTrue(True)
def test_volatility(self):
res = list()
res.append([
self.hull_white_curve.get_zero_rate(self.today, t)
for t in self.grid
])
for short_rate in [-.01, .0, .01]:
for v in [.005, .01, .05, .1]:
hwc = HullWhiteCurveFactorModel(
self.zero_curve,
mean_reversion=self.mean_reversion,
volatility=v)
hwc.set_risk_factor(self.today + '1y', short_rate)
res.append(
[hwc.get_zero_rate(self.today, t) for t in self.grid])
self.plot['test_volatility'] = res
self.assertTrue(True)
class HullWhiteCurveUnitTests(TestCase):
def setUp(self):
self.today = _today
self.grid = _grid
self.termday = self.grid[-1]
self.flat_zero_curve = ZeroRateCurve([self.today], [0.05])
self.term_zero_curve = ZeroRateCurve(self.grid, _term)
self.zero_curve = self.flat_zero_curve
self.mean_reversion = .1
self.volatility = .005
self.hull_white_curve = HullWhiteCurveFactorModel(
self.zero_curve,
mean_reversion=self.mean_reversion,
volatility=self.volatility)
self.plot = dict()
def tearDown(self):
if __name__ == '__main__':
_try_plot(self.plot, self.grid, self.today)
def test_curve(self):
for d in self.grid:
zr = self.zero_curve.get_discount_factor(self.today, d)
hw = self.hull_white_curve.get_discount_factor(self.today, d)
self.assertAlmostEqual(zr, hw)
zr = self.zero_curve.get_discount_factor(d, self.termday)
hw = self.hull_white_curve.get_discount_factor(d, self.termday)
self.assertAlmostEqual(zr, hw)
zr = self.zero_curve.get_cash_rate(d)
hw = self.hull_white_curve.get_cash_rate(d)
self.assertAlmostEqual(zr, hw)
# assert self.zero_curve.get_discount_factor(self.today, d) == \
# self.hull_white_curve.get_discount_factor(self.today, d), \
# 'HullWhiteCurve fails at get_discount_factor(self.today, d) = get_discount_factor(%s, %s)' \
# % (str(self.today), str(d))
# assert self.zero_curve.get_discount_factor(d, self.termday) == \
# self.hull_white_curve.get_discount_factor(d, self.termday), \
# 'HullWhiteCurve fails at get_discount_factor(d, self.termday) = get_discount_factor(%s, %s)' \
# % (str(d), str(self.termday))
# assert self.zero_curve.get_cash_rate(d) == self.hull_white_curve.get_cash_rate(d), \
# 'HullWhiteCurve fails at get_cash_rate(d) = get_cash_rate(%s)' % (str(d))
if not self.today == d and not d == self.termday:
zr = self.zero_curve.get_zero_rate(self.today, d)
hw = self.hull_white_curve.get_zero_rate(self.today, d)
self.assertAlmostEqual(zr, hw)
zr = self.zero_curve.get_zero_rate(d, self.termday)
hw = self.hull_white_curve.get_zero_rate(d, self.termday)
self.assertAlmostEqual(zr, hw)
# assert self.zero_curve.get_zero_rate(self.today, d) == \
# self.hull_white_curve.get_zero_rate(self.today, d), \
# 'HullWhiteCurve fails at get_zero_rate(self.today, d) = get_zero_rate(%s, %s)' \
# % (str(self.today), str(d))
# assert self.zero_curve.get_zero_rate(d, self.termday) == \
# self.hull_white_curve.get_zero_rate(d, self.termday), \
# 'HullWhiteCurve fails at get_zero_rate(d, self.termday) = get_zero_rate(%s, %s)' \
# % (str(d), str(self.termday))
def test_short_rate(self):
res = list()
res.append([
self.hull_white_curve.get_zero_rate(self.today, t)
for t in self.grid
])
for short_rate in [-.01, .0, .01]:
self.hull_white_curve.set_risk_factor(self.today, short_rate)
res.append([
self.hull_white_curve.get_zero_rate(self.today, t)
for t in self.grid
])
res.append(
[self.hull_white_curve.get_cash_rate(t) for t in self.grid])
self.plot['test_short_rate'] = res
self.assertTrue(True)
def test_forward_rate(self):
res = list()
res.append([
self.hull_white_curve.get_zero_rate(self.today, t)
for t in self.grid
])
for short_rate in [-.01, .0, .01]:
for p in ['0d', '1y', '2y', '3y']:
self.hull_white_curve.set_risk_factor(self.today + p,
short_rate)
res.append([
self.hull_white_curve.get_zero_rate(self.today, t)
for t in self.grid
])
self.plot['test_forward_rate'] = res
self.assertTrue(True)
def test_mean_reversion(self):
res = list()
res.append([
self.hull_white_curve.get_zero_rate(self.today, t)
for t in self.grid
])
for short_rate in [-.01, .0, .01]:
for mr in [0.01, 0.02, 0.05, 0.1, 0.2, 0.5]:
hwc = HullWhiteCurveFactorModel(self.zero_curve,
mean_reversion=mr,
volatility=self.volatility)
hwc.set_risk_factor(self.today + '1y', short_rate)
res.append(
[hwc.get_zero_rate(self.today, t) for t in self.grid])
self.plot['test_mean_reversion'] = res
self.assertTrue(True)
def test_volatility(self):
res = list()
res.append([
self.hull_white_curve.get_zero_rate(self.today, t)
for t in self.grid
])
for short_rate in [-.01, .0, .01]:
for v in [.005, .01, .05, .1]:
hwc = HullWhiteCurveFactorModel(
self.zero_curve,
mean_reversion=self.mean_reversion,
volatility=v)
hwc.set_risk_factor(self.today + '1y', short_rate)
res.append(
[hwc.get_zero_rate(self.today, t) for t in self.grid])
self.plot['test_volatility'] = res
self.assertTrue(True)