def testBondEquivalentYieldForMaturityOver182Days(self):
self.assertAlmostEqual(
discountInstrumentBondEquivalentYield(8, 182,
ACT360_DAYS_IN_YEAR(),
ACT365_DAYS_IN_YEAR()),
8.4530, 4)
self.assertAlmostEqual(
discountInstrumentBondEquivalentYield(8, 183,
ACT360_DAYS_IN_YEAR(),
ACT365_DAYS_IN_YEAR()),
8.4540, 2)
def testCleanBondPriceNoAccrued(self):
self.assertAlmostEqual(
cleanBondPrice(100, 6, 3, 1, 9, 0, 100, ACT360_DAYS_IN_YEAR()),
dirtyBondPrice(100, 6, 3, 1, 9, 100, ACT360_DAYS_IN_YEAR()), 2)
def testCleanBondPrice(self):
self.assertAlmostEqual(
cleanBondPrice(100, 6, 3, 1, 9, 260, 100, ACT360_DAYS_IN_YEAR(),
ACT360_DAYS_IN_YEAR()), 121.69, 2)
def testBondAccruedCoupon(self):
self.assertAlmostEqual(
bondAccruedInterest(100, 6, 260, ACT360_DAYS_IN_YEAR()), 4.3333, 4)
def testFRASettlementPriceFromFuture(self):
self.assertAlmostEqual(
forwardRateAgreementSettlementPriceFromFuturePrice(
1000000, 95.25, 6.5, 100, ACT360_DAYS_IN_YEAR()), -4774.90, 2)
def testFRASettlementPrice(self):
self.assertAlmostEqual(
forwardRateAgreementSettlementPrice(1000000, 3, 1.5, 100,
ACT360_DAYS_IN_YEAR()),
4149.38, 2)
def testBondCashAndCarryArbitrage(self):
self.assertAlmostEqual(
bondCashAndCarryArbitrage(100000, 105, 104, 10.2, 2.1, 2.8, 1.034,
100, ACT360_DAYS_IN_YEAR()), 194.87, 2)
def testDirtyBondPrice(self):
self.assertAlmostEqual(
dirtyBondPrice(100, 6, 3, 1, 9, 100, ACT360_DAYS_IN_YEAR()),
126.0201, 4)
def testBondFuturesHedgeNotional(self):
self.assertAlmostEqual(
bondFuturesHedgeNotional(1000000, 5.4, 1.0087, 100,
ACT360_DAYS_IN_YEAR()), 993793.10, 2)
def testBondFuturesPrice(self):
self.assertAlmostEqual(
bondFuturesPrice(105, 6, 5.4, 2, 1.0087, 23, 100, 184,
ACT360_DAYS_IN_YEAR()), 104.04, 2)
def testMoosmullerYieldForBond(self):
self.assertAlmostEqual(
bondPriceUsingMoosmullerYield(100, 6, 5.4, 1, 9, 100,
ACT360_DAYS_IN_YEAR()), 108.1931, 4)
def testMoneyMarketYieldForBond(self):
self.assertAlmostEqual(
bondMoneyMarketYield(100, 107.7133, 6, 1, 9, 100,
ACT360_DAYS_IN_YEAR(), ACT365_DAYS_IN_YEAR()),
5.4, 4)
def testBondPriceUsingSimpleInterestForCalculator(self):
self.assertAlmostEqual(
bondPriceUsingMoneyMarketYieldForCalculators(
100, 6, 5.4, 1, 9, 100, ACT360_DAYS_IN_YEAR(),
ACT365_DAYS_IN_YEAR()), 107.7133, 4)
def testNumberOfInterestRateFutureContractsRequiredForHedge(self):
self.assertAlmostEqual(
interestRateFutureNumberContracts(3000000, 1000000, 6.5, 100, 90,
ACT360_DAYS_IN_YEAR()), 3, 0)
def testDirtyBondPriceFormulationResults(self):
self.assertAlmostEqual(
dirtyBondPrice(100, 6, 3, 1, 9, 100, ACT360_DAYS_IN_YEAR()),
dirtyBondPriceForCalculators(100, 6, 3, 1, 9, 100,
ACT360_DAYS_IN_YEAR()), 4)
def testBondEquivalentYieldForMaturityUnder182Days(self):
self.assertAlmostEqual(
discountInstrumentBondEquivalentYield(8, 100,
ACT360_DAYS_IN_YEAR(),
ACT365_DAYS_IN_YEAR()),
8.2955, 4)
def testBondImpliedRepoRate(self):
self.assertAlmostEqual(
bondImpliedRepoRate(105, 104, 2.1, 2.8, 0, 1.034, 100,
ACT360_DAYS_IN_YEAR()), 10.8773, 4)
def testCleanBondPriceExDividend(self):
self.assertAlmostEqual(
cleanBondPriceExDividend(100, 6, 3, 1, 9, 4,
ACT360_DAYS_IN_YEAR()), 127.08, 2)