def test_(self):
for t in (0.012, 0.2, 0.5, 0.8, 1.0, 1.5, 2.0, 5.0):
rate = 0.01
factor = continuous_compounding(rate, t)
self.assertAlmostEqual(continuous_rate(factor, t), rate)
factor = 0.5
rate = continuous_rate(factor, t)
self.assertAlmostEqual(continuous_compounding(rate, t), factor)
rate = 0.01
factor = simple_compounding(rate, t)
self.assertAlmostEqual(simple_rate(factor, t), rate)
factor = 0.5
rate = simple_rate(factor, t)
self.assertAlmostEqual(simple_compounding(rate, t), factor)
for p in (1, 2, 4, 12, 365):
rate = 0.01
factor = periodic_compounding(rate, t, p)
self.assertAlmostEqual(periodic_rate(factor, t, p), rate)
factor = 0.5
rate = periodic_rate(factor, t, p)
self.assertAlmostEqual(periodic_compounding(rate, t, p),
factor)
def rate_from_disc_factor(start, end, dcc, df):
"""
calculates rate between given dates (start date excluded, end date included) from given discount factor
:param BusinessDate start : start date of BusinessPeriod
:param BusinessDate end : end date of BusinessPeriod
:param dcc dcc : BusinessPeriod day count convention
:param double df : discount factor
:return double : rate
"""
return periodic_rate(df, dcc.get_year_fraction(start, end), 365)
def __init__(self, freq=1):
super(Discrete, self).__init__()
self.disc_factor_from_rate = \
lambda start, end, dcc, rate: periodic_compounding(rate, dcc.get_year_fraction(start, end), freq)
self.rate_from_disc_factor = \
lambda start, end, dcc, df: periodic_rate(df, dcc.get_year_fraction(start, end), freq)