def test_zero_rate_curve(self):
rate = 0.02
curve = ZeroRateCurve(self.domain, [rate] * self.len)
for d in self.domain:
for p in self.periods:
self.assertAlmostEqual(curve.get_discount_factor(d + p, d + p),
1.)
self.assertAlmostEqual(curve.get_zero_rate(self.today, d + p),
rate)
self.assertAlmostEqual(curve.get_short_rate(d + p), rate)
yf = curve.day_count(d + p, (d + p) + curve.forward_tenor)
cr = simple_compounding(curve.get_cash_rate(d + p), yf)
self.assertAlmostEqual(continuous_rate(cr, yf), rate)
def test_discount_factor_curve(self):
zr_curve = ZeroRateCurve([self.today, self.today + '1d'], [.02, .02])
df_curve = DiscountFactorCurve(
zr_curve.domain,
[1., zr_curve.get_discount_factor(self.today + '1d')])
for p in self.periods:
x = self.today + p
self.assertAlmostEqual(df_curve.get_discount_factor(x, x), 1.)
z = zr_curve.get_zero_rate(x)
d = df_curve.get_zero_rate(x)
self.assertAlmostEqual(z, d)
z = zr_curve.get_discount_factor(x)
d = df_curve.get_discount_factor(x)
self.assertAlmostEqual(z, d)
z = zr_curve.get_short_rate(x)
d = df_curve.get_short_rate(x)
self.assertAlmostEqual(z, d)
z = zr_curve.get_cash_rate(x)
d = df_curve.get_cash_rate(x)
self.assertAlmostEqual(z, d)