def test_euribor(self):
"""
Market tests for Euribor futures.
Not checking numerical accuracy.
"""
# Euribor market instance.
m = IborMarket('Euribor Market', 'EUR:1Y')
evaluation_date = Date(20, 3, 2014)
quotes = [
(u'ERM4', Date(18, 6, 2014), 99.67),
(u'ERU4', Date(17, 9, 2014), 99.67),
(u'ERZ4', Date(17, 12, 2014), 99.66),
(u'ERH5', Date(18, 3, 2015), 99.63),
(u'ERM5', Date(17, 6, 2015), 99.59),
(u'ERU5', Date(16, 9, 2015), 99.53),
(u'ERZ5', Date(16, 12, 2015), 99.46),
(u'ERH6', Date(16, 3, 2016), 99.38),
]
m.set_quotes(evaluation_date, quotes)
m.bootstrap_term_structure()
dt = Date(20, 6, 2014)
df = m.discount(dt)
self.assertTrue(df > 0)
def test_euribor(self):
"""
Market tests for Euribor futures.
Not checking numerical accuracy.
"""
# Euribor market instance.
m = IborMarket('Euribor Market', 'EUR:1Y')
evaluation_date = Date(20, 3, 2014)
quotes = [
(u'ERM4', Date(18, 6, 2014), 99.67),
(u'ERU4', Date(17, 9, 2014), 99.67),
(u'ERZ4', Date(17, 12, 2014), 99.66),
(u'ERH5', Date(18, 3, 2015), 99.63),
(u'ERM5', Date(17, 6, 2015), 99.59),
(u'ERU5', Date(16, 9, 2015), 99.53),
(u'ERZ5', Date(16, 12, 2015), 99.46),
(u'ERH6', Date(16, 3, 2016), 99.38),
]
m.set_quotes(evaluation_date, quotes)
m.bootstrap_term_structure()
dt = Date(20, 6, 2014)
df = m.discount(dt)
self.assertTrue(df > 0)
def test_fixed_rate_bonds(self):
"""
Market tests for fixed rate bond quotes.
Not checking numerical accuracy.
"""
m = IborMarket('Euribor Market', 'EUR:1Y')
evaluation_date = Date(20, 3, 2014)
quotes = [
(103.455, [0.02], '1Y', Date(14, 1, 2011), Date(26, 2, 2016)),
(100.075, [0.0025], '1Y', Date(14, 2, 2014), Date(11, 3, 2016)),
(105.15, [0.0275], '1Y', Date(26, 4, 2011), Date(8, 4, 2016))
]
m.set_bonds(evaluation_date, quotes)
m.bootstrap_term_structure()
dt = Date(20, 6, 2014)
df = m.discount(dt)
self.assertTrue(df > 0)
def test_fixed_rate_bonds(self):
"""
Market tests for fixed rate bond quotes.
Not checking numerical accuracy.
"""
m = IborMarket('Euribor Market', 'EUR:1Y')
evaluation_date = Date(20, 3, 2014)
quotes = [
(103.455, [0.02], '1Y', Date(14, 1, 2011), Date(26, 2, 2016)),
(100.075, [0.0025], '1Y', Date(14, 2, 2014), Date(11, 3, 2016)),
(105.15, [0.0275], '1Y', Date(26, 4, 2011), Date(8, 4, 2016))
]
m.set_bonds(evaluation_date, quotes)
m.bootstrap_term_structure()
dt = Date(20, 6, 2014)
df = m.discount(dt)
self.assertTrue(df > 0)