def test_zero_rate(self): """ Not a real test - just verifies that it runs """ instruments = ['Libor1M', 'Libor3M', 'Libor6M', 'Swap1Y', 'Swap2Y', 'Swap3Y', 'Swap5Y', 'Swap7Y', 'Swap10Y', 'Swap20Y', 'Swap30Y'] yields = [SimpleQuote(.01), SimpleQuote(.015), SimpleQuote(.02), SimpleQuote(.03), SimpleQuote(.04), SimpleQuote(.05), SimpleQuote(.06), SimpleQuote(.07), SimpleQuote(.08), SimpleQuote(.09), SimpleQuote(.1)] pricing_date = '01-dec-2013' dt, rates = zbt_libor_yield(instruments, yields, pricing_date, compounding_freq='Continuous', maturity_dates=None) self.assertAlmostEqual(rates[0], .01, 3)
def test_zero_rate(self): """ Not a real test - just verifies that it runs """ instruments = [ "Libor1M", "Libor3M", "Libor6M", "Swap1Y", "Swap2Y", "Swap3Y", "Swap5Y", "Swap7Y", "Swap10Y", "Swap20Y", "Swap30Y", ] yields = [0.01, 0.015, 0.02, 0.03, 0.04, 0.05, 0.06, 0.07, 0.08, 0.09, 0.1] pricing_date = "01-dec-2013" dt, rates = zbt_libor_yield( instruments, yields, pricing_date, compounding_freq="Continuous", maturity_dates=None ) self.assertAlmostEqual(rates[0], 0.01, 3)
def test_zero_rate(self): """ Not a real test - just verifies that it runs """ instruments = [ 'Libor1M', 'Libor3M', 'Libor6M', 'Swap1Y', 'Swap2Y', 'Swap3Y', 'Swap5Y', 'Swap7Y', 'Swap10Y', 'Swap20Y', 'Swap30Y' ] yields = [float(x + 1) / 100 for x in range(len(instruments))] pricing_date = '01-dec-2013' dt, rates = zbt_libor_yield(instruments, yields, pricing_date, compounding_freq='Continuous', maturity_dates=None) self.assertAlmostEqual(rates[0], .01, 3)
def test_zero_rate(self): """ Not a real test - just verifies that it runs """ instruments = ['Libor1M', 'Libor3M', 'Libor6M', 'Swap1Y', 'Swap2Y', 'Swap3Y', 'Swap5Y', 'Swap7Y', 'Swap10Y', 'Swap20Y', 'Swap30Y'] yields = [float(x+1)/100 for x in range(len(instruments))] pricing_date = '01-dec-2013' dt, rates = zbt_libor_yield(instruments, yields, pricing_date, compounding_freq='Continuous', maturity_dates=None) self.assertAlmostEqual(rates[0], .01, 3)