def test_create_flat_hazard(self):
Settings.instance().evaluation_date = self.todays_date
flat_curve = FlatHazardRate(2, self.calendar, 0.05, Actual365Fixed())
flat_curve_from_reference_date = FlatHazardRate.from_reference_date(
self.calendar.advance(self.todays_date, 2, Days), 0.05, Actual365Fixed())
self.assertIsNotNone(flat_curve)
self.assertIsNotNone(flat_curve_from_reference_date)
self.assertEqual(flat_curve.time_from_reference(self.d),
flat_curve_from_reference_date.time_from_reference(self.d))
self.assertAlmostEqual(flat_curve.hazard_rate(self.d), 0.05)
self.assertAlmostEqual(flat_curve.survival_probability(self.d),
math.exp(-0.05*flat_curve.time_from_reference(self.d)))
def test_create_flat_hazard(self):
Settings.instance().evaluation_date = self.todays_date
flat_curve = FlatHazardRate(2, self.calendar, 0.05, Actual365Fixed())
flat_curve_from_reference_date = FlatHazardRate.from_reference_date(
self.calendar.advance(self.todays_date, 2, Days), 0.05, Actual365Fixed())
self.assertIsNotNone(flat_curve)
self.assertIsNotNone(flat_curve_from_reference_date)
self.assertEqual(flat_curve.time_from_reference(self.d),
flat_curve_from_reference_date.time_from_reference(self.d))
self.assertAlmostEqual(flat_curve.hazard_rate(self.d), 0.05)
self.assertAlmostEqual(flat_curve.survival_probability(self.d),
math.exp(-0.05*flat_curve.time_from_reference(self.d)))
def test_flat_hazard_with_quote(self):
Settings.instance().evaluation_date = self.todays_date
hazard_rate = SimpleQuote()
flat_curve = FlatHazardRate(2, self.calendar, hazard_rate, Actual365Fixed())
for h in [0.01, 0.02, 0.03]:
hazard_rate.value = h
self.assertAlmostEqual(flat_curve.survival_probability(self.d),
math.exp(-h * flat_curve.time_from_reference(self.d)))
def test_flat_hazard_with_quote(self):
Settings.instance().evaluation_date = self.todays_date
hazard_rate = SimpleQuote()
flat_curve = FlatHazardRate(2, self.calendar, hazard_rate, Actual365Fixed())
for h in [0.01, 0.02, 0.03]:
hazard_rate.value = h
self.assertAlmostEqual(flat_curve.survival_probability(self.d),
math.exp(-h * flat_curve.time_from_reference(self.d)))
