def testShiftCurve(self):
curve = InterestRateCurve(ccy='USD', index=Index('LIBOR'), term='M',
numTerms=3, pricingDate=self.pricingDate, marketId='TEST1')
curve.load()
#curve.printCurve()
cv1 = curve.buildZeroCurve()
curve.shift(0.01)
cv2 = curve.buildZeroCurve()
for node in cv1.nodes():
a = node
for node in cv2.nodes():
a = node
def testBuildMMAndSwapFullCurve(self):
curve = InterestRateCurve(ccy='USD', index=Index('LIBOR'), term='M',
numTerms=3, pricingDate=self.pricingDate)
curve.addRate(InterestRate(term='M', numTerms=1, type='Deposit',
mid=0.003, curve=curve))
curve.addRate(InterestRate(term='M', numTerms=3, type='Deposit',
mid=0.0039, curve=curve))
curve.addRate(InterestRate(term='M', numTerms=6, type='Deposit',
mid=0.0056, curve=curve))
curve.addRate(InterestRate(term='Y', numTerms=1, type='Swap',
mid=0.0052, curve=curve))
curve.addRate(InterestRate(term='Y', numTerms=2, type='Swap',
mid=0.0054, curve=curve))
curve.addRate(InterestRate(term='Y', numTerms=3, type='Swap',
mid=0.0066, curve=curve))
curve.addRate(InterestRate(term='Y', numTerms=4, type='Swap',
mid=0.0089, curve=curve))
curve.addRate(InterestRate(term='Y', numTerms=5, type='Swap',
mid=0.0116, curve=curve))
curve.addRate(InterestRate(term='Y', numTerms=7, type='Swap',
mid=0.0164, curve=curve))
curve.addRate(InterestRate(term='Y', numTerms=10, type='Swap',
mid=0.0214, curve=curve))
curve.addRate(InterestRate(term='Y', numTerms=30, type='Swap',
mid=0.0295, curve=curve))
cv = curve.buildZeroCurve()
for node in cv.nodes():
a = node
def testCreateCurveAndRates(self):
curve = InterestRateCurve(ccy='USD', index=Index('LIBOR'), term='M',
numTerms=3, pricingDate=self.pricingDate)
rate = InterestRate(term='M', numTerms=1, type='Deposit', mid=0.01,
curve=curve)
curve.addRate(rate)
cv = curve.buildZeroCurve()
for node in cv.nodes():
a = node
def testBuild1RateCurve(self):
curve = InterestRateCurve(ccy='USD', index=Index('LIBOR'), term='M',
numTerms=3, pricingDate=self.pricingDate, marketId='TEST1')
rate = InterestRate(term='M', numTerms=1, type='Deposit', mid=0.01,
curve=curve)
#TODO: Fix. this addRate adds the rate to the DB
curve.addRate(rate)
zeroCurve = curve.buildZeroCurve()
for node in zeroCurve.nodes():
a = node
