def lag_sample_test(local_test_dir) -> None:
"""
Approval test for ShortRateTimeShiftSample.
The test is successful if output files match git state.
"""
# Create sample generator record
sample = LagSample()
sample.features = ["short_rate", "term_rate"]
sample.lag_months = 6
sample.countries = ["C01", "C02"]
# Create sample
sample.create_sample(caller_file=__file__)
def two_rate_model_test(local_test_dir) -> None:
"""
Approval test for TermRateModel with single calibration across all currencies.
The test is successful if output files match git state.
"""
country_count: int = 2
seed = 0
rand = np.random.RandomState(seed)
lag_months = 6
lag_label = DateUtil.get_lag_label(lag_months=lag_months)
# Perform simulation
model = ShortRateModel()
model.year_count = 1
model.seed = seed
model.countries = [
"C" + str(country_index + 1).zfill(4)
for country_index in range(country_count)
]
model.vol = [0.01] * country_count
model.rev = [0.2] * country_count
model.cap_rev = [0.2] * country_count
model.floor_rev = [0.5] * country_count
model.soft_cap = [0.10] * country_count
model.soft_floor = [0.02] * country_count
model.target = [0.05] * country_count
model.short_rate_0 = [
rand.uniform(-0.1, 0.30) for c in range(country_count)
]
model.simulate(caller_file=__file__)
# Create history plots
short_rate_plot = LinePlot()
short_rate_plot.input_files = ["history.short_rate"]
short_rate_plot.title = "history.short_rate"
short_rate_plot.save_plot(caller_file=__file__)
# Create sample with time shift
sample = LagSample()
sample.features = ["short_rate"]
sample.lag_months = lag_months
sample.create_sample(caller_file=__file__)
# Create sample plot
short_rate_plot = ScatterPlot()
short_rate_plot.input_file = "lag_sample"
short_rate_plot.columns = ["short_rate(t)", f"short_rate(t{lag_label})"]
short_rate_plot.title = "lag_sample.short_rate"
short_rate_plot.save_plot(caller_file=__file__)
]
model.vol = [0.01] * country_count
model.rev = [0.05] * country_count
model.cap_rev = [0.2] * country_count
model.floor_rev = [0.5] * country_count
model.soft_cap = [0.10] * country_count
model.soft_floor = [0.02] * country_count
model.target = [0.05] * country_count
model.short_rate_0 = [
rand.uniform(-0.1, 0.30) for c in range(country_count)
]
model.simulate(caller_file=__file__)
# Create history plots
short_rate_plot = LinePlot()
short_rate_plot.input_files = ["history.short_rate"]
short_rate_plot.title = "history.short_rate"
short_rate_plot.save_plot(caller_file=__file__)
# Create sample with time shift
sample = LagSample()
sample.features = ["short_rate"]
sample.lag_months = lag_months
sample.create_sample(caller_file=__file__)
# Create sample plot
short_rate_plot = ScatterPlot()
short_rate_plot.input_file = "lag_sample"
short_rate_plot.columns = ["short_rate(t)", f"short_rate(t{lag_label})"]
short_rate_plot.title = "lag_sample.short_rate"
short_rate_plot.save_plot(caller_file=__file__)