def test_simple(self):
t0 = datetime(2014,4,1)
cash = [
fixed_income.cash(t0,t0+dates.relativedelta(days=t),1.0,r,'A/360')
for t,r in ((30,0.005),(90,0.007),(180,0.010))
]
swaps = [
fixed_income.simple_swap(dates.schedule(t0,t0+dates.relativedelta(years=t),6,False,'A/360'),1.0,r)
for t,r in ((1,0.012),(3,0.02),(5,0.020))
]
inst = cash + swaps
func = __fmin__(t0,inst,'linear',True)
func( ones(len(inst)) )
yc = bootstrap(t0,inst)
print '>>> Discounts:',[yc(i.maturity_date) for i in inst]
for i in inst:
self.assertAlmostEqual(i.par_rate(yc),i.rate,3)
self.assertAlmostEqual(i.value(yc),0.0,3)
def test_simple(self):
t0 = datetime(2014, 4, 1)
cash = [
fixed_income.cash(t0, t0 + dates.relativedelta(days=t), 1.0, r,
'A/360')
for t, r in ((30, 0.005), (90, 0.007), (180, 0.010))
]
swaps = [
fixed_income.simple_swap(
dates.schedule(t0, t0 + dates.relativedelta(years=t), 6, False,
'A/360'), 1.0, r)
for t, r in ((1, 0.012), (3, 0.02), (5, 0.020))
]
inst = cash + swaps
func = __fmin__(t0, inst, 'linear', True)
func(ones(len(inst)))
yc = bootstrap(t0, inst)
print '>>> Discounts:', [yc(i.maturity_date) for i in inst]
for i in inst:
self.assertAlmostEqual(i.par_rate(yc), i.rate, 3)
self.assertAlmostEqual(i.value(yc), 0.0, 3)
def test_swap(self):
yc = testyc()
t0 = datetime(2014,4,1)
s = simple_swap(dates.schedule(t0,t0+dates.relativedelta(years=3),6,False,'A/360'),1.0,0.1)
r = s.par_rate(yc)
s.rate = r
v = s.value(yc)
self.assertAlmostEqual(v,0.0,3)
def test_swap(self):
yc = testyc()
t0 = datetime(2014, 4, 1)
s = simple_swap(
dates.schedule(t0, t0 + dates.relativedelta(years=3), 6, False,
'A/360'), 1.0, 0.1)
r = s.par_rate(yc)
s.rate = r
v = s.value(yc)
self.assertAlmostEqual(v, 0.0, 3)