def test_price_equals_par_when_coupon_equals_ytm(self):
face_value = 100
ytm = 0.07
coupon = ytm * face_value
bond = bonds.Bond(face_value=face_value,
coupon=coupon,
ytm=ytm,
periods=12)
self.assertAlmostEqual(bond.price, face_value)
def test_cash_flow_iteration(self):
face_value = 100
coupon = 7
periods = 2
bond = bonds.Bond(ytm=0.01,
face_value=face_value,
periods=periods,
coupon=coupon)
actual = list(bond)
expected = [(1, coupon), (2, coupon + face_value)]
self.assertEqual(actual, expected)
def test_from_price(self):
face_value = 100
coupon = 6.5
periods = 8
ytm = coupon / face_value
actual = bonds.Bond.from_price(bond_price=face_value,
face_value=face_value,
periods=periods,
coupon=coupon)
expected = bonds.Bond(ytm=ytm,
face_value=face_value,
periods=periods,
coupon=coupon)
self.assertEqual(actual, expected)
def test_coupon_bond_price_change_without_convexity(self):
"""Based question 23c chapter 16 of Bodie Kane Marcus - Investments (10th Ed)"""
bond = bonds.Bond(ytm=0.07, face_value=100, periods=10, coupon=7)
actual = bond.price_change(ytm_change=0.01)
expected = -7.02358154
self.assertAlmostEqual(actual, expected)
def test_coupon_bond_convexity(self):
"""Based question 23b chapter 16 of Bodie Kane Marcus - Investments (10th Ed)"""
bond = bonds.Bond(ytm=0.07, face_value=100, periods=10, coupon=7)
expected = 64.9329593
self.assertAlmostEqual(bond.convexity, expected)
def test_coupon_bond_duration(self):
"""Based question 23a chapter 16 of Bodie Kane Marcus - Investments (10th Ed)"""
bond = bonds.Bond(ytm=0.07, face_value=100, periods=10, coupon=7)
expected = 7.51523225
self.assertAlmostEqual(bond.duration, expected)
def test_non_int_periods_causes_assertion_error(self):
with self.assertRaises(AssertionError):
bonds.Bond(face_value=100, coupon=5, periods=2.5, ytm=0.03)