def test_swaption_build_asset_query_usd():
defautls = _swaption_build_asset_query(CurrencyEnum.USD)
assert defautls["asset_parameters_floating_rate_option"] == "USD-LIBOR-BBA"
assert defautls["asset_parameters_clearing_house"] == "LCH"
assert defautls["asset_parameters_termination_date"] == "5y"
assert defautls["asset_parameters_expiration_date"] == "1y"
assert defautls["asset_parameters_effective_date"] == "0b"
assert defautls["asset_parameters_strike"] == "ATM"
def test_swaption_build_asset_query_custom():
defautls = _swaption_build_asset_query(CurrencyEnum.USD, "LIBOR", "12y", "66y", "12m", "ATM+50", "120y", "ABC")
assert defautls["asset_parameters_floating_rate_option"] == "USD-LIBOR-BBA"
assert defautls["asset_parameters_floating_rate_designated_maturity"] == "12m"
assert defautls["asset_parameters_clearing_house"] == "ABC"
assert defautls["asset_parameters_termination_date"] == "120y"
assert defautls["asset_parameters_expiration_date"] == "66y"
assert defautls["asset_parameters_effective_date"] == "12y"
assert defautls["asset_parameters_strike"] == "ATM+50"
def test_swaption_build_asset_query_strike_reference():
defautls = _swaption_build_asset_query(CurrencyEnum.USD, None, None, None, None,
"ATM+50")
assert defautls["asset_parameters_floating_rate_option"] == "USD-LIBOR-BBA"
assert defautls["asset_parameters_clearing_house"] == "LCH"
assert defautls["asset_parameters_floating_rate_designated_maturity"] == "3m"
assert defautls["asset_parameters_termination_date"] == "5y"
assert defautls["asset_parameters_expiration_date"] == "1y"
assert defautls["asset_parameters_effective_date"] == "0b"
assert defautls["asset_parameters_strike"] == "ATM+50"
def test_swaption_build_asset_query_custom_throws():
with pytest.raises(MqValueError):
_swaption_build_asset_query(CurrencyEnum.USD, "NIBOR", "12y", "66y",
"12m", "ATM+50", "120y", "ABC")
def test_swaption_build_asset_query_throws_on_invalid_tenor():
with pytest.raises(MqValueError):
_swaption_build_asset_query(CurrencyEnum.USD, expiration_tenor="Abc")
