def test_reference_evaluation_data_changed(self):
"""Testing term structure against evaluation date change... """
quote = SimpleQuote()
term_structure = FlatForward(settlement_days=self.settlement_days,
forward=quote, calendar=NullCalendar(), daycounter=Actual360())
quote.value = 0.03
expected = []
for days in [10, 30, 60, 120, 360, 720]:
expected.append(
term_structure.discount(self.adjusted_today + days)
)
Settings().evaluation_date = self.adjusted_today + 30
calculated = []
for days in [10, 30, 60, 120, 360, 720]:
calculated.append(
term_structure.discount(self.adjusted_today+ 30 + days)
)
for i, val in enumerate(expected):
self.assertAlmostEqual(val, calculated[i])
def test_relinkable_structures(self):
discounting_term_structure = YieldTermStructure()
settlement_days = 3
flat_term_structure = FlatForward(settlement_days=settlement_days,
forward=0.044, calendar=NullCalendar(), daycounter=Actual360())
discounting_term_structure.link_to(flat_term_structure)
evaluation_date = Settings().evaluation_date +100
self.assertEqual(
flat_term_structure.discount(evaluation_date),
discounting_term_structure.discount(evaluation_date)
)
another_flat_term_structure = FlatForward(settlement_days=10,
forward=0.067, calendar=NullCalendar(), daycounter=Actual365Fixed())
discounting_term_structure.link_to(another_flat_term_structure)
self.assertEqual(
another_flat_term_structure.discount(evaluation_date),
discounting_term_structure.discount(evaluation_date)
)
self.assertNotEqual(
flat_term_structure.discount(evaluation_date),
discounting_term_structure.discount(evaluation_date)
)
def test_reference_evaluation_data_changed(self):
"""Testing term structure against evaluation date change... """
quote = SimpleQuote()
term_structure = FlatForward(settlement_days=self.settlement_days,
forward=quote, calendar=NullCalendar(), daycounter=Actual360())
quote.value = 0.03
expected = []
for days in [10, 30, 60, 120, 360, 720]:
expected.append(
term_structure.discount(self.adjusted_today + days)
)
Settings().evaluation_date = self.adjusted_today + 30
calculated = []
for days in [10, 30, 60, 120, 360, 720]:
calculated.append(
term_structure.discount(self.adjusted_today+ 30 + days)
)
for i, val in enumerate(expected):
self.assertAlmostEqual(val, calculated[i])
def test_relinkable_structures(self):
discounting_term_structure = YieldTermStructure(relinkable=True)
settlement_days = 3
flat_term_structure = FlatForward(settlement_days=settlement_days,
forward=0.044, calendar=NullCalendar(), daycounter=Actual360())
discounting_term_structure.link_to(flat_term_structure)
evaluation_date = Settings().evaluation_date +100
self.assertEqual(
flat_term_structure.discount(evaluation_date),
discounting_term_structure.discount(evaluation_date)
)
another_flat_term_structure = FlatForward(settlement_days=10,
forward=0.067, calendar=NullCalendar(), daycounter=Actual365Fixed())
discounting_term_structure.link_to(another_flat_term_structure)
self.assertEqual(
another_flat_term_structure.discount(evaluation_date),
discounting_term_structure.discount(evaluation_date)
)
self.assertNotEqual(
flat_term_structure.discount(evaluation_date),
discounting_term_structure.discount(evaluation_date)
)
date_today = Date(6,9,2011)
date_payment = Date(6,10,2011)
settlement_days = 2
settings.evaluation_date = date_today
quote = SimpleQuote(value=0.03)
term_structure = FlatForward(
settlement_days = settlement_days,
quote = quote,
calendar = NullCalendar(),
daycounter = Actual360()
)
df_1 = term_structure.discount(date_payment)
date_today = Date(19,9,2011)
settings.evaluation_date = date_today
date_payment = Date(19,10,2011)
df_2 = term_structure.discount(date_payment)
# df_1 and df_2 should be identical:
print('rate: %f df_1: %f df_2 %f difference: %f' % (quote.value, df_1, df_2, df_2-df_1))
# the term structure registers a listener on the quote: a change in quote
# triggers a lazy recalculation of the discount factor
quote.value = .05
df_2 = term_structure.discount(date_payment)
from quantlib.quotes import SimpleQuote
from quantlib.termstructures.yields.api import FlatForward
from quantlib.time.api import Actual360, Date, NullCalendar, TARGET
logging.basicConfig(level=logging.INFO)
logger = logging.getLogger(__name__)
calendar = TARGET()
date_today = Date(6,9,2011)
date_payment = Date(6,12,2000)
settlement_days = 2
quote = SimpleQuote(value=0.03)
term_structure = FlatForward(
settlement_days = settlement_days,
quote = quote,
calendar = NullCalendar(),
daycounter = Actual360()
)
try:
df_1 = term_structure.discount(date_payment)
print('rate: %f df_1: %f' % (quote.value, df_1))
except RuntimeError as exc:
logger.error('Evaluation date and discount date issue.')
logger.exception(exc)
