def setUp(self):
self.today = BusinessDate(20161231)
self.schedule = BusinessSchedule(self.today, self.today + '5y', '1m')
self.df = DiscountFactorCurve([self.today], [1.],
interpolation=interpolation_scheme)
self.df2 = DiscountFactorCurve([self.today], [.2],
interpolation=interpolation_scheme)
self.curve = CashRateCurve([self.today], [.1])
def test_init(self):
leg1 = RateCashFlowList(self.schedule, 100., fixed_rate=1.)
curve = CashRateCurve([self.today], [.1])
leg2 = RateCashFlowList(self.schedule, -1000., forward_curve=curve)
cf = self.cls((leg1, leg2))
for d in self.schedule:
self.assertIn(d, cf.domain)
self.assertAlmostEqual(0., cf[d])
def setUp(self):
self.today = BusinessDate(20161231)
self.schedule = BusinessSchedule(self.today, self.today + '5y', '1m')
self.rate = 0.01
self.df = DiscountFactorCurve(ZeroRateCurve([self.today], [self.rate]))
self.curve = CashRateCurve([self.today], [self.rate])
def test_cash3m_cast(self):
for p in self.periods:
curve = self.curve(p)
cast = self.cast_type(CashRateCurve(curve, forward_tenor='3M'))
for d in curve.domain[1:]:
self.assertAlmostEqual(cast(d), curve(d), self.cash_precision)
def test_forward_rate(self):
leg1 = RateCashFlowList(self.schedule, 100., fixed_rate=1.)
curve = CashRateCurve([self.today], [.1])
leg2 = RateCashFlowList(self.schedule, 1000., forward_curve=curve)
for d in self.schedule:
self.assertAlmostEqual(leg1[d], leg2[d])