def test_first_example_isda(self):
day_counter = ActualActual(ISDA)
self.assertAlmostEqual(
0.497724380567,
day_counter.year_fraction(self.from_date, self.to_date))
def test_first_example_isma(self):
day_counter = ActualActual(ISMA)
self.assertAlmostEqual(
0.5,
day_counter.year_fraction(self.from_date, self.to_date,
self.ref_start, self.ref_end))
def test_first_example_afb(self):
day_counter = ActualActual(AFB)
self.assertAlmostEqual(
0.497267759563,
day_counter.year_fraction(self.from_date, self.to_date)
)
def test_first_example_isma(self):
day_counter = ActualActual(ISMA)
self.assertAlmostEqual(
0.5,
day_counter.year_fraction(self.from_date, self.to_date,
self.ref_start, self.ref_end)
)
def test_first_example_isda(self):
day_counter = ActualActual(ISDA)
self.assertAlmostEqual(
0.497724380567,
day_counter.year_fraction(self.from_date, self.to_date)
)
def test_short_calculation_second_period_isda(self):
day_counter = ActualActual(ISDA)
from_date = Date(1, July, 1999)
to_date = Date(1, July, 2000)
expected_result = 1.001377348600
self.assertAlmostEquals(expected_result,
day_counter.year_fraction(from_date, to_date))
def test_short_calculation_first_period_afb(self):
day_counter = ActualActual(AFB)
from_date = Date(1, February, 1999)
to_date = Date(1, July, 1999)
expected_result = 0.410958904110
self.assertAlmostEquals(expected_result,
day_counter.year_fraction(from_date, to_date))
def test_short_calculation_first_period_isma(self):
day_counter = ActualActual(ISMA)
from_date = Date(1, February, 1999)
to_date = Date(1, July, 1999)
ref_start = Date(1, July, 1998)
ref_end = Date(1, July, 1999)
expected_result = 0.410958904110
self.assertAlmostEquals(
expected_result,
day_counter.year_fraction(from_date, to_date, ref_start, ref_end))
def test_short_calculation_first_period_afb(self):
day_counter = ActualActual(AFB)
from_date = Date(1, February, 1999)
to_date = Date(1, July, 1999)
expected_result = 0.410958904110
self.assertAlmostEquals(
expected_result,
day_counter.year_fraction(from_date, to_date)
)
def test_short_calculation_second_period_afb(self):
day_counter = ActualActual(AFB)
from_date = Date(1, July, 1999)
to_date = Date(1, July, 2000)
expected_result = 1.000000000000
self.assertAlmostEquals(
expected_result,
day_counter.year_fraction(from_date, to_date)
)
def test_short_calculation_second_period_isma(self):
day_counter = ActualActual(ISMA)
from_date = Date(1, July, 1999)
to_date = Date(1, July, 2000)
ref_start = Date(1, July, 1999)
ref_end = Date(1, July, 2000)
expected_result = 1.000000000000
self.assertAlmostEquals(
expected_result,
day_counter.year_fraction(from_date, to_date, ref_start, ref_end))
def test_short_calculation_first_period_isma(self):
day_counter = ActualActual(ISMA)
from_date = Date(1, February, 1999)
to_date = Date(1, July, 1999)
ref_start = Date(1,July,1998)
ref_end = Date(1,July,1999)
expected_result = 0.410958904110
self.assertAlmostEquals(
expected_result,
day_counter.year_fraction(from_date, to_date, ref_start, ref_end)
)
def test_short_calculation_second_period_isma(self):
day_counter = ActualActual(ISMA)
from_date = Date(1, July, 1999)
to_date = Date(1, July, 2000)
ref_start = Date(1, July, 1999)
ref_end = Date(1, July, 2000)
expected_result = 1.000000000000
self.assertAlmostEquals(
expected_result,
day_counter.year_fraction(from_date, to_date, ref_start, ref_end)
)
class DayCounters(dict):
from pybg.quantlib.time.daycounter import (Thirty360, Actual360,
Actual365Fixed)
from pybg.quantlib.time.daycounters.actual_actual import (ActualActual,
ISMA, ISDA, Bond)
_lookup = dict([(dc.name(), dc) for dc in [
Thirty360(),
Actual360(),
Actual365Fixed(),
ActualActual(),
ActualActual(ISMA),
ActualActual(ISDA),
ActualActual(Bond)
]])
def __init__(self, *args):
dict.__init__(self, self._lookup)
self.update(*args)
@classmethod
def year_fraction(cls, date1, date2, daycounter=None):
'''
Calculate the fraction of a year between two date1 and date2,
based on the daycount specified.
dates may be ccyymmdd or python datetime.dates
'''
pydate1, pydate2 = map(parse_date, (date1, date2))
if not daycounter:
daycounter = cls.ActualActual()
qldate1 = qldate_from_pydate(pydate1)
qldate2 = qldate_from_pydate(pydate2)
return daycounter.year_fraction(qldate1, qldate2)
@classmethod
def daycount(cls, date1, date2, daycounter=None):
pydate1, pydate2 = map(parse_date, (date1, date2))
if not daycounter:
daycounter = cls.ActualActual()
qldate1 = qldate_from_pydate(pydate1)
qldate2 = qldate_from_pydate(pydate2)
return daycounter.day_count(qldate1, qldate2)
def test_first_example_afb(self):
day_counter = ActualActual(AFB)
self.assertAlmostEqual(
0.497267759563,
day_counter.year_fraction(self.from_date, self.to_date))