def testAnnually_k_Spot(self):
c = annually_k_Spot(k)
self.assertEqual(np.round(c.getDF(rate, yearFrac), 8), 0.9419754)
self.assertEqual(np.round(c.getRate(0.9419754, yearFrac), 8), rate)
import unittest
from datetime import date
from irLib.marketConvention.dayCount import ACT_ACT
from irLib.marketConvention.compounding import annually_k_Spot
from irLib.helpers.yieldCurve import yieldCurve, discountCurve, forwardCurve
import numpy as np
alias_disC = 'disC'
alias_forC = 'forC'
referenceDate = date(2020, 6, 26)
dayCount = ACT_ACT()
compounding = annually_k_Spot()
allowExtrapolation = False
# set synthetic data
timeIndex = [1, 2, 3, 4, 5]
flatR = 0.03
dF = ((flatR + 1)**-np.arange(1, 6)).tolist()
forwardRates = (flatR * np.ones(5)).tolist()
spots = (flatR * np.ones(5)).tolist()
yearFrac = np.arange(1, 6).tolist()
par = (flatR * np.ones(5)).tolist()
t = date(2021, 6,
30) # try date(2021, 6, 26) will trigger extrapolation warning msg
t1 = date(2022, 6, 26)
t2 = date(2023, 6, 26)
class testYieldCurveGetRate(unittest.TestCase):
def testDiscountCurve(self):
def testAnnually_1_Spot(self):
c = annually_k_Spot()
self.assertEqual(np.round(c.getDF(rate, yearFrac), 8), 0.94259591)
self.assertEqual(np.round(c.getRate(0.94259591, yearFrac), 8), rate)