def test_create_interpolated_hazard(self):
Settings.instance().evaluation_date = self.todays_date
dates = [self.todays_date + Period(i, Years) for i in [3, 5, 7]]
hazard_rates = [0.01, 0.03, 0.05]
interpolation_date = self.todays_date + Period(4, Years)
trait = Interpolator.Linear
interpolated_curve = InterpolatedHazardRateCurve(trait, dates,
hazard_rates,
Actual365Fixed())
t0 = interpolated_curve.time_from_reference(dates[0])
t1 = interpolated_curve.time_from_reference(interpolation_date)
t2 = interpolated_curve.time_from_reference(dates[1])
interpolated_value = hazard_rates[0] + (t1-t0) /(t2-t0) * \
(hazard_rates[1] - hazard_rates[0])
self.assertAlmostEqual(interpolated_value,
interpolated_curve.hazard_rate(interpolation_date))
trait = Interpolator.BackwardFlat
interpolated_curve = InterpolatedHazardRateCurve(trait, dates,
hazard_rates,
Actual365Fixed())
interpolated_value = hazard_rates[1]
self.assertAlmostEqual(interpolated_value,
interpolated_curve.hazard_rate(interpolation_date))
trait = Interpolator.LogLinear
interpolated_curve = InterpolatedHazardRateCurve(trait, dates,
hazard_rates,
Actual365Fixed())
with self.assertRaisesRegexp(RuntimeError,
'LogInterpolation primitive not implemented'):
hazard_rate = interpolated_curve.hazard_rate(interpolation_date)
def test_methods(self):
Settings.instance().evaluation_date = self.todays_date
dates = [self.todays_date + Period(i, Years) for i in [3, 5, 7]]
hazard_rates = [0.01, 0.03, 0.05]
for trait in [Interpolator.BackwardFlat, Interpolator.Linear]:
interpolated_curve = InterpolatedHazardRateCurve(
trait, dates, hazard_rates, Actual365Fixed())
self.assertEqual(dates, interpolated_curve.dates)
self.assertEqual(interpolated_curve.data,
interpolated_curve.hazard_rates)
def test_create_interpolated_hazard(self):
Settings.instance().evaluation_date = self.todays_date
dates = [self.todays_date + Period(i, Years) for i in [3, 5, 7]]
hazard_rates = [0.01, 0.03, 0.05]
interpolation_date = self.todays_date + Period(4, Years)
trait = Interpolator.Linear
interpolated_curve = InterpolatedHazardRateCurve(
trait, dates, hazard_rates, Actual365Fixed())
t0 = interpolated_curve.time_from_reference(dates[0])
t1 = interpolated_curve.time_from_reference(interpolation_date)
t2 = interpolated_curve.time_from_reference(dates[1])
interpolated_value = hazard_rates[0] + (t1-t0) /(t2-t0) * \
(hazard_rates[1] - hazard_rates[0])
self.assertAlmostEqual(
interpolated_value,
interpolated_curve.hazard_rate(interpolation_date))
trait = Interpolator.BackwardFlat
interpolated_curve = InterpolatedHazardRateCurve(
trait, dates, hazard_rates, Actual365Fixed())
interpolated_value = hazard_rates[1]
self.assertAlmostEqual(
interpolated_value,
interpolated_curve.hazard_rate(interpolation_date))
trait = Interpolator.LogLinear
interpolated_curve = InterpolatedHazardRateCurve(
trait, dates, hazard_rates, Actual365Fixed())
with self.assertRaisesRegexp(
RuntimeError, 'LogInterpolation primitive not implemented'):
hazard_rate = interpolated_curve.hazard_rate(interpolation_date)