def setUp(self):
self._pricingDate = Date(month=9,day=12,year=2011)
self._marketId = 'TEST1'
QuantLib.Settings.instance().evaluationDate = self._pricingDate.ql()
self._tcSwap = TCSwap(name='Dummy',
ccy = Currency('USD'),
startDate = date(month=9,day=14,year=2011),
endDate = date(month=9,day=14,year=2016),
fixedCoupon = 0.01,
fixedBasis = Basis.createBasis('30360'),
fixedPaymentFrequency = Frequency('S'),
fixedPaymentRollRule = Roll('MF'),
fixedPaymentCalendar = Calendar.createCalendar('US'),
floatingIndex = Index('LIBOR'),
floatingIndexTerm = TimePeriod('M'),
floatingIndexNumTerms = 3,
floatingSpread = 0.0,
floatingBasis = Basis.createBasis('30360'),
floatingPaymentFrequency = Frequency('Q'),
floatingPaymentRollRule = Roll('MF'),
floatingPaymentCalendar = Calendar.createCalendar('US'),
floatingResetFrequency = Frequency('Q'),
floatingResetRollRule = Roll('MF'),
floatingResetCalendar = Calendar.createCalendar('US'))
self._pos = SwapPosition(amount=1000000, tcSwap=self._tcSwap)
class TestSwapPosition(unittest.TestCase):
'''Unit test of BondPosition
'''
def setUp(self):
self._pricingDate = Date(month=9,day=12,year=2011)
self._marketId = 'TEST1'
QuantLib.Settings.instance().evaluationDate = self._pricingDate.ql()
self._tcSwap = TCSwap(name='Dummy',
ccy = Currency('USD'),
startDate = date(month=9,day=14,year=2011),
endDate = date(month=9,day=14,year=2016),
fixedCoupon = 0.01,
fixedBasis = Basis.createBasis('30360'),
fixedPaymentFrequency = Frequency('S'),
fixedPaymentRollRule = Roll('MF'),
fixedPaymentCalendar = Calendar.createCalendar('US'),
floatingIndex = Index('LIBOR'),
floatingIndexTerm = TimePeriod('M'),
floatingIndexNumTerms = 3,
floatingSpread = 0.0,
floatingBasis = Basis.createBasis('30360'),
floatingPaymentFrequency = Frequency('Q'),
floatingPaymentRollRule = Roll('MF'),
floatingPaymentCalendar = Calendar.createCalendar('US'),
floatingResetFrequency = Frequency('Q'),
floatingResetRollRule = Roll('MF'),
floatingResetCalendar = Calendar.createCalendar('US'))
self._pos = SwapPosition(amount=1000000, tcSwap=self._tcSwap)
def testNPV(self):
marketDataContainer = MarketDataContainer()
marketData = self._pos.marketData(self._pricingDate, self._marketId)
marketDataContainer.add(marketData)
self._pos.setMarketDataContainer(marketDataContainer)
# print round(self._pos.NPV(self._pricingDate, self._marketId),2)
self.failIf(round(self._pos.NPV(self._pricingDate, self._marketId),2) <> -5044.78)
# def test__str__(self):
# self.failIf(str(self._pos) <> '<<class \'src.bo.instruments.BondPosition.BondPosition\'>,TEST1,100>')
def testFairRate(self):
marketDataContainer = MarketDataContainer()
marketData = self._pos.marketData(self._pricingDate, self._marketId)
marketDataContainer.add(marketData)
self._pos.setMarketDataContainer(marketDataContainer)
# print round(self._pos.fairRate(self._pricingDate, self._marketId),2)
self.failIf(round(self._pos.fairRate(self._pricingDate, self._marketId),2) <> 0.01)
def testFairSpread(self):
marketDataContainer = MarketDataContainer()
marketData = self._pos.marketData(self._pricingDate, self._marketId)
marketDataContainer.add(marketData)
self._pos.setMarketDataContainer(marketDataContainer)
# print round(self._pos.fairSpread(self._pricingDate, self._marketId),2)
self.failIf(round(self._pos.fairSpread(self._pricingDate, self._marketId),2) <> 0.0)
def testExceptionMarketDataMissing(self):
self.assertRaises(ErrorHandling.MarketDataMissing,
self._pos.NPV, Date(1,1,2009))
def testPriceWith2Curves(self):
marketDataContainer = MarketDataContainer()
marketData = self._pos.marketData(self._pricingDate, self._marketId)
# print marketData[0].buildZeroCurve().nodes()
marketDataContainer.add(marketData)
self._pos.setMarketDataContainer(marketDataContainer)
price1 = round(self._pos.NPV(self._pricingDate, self._marketId),5)
# print price1
marketData[0].shift(0.01)
# print marketData[0].buildZeroCurve().nodes()
marketDataContainer1 = MarketDataContainer()
marketDataContainer1.add(marketData)
self._pos.setMarketDataContainer(marketDataContainer1)
#add dirty flag to position to run setupql again. add add marketdatacontainer method
price2 = round(self._pos.NPV(self._pricingDate, self._marketId),5)
# print price2
self.failIf(price1 == price2)
def testLoadAndSaveMarketData_TODO(self):
#curve should never exist
self._pos.loadAndSaveMarketData(pricingDate=Date(1,1,2009),
marketId=self._marketId)
#now, curve should exist
irCurve = InterestRateCurve()
irCurve.ccy = Currency('USD')
irCurve.index = Index('LIBOR')
irCurve.term = 'M'
irCurve.numTerms = 3
irCurve.pricingDate = Date(1,1,2009)
irCurve.marketId = self._marketId
irCurve.load()
#now, delete again so that next test will work
irCurve.delete()
