def testTimeseries(self):
cal = Calendar('China.SSE')
dates = cal.bizDatesList(Date(2014, 1, 1), Date(2015, 7, 21))
values = [0.1 * i for i, _ in enumerate(dates)]
ts = Timeseries(dates, values)
self.assertEqual(ts.size(), len(dates))
firstDate = ts.firstDate()
lastDate = ts.lastDate()
self.assertEqual(
dates[0], firstDate,
"Expected first date {0} is not equal to ts's first date {1}".
format(dates[0], firstDate))
self.assertEqual(
dates[-1], lastDate,
"Expected last date {0} is not equal to ts's last date {1}".format(
dates[-1], lastDate))
for date, value in zip(dates, values):
self.assertEqual(
ts[date], value,
"Expected value at day {0} is not equal to expected {1:f}".
format(date, value))
def testAdvanceDate(self):
referenceDate = dt.date.today()
expected = advanceDate(referenceDate, '3M')
calculated = Date.fromDateTime(referenceDate) + '3M'
self.assertEqual(expected, calculated.toDateTime())
expected = advanceDate(referenceDate, '-3M')
calculated = Date.fromDateTime(referenceDate) - '3M'
self.assertEqual(expected, calculated.toDateTime())
def testAdvanceDate(self):
referenceDate = dt.date.today()
expected = advanceDate(referenceDate, '3M')
calculated = Date.fromDateTime(referenceDate) + '3M'
self.assertEqual(expected, calculated.toDateTime())
expected = advanceDate(referenceDate, '-3M')
calculated = Date.fromDateTime(referenceDate) - '3M'
self.assertEqual(expected, calculated.toDateTime())
def testHolDatesList(self):
holDtList = holDatesList('China.SSE', self.fromDate, self.toDate)
fromDate = Date.fromDateTime(self.fromDate)
currentDate = fromDate.toDateTime()
cal = Calendar('China.SSE')
while currentDate <= self.toDate:
finpyDate = Date.fromDateTime(currentDate)
if not cal.isBizDay(finpyDate):
self.assertTrue(finpyDate.toDateTime() in holDtList,
"{0} is expected as a holiday in {1}".format(finpyDate, cal))
currentDate = (finpyDate + 1).toDateTime()
def testHolDatesList(self):
holDtList = holDatesList('China.SSE', self.fromDate, self.toDate)
fromDate = Date.fromDateTime(self.fromDate)
currentDate = fromDate.toDateTime()
cal = Calendar('China.SSE')
while currentDate <= self.toDate:
finpyDate = Date.fromDateTime(currentDate)
if not cal.isBizDay(finpyDate):
self.assertTrue(finpyDate.toDateTime() in holDtList,
"{0} is expected as a holiday in {1}".format(finpyDate, cal))
currentDate = (finpyDate + 1).toDateTime()
def testAdjustDateByCalendar(self):
referenceDate = Date(2014, 10, 1)
cal = Calendar('China.SSE')
expected = adjustDateByCalendar('China.SSE', referenceDate.toDateTime())
calculated = cal.adjustDate(referenceDate)
self.assertEqual(expected, calculated.toDateTime())
referenceDate = Date(2014, 10, 8)
expected = adjustDateByCalendar('China.SSE', referenceDate.toDateTime(), BizDayConventions.Preceding)
calculated = cal.adjustDate(referenceDate, BizDayConventions.Preceding)
self.assertEqual(expected, calculated.toDateTime())
def testSimpleCashFlowComparing(self):
cf1 = SimpleCashFlow(100., Date(2017, 3, 28))
cf2 = SimpleCashFlow(100., Date(2017, 4, 1))
self.assertTrue(cf1 < cf2)
self.assertFalse(cf1 > cf2)
cf2 = SimpleCashFlow(100., Date(2017, 3, 1))
self.assertTrue(cf1 > cf2)
self.assertFalse(cf1 < cf2)
cf2 = SimpleCashFlow(100., Date(2017, 3, 28))
self.assertTrue(cf1 == cf2)
def testConversion(self):
d1 = Date.todaysDate()
for case in self.cases:
ir = InterestRate(case.r, DayCounter('Actual/360'), case.comp, case.freq)
d2 = d1 + int(360 * case.t + 0.5)
compoundf = ir.compoundFactor(d1, d2)
disc = ir.discountFactor(d1, d2)
self.assertAlmostEqual(compoundf, 1.0 / disc)
ir2 = ir.equivalentRate(ir.dayCounter_,
ir.comp_,
ir.freq_,
d1, d2)
self.assertAlmostEqual(ir2.r_, ir.r_)
self.assertEqual(ir.freq_, ir2.freq_)
self.assertEqual(ir.comp_, ir2.comp_)
ir3 = ir.equivalentRate(ir.dayCounter_,
case.comp2, case.freq2,
d1, d2)
expectedIR = InterestRate(case.expected, ir.dayCounter_,
case.comp2, case.freq2)
self.assertAlmostEqual(ir3.r_, expectedIR.r_, case.precision)
r3 = ir.equivalentRate(ir.dayCounter_,
case.comp2, case.freq2,
d1, d2)
self.assertAlmostEqual(r3.r_, case.expected, case.precision)
def testAdvanceDateByCalendar(self):
referenceDate = Date(2014, 10, 1)
cal = Calendar('China.SSE')
expected = advanceDateByCalendar('China.SSE', referenceDate.toDateTime(), '2D')
calculated = cal.advanceDate(referenceDate, '2D')
self.assertEqual(expected, calculated.toDateTime())
expected = advanceDateByCalendar('China.SSE', referenceDate.toDateTime(), '2D')
calculated = cal.advanceDate(referenceDate, '2D')
self.assertEqual(expected, calculated.toDateTime())
expected = advanceDateByCalendar('China.SSE', referenceDate.toDateTime(), '2B')
calculated = cal.advanceDate(referenceDate, '2B')
self.assertEqual(expected, calculated.toDateTime())
expected = advanceDateByCalendar('China.SSE', referenceDate.toDateTime(), '1Y')
calculated = cal.advanceDate(referenceDate, '1Y')
self.assertEqual(expected, calculated.toDateTime())
def testDatesList(self):
dtList = datesList(self.fromDate, self.toDate)
fromDate = Date.fromDateTime(self.fromDate)
for i, date in enumerate(dtList):
expected = date
calculated = (fromDate + i).toDateTime()
self.assertEqual(date, (fromDate + i).toDateTime(), "at index {0:d}"
"expected: {1}"
"calculated: {2}".format(i, expected, calculated))
def testDatesList(self):
dtList = datesList(self.fromDate, self.toDate)
fromDate = Date.fromDateTime(self.fromDate)
for i, date in enumerate(dtList):
expected = date
calculated = (fromDate + i).toDateTime()
self.assertEqual(date, (fromDate + i).toDateTime(), "at index {0:d}"
"expected: {1}"
"calculated: {2}".format(i, expected, calculated))
def testSimpleCashFlowHasOccurred(self):
cf_date = Date.todaysDate() - 1
cf1 = SimpleCashFlow(100., cf_date)
self.assertTrue(cf1.hasOccurred())
ref_date = cf_date - 1
self.assertFalse(cf1.hasOccurred(ref_date))
ref_date = cf_date
self.assertTrue(cf1.hasOccurred(ref_date))
self.assertFalse(cf1.hasOccurred(ref_date, include_ref_date=True))
def testAdjustDateByCalendar(self):
referenceDate = Date(2014, 10, 1)
cal = Calendar('China.SSE')
expected = adjustDateByCalendar('China.SSE', referenceDate.toDateTime())
calculated = cal.adjustDate(referenceDate)
self.assertEqual(expected, calculated.toDateTime())
referenceDate = Date(2014, 10, 8)
expected = adjustDateByCalendar('China.SSE', referenceDate.toDateTime(), BizDayConventions.Preceding)
calculated = cal.adjustDate(referenceDate, BizDayConventions.Preceding)
self.assertEqual(expected, calculated.toDateTime())
def testAdvanceDateByCalendar(self):
referenceDate = Date(2014, 10, 1)
cal = Calendar('China.SSE')
expected = advanceDateByCalendar('China.SSE', referenceDate.toDateTime(), '2D')
calculated = cal.advanceDate(referenceDate, Period('2D'))
self.assertEqual(expected, calculated.toDateTime())
expected = advanceDateByCalendar('China.SSE', referenceDate.toDateTime(), '2D')
calculated = cal.advanceDate(referenceDate, Period('2D'))
self.assertEqual(expected, calculated.toDateTime())
expected = advanceDateByCalendar('China.SSE', referenceDate.toDateTime(), '2B')
calculated = cal.advanceDate(referenceDate, Period('2B'))
self.assertEqual(expected, calculated.toDateTime())
expected = advanceDateByCalendar('China.SSE', referenceDate.toDateTime(), '1Y')
calculated = cal.advanceDate(referenceDate, Period('1Y'))
self.assertEqual(expected, calculated.toDateTime())
def testSimpleCashFlow(self):
cash_flow = SimpleCashFlow(100., Date(2017, 3, 28))
self.assertAlmostEqual(cash_flow.amount(), 100.)
self.assertEqual(cash_flow.date(), Date(2017, 3, 28))
class ChinaSseImpl(object):
_holDays = {
Date(2005, 1, 3),
Date(2005, 2, 7),
Date(2005, 2, 8),
Date(2005, 2, 9),
Date(2005, 2, 10),
Date(2005, 2, 11),
Date(2005, 2, 14),
Date(2005, 2, 15),
Date(2005, 4, 4),
Date(2005, 5, 2),
Date(2005, 5, 3),
Date(2005, 5, 4),
Date(2005, 5, 5),
Date(2005, 5, 6),
Date(2005, 6, 9),
Date(2005, 9, 15),
Date(2005, 10, 3),
Date(2005, 10, 4),
Date(2005, 10, 5),
Date(2005, 10, 6),
Date(2005, 10, 7),
Date(2006, 1, 2),
Date(2006, 1, 3),
Date(2006, 1, 26),
Date(2006, 1, 27),
Date(2006, 1, 30),
Date(2006, 1, 31),
Date(2006, 2, 1),
Date(2006, 2, 2),
Date(2006, 2, 3),
Date(2006, 4, 4),
Date(2006, 5, 1),
Date(2006, 5, 2),
Date(2006, 5, 3),
Date(2006, 5, 4),
Date(2006, 5, 5),
Date(2006, 6, 9),
Date(2006, 9, 15),
Date(2006, 10, 2),
Date(2006, 10, 3),
Date(2006, 10, 4),
Date(2006, 10, 5),
Date(2006, 10, 6),
Date(2007, 1, 1),
Date(2007, 1, 2),
Date(2007, 1, 3),
Date(2007, 2, 19),
Date(2007, 2, 20),
Date(2007, 2, 21),
Date(2007, 2, 22),
Date(2007, 2, 23),
Date(2007, 4, 4),
Date(2007, 5, 1),
Date(2007, 5, 2),
Date(2007, 5, 3),
Date(2007, 5, 4),
Date(2007, 5, 7),
Date(2007, 10, 1),
Date(2007, 10, 2),
Date(2007, 10, 3),
Date(2007, 10, 4),
Date(2007, 10, 5),
Date(2007, 12, 31),
Date(2008, 1, 1),
Date(2008, 2, 6),
Date(2008, 2, 7),
Date(2008, 2, 8),
Date(2008, 2, 11),
Date(2008, 2, 12),
Date(2008, 4, 4),
Date(2008, 5, 1),
Date(2008, 5, 2),
Date(2008, 6, 9),
Date(2008, 9, 15),
Date(2008, 9, 29),
Date(2008, 9, 30),
Date(2008, 10, 1),
Date(2008, 10, 2),
Date(2008, 10, 3),
Date(2009, 1, 1),
Date(2009, 1, 2),
Date(2009, 1, 26),
Date(2009, 1, 27),
Date(2009, 1, 28),
Date(2009, 1, 29),
Date(2009, 1, 30),
Date(2009, 4, 6),
Date(2009, 5, 1),
Date(2009, 5, 28),
Date(2009, 5, 29),
Date(2009, 10, 1),
Date(2009, 10, 2),
Date(2009, 10, 5),
Date(2009, 10, 6),
Date(2009, 10, 7),
Date(2009, 10, 8),
Date(2010, 1, 1),
Date(2010, 2, 15),
Date(2010, 2, 16),
Date(2010, 2, 17),
Date(2010, 2, 18),
Date(2010, 2, 19),
Date(2010, 4, 5),
Date(2010, 5, 3),
Date(2010, 6, 14),
Date(2010, 6, 15),
Date(2010, 6, 16),
Date(2010, 9, 22),
Date(2010, 9, 23),
Date(2010, 9, 24),
Date(2010, 10, 1),
Date(2010, 10, 4),
Date(2010, 10, 5),
Date(2010, 10, 6),
Date(2010, 10, 7),
Date(2011, 1, 3),
Date(2011, 2, 2),
Date(2011, 2, 3),
Date(2011, 2, 4),
Date(2011, 2, 7),
Date(2011, 2, 8),
Date(2011, 4, 4),
Date(2011, 4, 5),
Date(2011, 5, 2),
Date(2011, 6, 6),
Date(2011, 9, 12),
Date(2011, 10, 3),
Date(2011, 10, 4),
Date(2011, 10, 5),
Date(2011, 10, 6),
Date(2011, 10, 7),
Date(2012, 1, 2),
Date(2012, 1, 3),
Date(2012, 1, 23),
Date(2012, 1, 24),
Date(2012, 1, 25),
Date(2012, 1, 26),
Date(2012, 1, 27),
Date(2012, 4, 2),
Date(2012, 4, 3),
Date(2012, 4, 4),
Date(2012, 4, 30),
Date(2012, 5, 1),
Date(2012, 6, 22),
Date(2012, 10, 1),
Date(2012, 10, 2),
Date(2012, 10, 3),
Date(2012, 10, 4),
Date(2012, 10, 5),
Date(2013, 1, 1),
Date(2013, 1, 2),
Date(2013, 1, 3),
Date(2013, 2, 11),
Date(2013, 2, 12),
Date(2013, 2, 13),
Date(2013, 2, 14),
Date(2013, 2, 15),
Date(2013, 4, 4),
Date(2013, 4, 5),
Date(2013, 4, 29),
Date(2013, 4, 30),
Date(2013, 5, 1),
Date(2013, 6, 10),
Date(2013, 6, 11),
Date(2013, 6, 12),
Date(2013, 9, 19),
Date(2013, 9, 20),
Date(2013, 10, 1),
Date(2013, 10, 2),
Date(2013, 10, 3),
Date(2013, 10, 4),
Date(2013, 10, 7),
Date(2014, 1, 1),
Date(2014, 1, 31),
Date(2014, 2, 3),
Date(2014, 2, 4),
Date(2014, 2, 5),
Date(2014, 2, 6),
Date(2014, 4, 7),
Date(2014, 5, 1),
Date(2014, 5, 2),
Date(2014, 6, 2),
Date(2014, 9, 8),
Date(2014, 10, 1),
Date(2014, 10, 2),
Date(2014, 10, 3),
Date(2014, 10, 6),
Date(2014, 10, 7),
Date(2015, 1, 1),
Date(2015, 1, 2),
Date(2015, 2, 18),
Date(2015, 2, 19),
Date(2015, 2, 20),
Date(2015, 2, 23),
Date(2015, 2, 24),
Date(2015, 4, 6),
Date(2015, 5, 1),
Date(2015, 6, 22),
Date(2015, 9, 3),
Date(2015, 9, 4),
Date(2015, 10, 1),
Date(2015, 10, 2),
Date(2015, 10, 5),
Date(2015, 10, 6),
Date(2015, 10, 7),
Date(2016, 1, 1),
Date(2016, 2, 8),
Date(2016, 2, 9),
Date(2016, 2, 10),
Date(2016, 2, 11),
Date(2016, 2, 12),
Date(2016, 4, 4),
Date(2016, 5, 1),
Date(2016, 6, 9),
Date(2016, 6, 10),
Date(2016, 9, 15),
Date(2016, 9, 16),
Date(2016, 10, 3),
Date(2016, 10, 4),
Date(2016, 10, 5),
Date(2016, 10, 6),
Date(2016, 10, 7)
}
def __init__(self):
pass
def isBizDay(self, date):
w = date.weekday()
if self.isWeekEnd(w) or date in self._holDays:
return False
return True
def isWeekEnd(self, weekDay):
return weekDay == Weekdays.Saturday or weekDay == Weekdays.Sunday
def __eq__(self, right):
if isinstance(right, ChinaSseImpl):
return True
else:
return False
class ChinaIBImpl(object):
_working_weekends = {
# 2005
Date.westernStyle(5, Months.February, 2005),
Date.westernStyle(6, Months.February, 2005),
Date.westernStyle(30, Months.April, 2005),
Date.westernStyle(8, Months.May, 2005),
Date.westernStyle(8, Months.October, 2005),
Date.westernStyle(9, Months.October, 2005),
Date.westernStyle(31, Months.December, 2005),
# 2006
Date.westernStyle(28, Months.January, 2006),
Date.westernStyle(29, Months.April, 2006),
Date.westernStyle(30, Months.April, 2006),
Date.westernStyle(30, Months.September, 2006),
Date.westernStyle(30, Months.December, 2006),
Date.westernStyle(31, Months.December, 2006),
# 2007
Date.westernStyle(17, Months.February, 2007),
Date.westernStyle(25, Months.February, 2007),
Date.westernStyle(28, Months.April, 2007),
Date.westernStyle(29, Months.April, 2007),
Date.westernStyle(29, Months.September, 2007),
Date.westernStyle(30, Months.September, 2007),
Date.westernStyle(29, Months.December, 2007),
# 2008
Date.westernStyle(2, Months.February, 2008),
Date.westernStyle(3, Months.February, 2008),
Date.westernStyle(4, Months.May, 2008),
Date.westernStyle(27, Months.September, 2008),
Date.westernStyle(28, Months.September, 2008),
# 2009
Date.westernStyle(4, Months.January, 2009),
Date.westernStyle(24, Months.January, 2009),
Date.westernStyle(1, Months.February, 2009),
Date.westernStyle(31, Months.May, 2009),
Date.westernStyle(27, Months.September, 2009),
Date.westernStyle(10, Months.October, 2009),
# 2010
Date.westernStyle(20, Months.February, 2010),
Date.westernStyle(21, Months.February, 2010),
Date.westernStyle(12, Months.June, 2010),
Date.westernStyle(13, Months.June, 2010),
Date.westernStyle(19, Months.September, 2010),
Date.westernStyle(25, Months.September, 2010),
Date.westernStyle(26, Months.September, 2010),
Date.westernStyle(9, Months.October, 2010),
# 2011
Date.westernStyle(30, Months.January, 2011),
Date.westernStyle(12, Months.February, 2011),
Date.westernStyle(2, Months.April, 2011),
Date.westernStyle(8, Months.October, 2011),
Date.westernStyle(9, Months.October, 2011),
Date.westernStyle(31, Months.December, 2011),
# 2012
Date.westernStyle(21, Months.January, 2012),
Date.westernStyle(29, Months.January, 2012),
Date.westernStyle(31, Months.March, 2012),
Date.westernStyle(1, Months.April, 2012),
Date.westernStyle(28, Months.April, 2012),
Date.westernStyle(29, Months.September, 2012),
# 2013
Date.westernStyle(5, Months.January, 2013),
Date.westernStyle(6, Months.January, 2013),
Date.westernStyle(16, Months.February, 2013),
Date.westernStyle(17, Months.February, 2013),
Date.westernStyle(7, Months.April, 2013),
Date.westernStyle(27, Months.April, 2013),
Date.westernStyle(28, Months.April, 2013),
Date.westernStyle(8, Months.June, 2013),
Date.westernStyle(9, Months.June, 2013),
Date.westernStyle(22, Months.September, 2013),
Date.westernStyle(29, Months.September, 2013),
Date.westernStyle(12, Months.October, 2013),
# 2014
Date.westernStyle(26, Months.January, 2014),
Date.westernStyle(8, Months.February, 2014),
Date.westernStyle(4, Months.May, 2014),
Date.westernStyle(28, Months.September, 2014),
Date.westernStyle(11, Months.October, 2014),
# 2015
Date.westernStyle(4, Months.January, 2015),
Date.westernStyle(15, Months.February, 2015),
Date.westernStyle(28, Months.February, 2015),
Date.westernStyle(6, Months.September, 2015),
Date.westernStyle(10, Months.October, 2015),
# 2016
Date.westernStyle(6, Months.February, 2016),
Date.westernStyle(14, Months.February, 2016),
Date.westernStyle(12, Months.June, 2016),
Date.westernStyle(18, Months.September, 2016),
Date.westernStyle(8, Months.October, 2016),
Date.westernStyle(9, Months.October, 2016),
}
def __init__(self):
self._sseImpl = ChinaSseImpl()
def isBizDay(self, date):
return self._sseImpl.isBizDay(
date) or date in ChinaIBImpl._working_weekends
def isWeekEnd(self, weekDay):
return weekDay == Weekdays.Saturday or weekDay == Weekdays.Sunday
def __eq__(self, right):
if isinstance(right, ChinaIBImpl):
return True
else:
return False
def endOfMonth(self, d):
return self.adjustDate(Date.endOfMonth(d), BizDayConventions.Preceding)
def endOfMonth(self, d):
return self.adjustDate(Date.endOfMonth(d), BizDayConventions.Preceding)
def testActualActual(self):
cases = [
# first example
SingleCase(Date(2003, 11, 1), Date(2004, 5, 1), 0.500000000000, Date(2003, 11, 1), Date(2004, 5, 1)),
# short first calculation period(first period)
SingleCase(Date(1999, 2, 1), Date(1999, 7, 1), 0.410958904110, Date(1998, 7, 1), Date(1999, 7, 1)),
# short first calculation period(second period)
SingleCase(Date(1999, 7, 1), Date(2000, 7, 1), 1.000000000000, Date(1999, 7, 1), Date(2000, 7, 1)),
# long first calculation period(first period)
SingleCase(Date(2002, 8, 15), Date(2003, 7, 15), 0.915760869565, Date(2003, 1, 15), Date(2003, 7, 15)),
# long first calculation period(second period) / *Warning:
# the ISDA case is in disagreement with mktc1198.pdf *
SingleCase(Date(2003, 7, 15), Date(2004, 1, 15), 0.500000000000, Date(2003, 7, 15), Date(2004, 1, 15)),
# short final calculation period(penultimate period)
SingleCase(Date(1999, 7, 30), Date(2000, 1, 30), 0.500000000000, Date(1999, 7, 30), Date(2000, 1, 30)),
# short final calculation period(final period)
SingleCase(Date(2000, 1, 30), Date(2000, 6, 30), 0.417582417582, Date(2000, 1, 30), Date(2000, 7, 30))
]
for case in cases:
dayCounter = DayCounter('Actual/Actual (ISMA)')
d1 = case.start
d2 = case.end
rd1 = case.refStart
rd2 = case.refEnd
calculated = dayCounter.yearFraction(d1, d2, rd1, rd2)
self.assertAlmostEqual(case.result, calculated)
def setUp(self):
cal = Calendar('China.SSE')
self.dates = cal.bizDatesList(Date(2014, 1, 1), Date(2015, 7, 21))
self.rets = [0.05 for _ in self.dates]
