def _rebuild_object(self):
if self._is_modified_property(
'_calendar_') and not self._is_modified_property('_spot_'):
self._spot_ = BusinessPeriod(businessdays=self._spot_.businessdays,
holiday=self._calendar_)
x_list = list()
# carefully cast x_list/curve dates
for x in self._curve_.row_keys():
if BusinessDate.is_businessdate(x):
x = BusinessDate(x)
elif BusinessPeriod.is_businessperiod(x):
x = BusinessPeriod(x).to_businessdate(self.origin)
else:
s = repr(x), type(
x), BusinessDate.__name__, self.__class__.__name__
raise ValueError(
'Cannot cast value %s of type %s to %s in %s construction.'
% s)
x_list.append(x)
y_list = list(map(float, self._curve_.col('Rate')))
y_inter = Constant(), self._interpolation_, self._extrapolation_
if self._rate_type_ == "Zero":
self._inner_curve = ZeroRateCurve(x_list,
y_list,
y_inter,
self.origin,
day_count=self._day_count_)
else:
msg = "_curve_ " + self.object_name + ": RateType " + self._rate_type_ + " not implemented, yet."
raise NotImplementedError(msg)
self._curve_df_dict = dict()
return self
def test_diff(self):
d1 = BusinessDate.from_ymd(2016, 1, 31)
d2 = BusinessDate.from_ymd(2017, 11, 1)
y, m, d = BusinessDate.diff_in_ymd(d1, d2)
diff = BusinessPeriod(years=y, months=m, days=d)
self.assertEqual('1Y9M1D', str(diff))
d1 = BusinessDate.from_ymd(2016, 2, 29)
d2 = BusinessDate.from_ymd(2017, 3, 1)
y, m, d = BusinessDate.diff_in_ymd(d1, d2)
diff = BusinessPeriod(years=y, months=m, days=d)
self.assertEqual('1Y1D', str(diff))
d2 = BusinessDate.from_ymd(2017, 2, 28)
y, m, d = BusinessDate.diff_in_ymd(d1, d2)
diff = BusinessPeriod(years=y, months=m, days=d)
self.assertEqual('11M30D', str(diff))
d1 = BusinessDate.from_ymd(2016, 11, 15)
d2 = BusinessDate.from_ymd(2017, 1, 15)
y, m, d = BusinessDate.diff_in_ymd(d1, d2)
diff = BusinessPeriod(years=y, months=m, days=d)
self.assertEqual('2M', str(diff))
d1 = BusinessDate.from_ymd(2015, 7, 31)
d2 = BusinessDate.from_ymd(2017, 2, 20)
y, m, d = BusinessDate.diff_in_ymd(d1, d2)
diff = BusinessPeriod(years=y, months=m, days=d)
self.assertEqual('1Y6M20D', str(diff))
def test_more_calculations(self):
periods = list()
for y in range(5):
for m in range(13):
for d in list(range(5)) + list(range(25, 33)) + list(
range(58, 66)):
periods.append(
BusinessPeriod(
str(y) + 'y' + str(m) + 'm' + str(d) + 'd'))
for d in self.dates:
for p in periods:
dp = d + p
q = dp - d
dq = d + q
if d.day < 28 and p.days < 28:
self.assertEqual(q, p, (q, d, p, dp))
# only idempotent pairs work always (e.g. above)
self.assertEqual(dq, dp, (dq, d, p, dp, q))
self.assertEqual((dq - d), q, (dq - d, d, q, dq))
a = BusinessDate('20150228')
for y in range(3):
for m in range(0, 7, 5):
for d in range(0, 13, 5):
b = a + BusinessPeriod(years=y, months=m, days=d)
self.assertEqual(-b._diff_in_days(a), a._diff_in_days(b))
def test_wrapper_methods(self):
p = BusinessPeriod(years=1, months=1, days=1)
self.assertEqual(p.add_years(p.years).add_months(p.months).add_days(p.days),
BusinessPeriod(years=2, months=2, days=2))
self.assertEqual(p * 2, BusinessPeriod(years=4, months=4, days=4))
self.assertEqual(BusinessDate.add_period(BusinessDate('20160110'), BusinessPeriod(days=-1)),
BusinessDate('20160109'))
def test__diff(self):
d1 = BusinessDate.from_ymd(2016, 1, 31)
d2 = BusinessDate.from_ymd(2017, 11, 1)
diff = BusinessDate.diff(d1, d2)
diff = BusinessPeriod(years=diff[0], months=diff[1], days=diff[2])
self.assertEqual('1Y9M1D', diff.to_string())
d1 = BusinessDate.from_ymd(2016, 2, 29)
d2 = BusinessDate.from_ymd(2017, 3, 1)
diff = BusinessDate.diff(d1, d2)
diff = BusinessPeriod(years=diff[0], months=diff[1], days=diff[2])
self.assertEqual('1Y1D', diff.to_string())
d2 = BusinessDate.from_ymd(2017, 2, 28)
diff = BusinessDate.diff(d1, d2)
diff = BusinessPeriod(years=diff[0], months=diff[1], days=diff[2])
self.assertEqual('1Y', diff.to_string())
d1 = BusinessDate.from_ymd(2016, 11, 15)
d2 = BusinessDate.from_ymd(2017, 1, 15)
diff = BusinessDate.diff(d1, d2)
diff = BusinessPeriod(years=diff[0], months=diff[1], days=diff[2])
self.assertEqual('2M', diff.to_string())
d1 = BusinessDate.from_ymd(2015, 7, 31)
d2 = BusinessDate.from_ymd(2017, 2, 20)
diff = BusinessDate.diff(d1, d2)
diff = BusinessPeriod(years=diff[0], months=diff[1], days=diff[2])
self.assertEqual('1Y6M20D', diff.to_string())
def try_get_business_period(val):
if isinstance(val, BusinessPeriod):
return val
if isinstance(val, str):
y, m, d = BusinessPeriod.parse(val)
if y > 0 or m > 0 or d > 0:
return BusinessPeriod(years=y, months=m, days=d)
else:
return None
def test_parse(self):
f = lambda x: '%sb%sy%sq%sm%sw%sd%sb' % tuple(x)
d = lambda x: tuple(map(int, x))
for p in ('1000000', '0100000', '0010000', '0001000', '0000100',
'0000010', '0000001'):
self.assertEqual(d(p), BusinessPeriod._parse_ymd(f(p)))
for p in ('1000001', '0100001', '1010001', '1101011', '0110100',
'0010010', '1111111'):
self.assertEqual(d(p), BusinessPeriod._parse_ymd(f(p)))
def setUp(self):
self._1y = BusinessPeriod('1y')
self._3m = BusinessPeriod('1m')
self._1y6m = BusinessPeriod('1y6m')
self._1b = BusinessPeriod('1b')
self._2y = BusinessPeriod('2y')
self._3y = BusinessPeriod('3y')
self._5y = BusinessPeriod('5y')
self._2q = BusinessPeriod('2q')
self._2w = BusinessPeriod('2w')
def __init__(self, object_name_str=''):
super(RateIndex, self).__init__(object_name_str)
self._index_model_ = InterestRateIndexModel()
self._calendar_ = TAR()
self._spot_ = BusinessPeriod(businessdays=2, holiday=self._calendar_)
self._tenor_ = BusinessPeriod(months=6, holiday=self._calendar_)
self._day_count_ = Act360()
self._compounding_ = Simple()
self._rolling_method_ = ModFollow()
self._rolling_method_.holidays = self._calendar_
def setUp(self):
self._1b = BusinessPeriod('1b')
self._1y = BusinessPeriod('1y')
self._3m = BusinessPeriod('3m')
self._1y6m = BusinessPeriod('1y6m')
self._1b = BusinessPeriod('1b')
self._2y = BusinessPeriod('2y')
self._3y = BusinessPeriod('3y')
self._5y = BusinessPeriod('5y')
self._2q = BusinessPeriod('2q')
self._2w = BusinessPeriod('2w')
def test_operators(self):
self.assertEqual(self.jan01 + '2D', self.jan02 + '1D')
self.assertEqual(self.jan01 - '1D', self.jan02 - '2D')
self.assertEqual(self.jan02 - '1D' + '1M', self.feb01)
self.assertRaises(TypeError, lambda: '1D' + self.jan02)
self.assertEqual(self.jan01 - BusinessPeriod('1D'), self.jan02 - '2D')
self.assertRaises(TypeError, lambda: BusinessPeriod('1D') + self.jan02)
self.assertRaises(TypeError, lambda: BusinessPeriod('1D') - self.jan01)
self.assertEqual(
self.dec31.add_period(BusinessPeriod('2B', BusinessHolidays())),
self.dec31.add_period(BusinessPeriod('2B'),
BusinessHolidays([self.jan02])))
def test_wrapper_methods(self):
p = BusinessPeriod(years=1, months=1, days=1)
self.assertEqual(
p + '%sY' % (p.years) + '%sM' % (p.months) + '%sD' % (p.days),
BusinessPeriod(years=2, months=2, days=2))
self.assertEqual(p * 4, BusinessPeriod(years=4, months=4, days=4))
self.assertEqual(
BusinessDate('20160110').add_period(BusinessPeriod(days=-1)),
BusinessDate('20160109'))
self.assertEqual(
BusinessDate('20160110') + BusinessPeriod(days=-1),
BusinessDate('20160109'))
class BusinessPeriodUnitTests(unittest.TestCase):
def setUp(self):
self._1y = BusinessPeriod('1y')
self._3m = BusinessPeriod('1m')
self._1y6m = BusinessPeriod('1y6m')
self._1b = BusinessPeriod('1b')
self._2y = BusinessPeriod('2y')
self._3y = BusinessPeriod('3y')
self._5y = BusinessPeriod('5y')
self._2q = BusinessPeriod('2q')
self._2w = BusinessPeriod('2w')
def test_constructors(self):
self.assertEqual(self._1y, BusinessPeriod(years=1))
self.assertEqual(self._1y6m, BusinessPeriod(years=1, months=6))
self.assertEqual(self._1y6m, BusinessPeriod('6m', years=1))
self.assertEqual(-1 * self._1y6m, BusinessPeriod('-6m', years=-1))
self.assertEqual(self._2q, BusinessPeriod(months=6))
def test_properties(self):
self.assertEqual(self._1y.years, 1)
self.assertEqual(self._1y.months, 0)
self.assertEqual(self._1y.days, 0)
self.assertEqual(-1 * self._1y.years, -1)
self.assertEqual(-1 * self._1y.days, 0)
self.assertEqual(self._1b.businessdays, 1)
def test_operators(self):
self.assertTrue(self._2y < BusinessPeriod('10Y'))
self.assertFalse(self._3y < BusinessPeriod('1Y'))
self.assertEqual(self._2y.__cmp__(BusinessPeriod('10Y')), -2922.0)
self.assertNotEqual(self._2y, self._5y)
self.assertEqual(BusinessPeriod('5y'), self._5y)
def test_validations(self):
self.assertTrue(BusinessPeriod.is_businessperiod('1y'))
self.assertTrue(BusinessPeriod.is_businessperiod('-1y'))
self.assertFalse(BusinessPeriod.is_businessperiod('1y-6m'))
def test_calculations(self):
self.assertEqual(self._2y + self._3y, self._5y)
self.assertEqual(self._1y + '6m', self._1y6m)
self.assertEqual(self._1y, BusinessPeriod('1y'))
self.assertRaises(TypeError, lambda: '6m' + self._1y)
self.assertEquals(self._1y, self._3y - self._2y)
self.assertEquals(self._1y, self._3y - '2y')
def test_cast(self):
self.assertEqual(BusinessPeriod.from_string('1y'), BusinessPeriod(years=1))
self.assertEqual(self._1y.to_businessdate(BusinessDate(20150101)), BusinessDate(20160101))
self.assertEqual(self._1y6m.to_businessdate(BusinessDate(20150101)), BusinessDate(20160701))
self.assertEqual(self._1y.to_businessdate(BusinessDate(20160229)), BusinessDate(20170228))
self.assertEqual(self._1y.to_date(BusinessDate(20160229)), date(2017, 02, 28))
self.assertEqual(self._1y.to_businessperiod(BusinessDate(20160229)), self._1y)
self.assertEqual(self._1y.to_string(), '1Y')
self.assertEqual(self._2q.to_string(), '6M')
self.assertEqual(self._2w.to_string(), '14D')
def __init__(self, object_name_str=''):
super(SwapRateIndex, self).__init__(object_name_str)
self._calendar_ = TAR()
self._tenor_ = BusinessPeriod(years=5)
self._rolling_frequency_ = BusinessPeriod(years=1)
self._rolling_method_ = ModFollow()
self._accrued_day_count_ = D30360()
self._rate_index_ = RateIndex()
self._float_rolling_frequency_ = BusinessPeriod(months=6)
self._float_rolling_method_ = ModFollow()
self._float_accrued_day_count_ = Act360()
self._reset_offset_ = self._rate_index_._spot_
self._discount_index_ = ZeroBondIndex()
self._payer_receiver_ = "Payer"
def test_calculations(self):
self.assertEqual(self.jan01.add_days(1), self.jan02)
self.assertEqual(self.jan01.add_months(1), self.feb01)
self.assertEqual(self.jan01.add_years(1).to_string(), '20170101')
self.assertEqual(self.jan01.add_period('2D'),
self.jan02 + BusinessPeriod('1D'))
self.assertEqual(self.jan02.add_period('-2D'),
self.jan01 - BusinessPeriod('1D'))
self.assertEqual(self.jan02.add_period('-1b'),
self.jan01 - BusinessPeriod('1b'))
self.assertNotEqual(
BusinessDate(20160630).add_period(BusinessPeriod('2B')),
BusinessDate(20160630).add_period(
BusinessPeriod('2B', BusinessHolidays(['20160704']))))
self.assertEqual(self.jan01 + '1b', self.jan02 + '1b')
def test_add(self):
p = BusinessPeriod(years=1, months=2, days=3)
self.assertRaises(TypeError, lambda: p + 2)
p = BusinessPeriod(years=1, months=2, days=3)
self.assertEqual(p.add_months(1),
BusinessPeriod(years=1, months=3, days=3))
self.assertEqual(p.add_years(10),
BusinessPeriod(years=11, months=3, days=3))
def test_calculations(self):
self.assertEqual(self._2y + self._3y, self._5y)
self.assertEqual(self._1y + '6m', self._1y6m)
self.assertEqual(self._1y, BusinessPeriod('1y'))
self.assertRaises(TypeError, lambda: '6m' + self._1y)
self.assertEqual(self._1y, self._3y - self._2y)
self.assertEqual(self._1y, self._3y - '2y')
def test_cast(self):
self.assertEqual(BusinessPeriod.from_string('1y'),
BusinessPeriod(years=1))
self.assertEqual(self._1y.to_businessdate(BusinessDate(20150101)),
BusinessDate(20160101))
self.assertEqual(self._1y6m.to_businessdate(BusinessDate(20150101)),
BusinessDate(20160701))
self.assertEqual(self._1y.to_businessdate(BusinessDate(20160229)),
BusinessDate(20170228))
self.assertEqual(self._1y.to_date(BusinessDate(20160229)),
date(2017, 2, 28))
self.assertEqual(self._1y.to_businessperiod(BusinessDate(20160229)),
self._1y)
self.assertEqual(self._1y.to_string(), '1Y')
self.assertEqual(self._2q.to_string(), '6M')
self.assertEqual(self._2w.to_string(), '14D')
def test_calculations(self):
self.assertEqual(self.jan01.add_days(1), self.jan02)
self.assertEqual(self.jan01.add_months(1), self.feb01)
self.assertEqual(self.jan01.add_years(1).to_string(), '20170101')
self.assertEqual(self.jan01.add_period('2D'),
self.jan02 + BusinessPeriod('1D'))
self.assertEqual(self.jan02.add_period('-2D'),
self.jan01 - BusinessPeriod('1D'))
self.assertEqual(self.jan02.add_period('-1b'),
self.jan01 - BusinessPeriod('1b'))
self.assertNotEqual(
BusinessDate(20160630).add_period(BusinessPeriod('2B')),
BusinessDate(20160630).add_period(
BusinessPeriod('2B', BusinessHolidays(['20160704']))))
self.assertEqual(self.jan01 + '1b', self.jan02 + '1b')
rng = list(range(1, 10))
periods = list()
for y in rng:
for m in rng:
for d in rng:
periods.append(
BusinessPeriod(
str(y) + 'y' + str(m) + 'm' + str(d) + 'd'))
for d in self.dates:
for p in periods:
c = d + p
self.assertEqual((c - d), BusinessPeriod(p), (c, d, c - d, p))
d = BusinessDate(20160229)
self.assertEqual(d + '1y' + '1m', BusinessDate(20170328))
self.assertEqual(d + '1m' + '1y', BusinessDate(20170329))
self.assertEqual(d + '1y1m', BusinessDate(20170329))
def __init__(self, object_name_str=''):
super(Vol, self).__init__(object_name_str)
self._calendar_ = TAR()
self._spot_ = BusinessPeriod(businessdays=2, holiday=self._calendar_)
self._rolling_method_ = ModFollow()
self._day_count_ = Act360()
self._surface_ = DataTable()
self._surface = Surface([0.], [0.], [[0.]])
self._option_pricer = OptionValuatorLN()
def _rate_end_date(self, reset_date):
"""
:param BuisnessDate _rate_start_date:
:return: BuisnessDate
"""
tenor = BusinessPeriod(self._tenor_, self._calendar_)
start = self._rate_start_date(reset_date).add_period(tenor)
return self._rolling_method_.adjust(start, self._calendar_)
def _rate_start_date(self, reset_date):
"""
:param BuisnessDate reset_date:
:return: BuisnessDate
"""
spot = BusinessPeriod(self._spot_, self._calendar_)
return reset_date.add_period(
spot) # todo shouldn't we adjust reset_date, too?
def test_cast(self):
self.assertEqual(BusinessPeriod.from_string('1y'), BusinessPeriod(years=1))
self.assertEqual(self._1y.to_businessdate(BusinessDate(20150101)), BusinessDate(20160101))
self.assertEqual(self._1y6m.to_businessdate(BusinessDate(20150101)), BusinessDate(20160701))
self.assertEqual(self._1y.to_businessdate(BusinessDate(20160229)), BusinessDate(20170228))
self.assertEqual(self._1y.to_date(BusinessDate(20160229)), date(2017, 02, 28))
self.assertEqual(self._1y.to_businessperiod(BusinessDate(20160229)), self._1y)
self.assertEqual(self._1y.to_string(), '1Y')
self.assertEqual(self._2q.to_string(), '6M')
self.assertEqual(self._2w.to_string(), '14D')
def test_max_min_days(self):
jan31 = BusinessDate(20010131)
for date in BusinessRange(jan31, jan31 + '5y'):
for m in range(12):
period = BusinessPeriod(months=m)
mn, mx = period.min_days(), period.max_days()
fwd, bck = date.diff_in_days(date + period), (
date - period).diff_in_days(date)
self.assertTrue(mn <= fwd <= mx)
self.assertTrue(mn <= bck <= mx)
self.assertEqual(BusinessPeriod('3m').min_days(), 89)
self.assertEqual(BusinessPeriod('-3m').min_days(), -90)
self.assertEqual(BusinessPeriod('3m').max_days(), 92)
self.assertEqual(BusinessPeriod('-3m').max_days(), -92)
def test_constructors(self):
self.assertEqual(self._1y, BusinessPeriod(years=1))
self.assertEqual(self._1y6m, BusinessPeriod(years=1, months=6))
self.assertEqual(self._1y6m, BusinessPeriod('6m', years=1))
self.assertEqual(self._1y6m, BusinessPeriod('18m'))
self.assertEqual(-1 * self._1y6m, BusinessPeriod('-6m', years=-1))
self.assertEqual(self._2q, BusinessPeriod(months=6))
def get_cash_rate(self,
start_date,
end_date=None,
tenor_period=BusinessPeriod('1y')):
"""
:param start_date:
:param end_date:
:param tenor_period:
:return:
"""
end_date = start_date + tenor_period if end_date is None else end_date
df = self.get_discount_factor(start_date, end_date)
t = self._day_count(start_date, end_date)
return simple_rate(df, t)
def test_operators(self):
self.assertEqual(self.jan01 + '2D', self.jan02 + '1D')
self.assertEqual(self.jan01 - '1D', self.jan02 - '2D')
self.assertEqual(self.jan02 - '1D' + '1M', self.feb01)
self.assertRaises(TypeError, lambda: '1D' + self.jan02)
self.assertEqual(self.jan01 - BusinessPeriod('1D'), self.jan02 - '2D')
self.assertRaises(TypeError, lambda: BusinessPeriod('1D') + self.jan02)
self.assertRaises(TypeError, lambda: BusinessPeriod('1D') - self.jan01)
self.assertEqual(
self.dec31_15.add_period(BusinessPeriod('2B'), BusinessHolidays()),
self.dec31_15.add_period(BusinessPeriod('2B'),
BusinessHolidays([self.jan02])))
d = BusinessDate(20160229)
self.assertEqual(d + '1y' + '1m', BusinessDate(20170328))
self.assertEqual(d + '1m' + '1y', BusinessDate(20170329))
self.assertEqual(d + '1y1m', BusinessDate(20170329))
self.assertEqual(d + ['1y', '1m'],
[BusinessDate(20170228),
BusinessDate(20160329)])
self.assertEqual(d - ['-1y', '-1m'],
[BusinessDate(20170228),
BusinessDate(20160329)])
def __init__(self, object_name_str=''):
"""
list of the cash flows in this leg,
reconstructed in _rebuild_object with every change of an object attribute
"""
super(CashFlowLeg, self).__init__(object_name_str)
# cash flow list property (new for CashFlowList)
self._cashflow_list_ = CashFlowList()
# index property (same for CashFlow)
self._rate_index_ = CashRateIndex()
# payoff properties (new for CashFlowLeg)
self._pay_rec_ = "Pay" if self._notional_ >= 0. else "Rec"
# schedule properties (same for CashFlow)
self._start_date_ = BusinessDate()
# self.SetDate replaced by ResetOffset
self._end_date_ = BusinessDate.add_period(self._start_date_,
self.rate_index.tenor)
# self._pay_date_ replaced by PayOffset
# roll properties (new for CashFlowLeg)
self._rolling_date_ = self._end_date_
self._rolling_frequency_ = self.rate_index.tenor
self._rolling_method_ = ModFollow()
self._rolling_calendar_ = TAR()
self._reset_offset_ = self.rate_index._spot_
self._reset_method_ = self._rolling_method_
self._reset_calendar_ = self._rolling_calendar_
self._pay_offset_ = BusinessPeriod(businessdays=0)
self._pay_method_ = self._rolling_method_
self._pay_calendar_ = self._rolling_calendar_
# payoff properties (same for CashFlow)
self._spread_ = 0.00
self._constant_rate_ = 0.0
self._amount_ = 0.00
self._multiplier_ = 1.00
self._cap_ = NO_CAP_VALUE
self._floor_ = NO_FLOOR_VALUE
self._accrued_day_count_ = Act360()
# self.YearFraction calculated in CashFlow
self._rebuild_object()
def test_wrapper_methods(self):
p = BusinessPeriod(years=1, months=1, days=1)
self.assertEqual(
p.add_years(p.years).add_months(p.months).add_days(p.days),
BusinessPeriod(years=2, months=2, days=2))
self.assertEqual(p * 2, BusinessPeriod(years=4, months=4, days=4))
self.assertEqual(
BusinessDate.add_period(BusinessDate('20160110'),
BusinessPeriod(days=-1)),
BusinessDate('20160109'))
def __init__(self, object_name_str=''):
super(YieldCurve, self).__init__(object_name_str)
self._calendar_ = TAR()
self._spot_ = BusinessPeriod(businessdays=2, holiday=self._calendar_)
self._rolling_method_ = ModFollow()
self._day_count_ = Act360()
self._compounding_ = Continuous()
self._rate_type_ = "Zero"
self._interpolation_ = Linear()
self._extrapolation_ = Constant()
self._curve_ = DataRange([['', 'Rate'], [self.origin, 0.0001],
[self.origin + '11y', 0.01]])
self._inner_curve = None
self._rebuild_object()
def setUp(self):
testfile = open(TEST_DATA + 'daycount_test_data.csv')
header = testfile.readline().rstrip().split(';')
start = header.index('StartDate')
header.pop(start)
period = header.index('Period')
header.pop(period)
end = header.index('EndDate')
header.pop(end)
self.test_data = list()
for line in testfile:
data = line.rstrip().split(';')
start_date = BusinessDate(data.pop(start))
_ = BusinessPeriod(data.pop(period))
end_date = BusinessDate(data.pop(end))
daycount = dict(zip(header, data))
self.test_data.append((start_date, end_date, daycount))
testfile.close()
def get_forward_default_probability(self,
pd_value,
start_date,
end_date=None,
tenor_period=BusinessPeriod('1y')):
""" return annualized forward default probability
Parameters:
pd_value (float): pd for the calculation
start_date (BusinessDate): start date of conditional deflaut period
end_date (BusinessDate): end date of conditional deflaut period
tenor_period (BusinessPeriod): period length of conditional deflaut period
Returns:
float: forward default probability
"""
end_date = start_date + tenor_period if end_date is None else end_date
sv = self.get_survival_probability(pd_value, end_date, start_date)
t = self._day_count(start_date, end_date)
return (1.0 - sv) / t
def __init__(self, object_name_str=''):
super(SwaptionVolN, self).__init__(object_name_str)
self._swap_tenor_ = BusinessPeriod()
def test_to_date(self):
p = BusinessPeriod(years=1, months=2, days=3)
self.assertEqual(p.to_businessdate(BusinessDate('20160101')),
BusinessDate('20170304'))
def __init__(self, object_name_str=''):
super(OverNightRateIndex, self).__init__(object_name_str)
self._tenor_ = BusinessPeriod(days=1)
def test_to_date(self):
p = BusinessPeriod(years=1, months=2, days=3)
self.assertEqual(p.to_businessdate(BusinessDate('20160101')), BusinessDate('20170304'))
def test_add(self):
p = BusinessPeriod(years=1, months=2, days=3)
self.assertRaises(TypeError, lambda: p + 2)
p = BusinessPeriod(years=1, months=2, days=3)
self.assertEqual(p.add_months(1), BusinessPeriod(years=1, months=3, days=3))
self.assertEqual(p.add_years(10), BusinessPeriod(years=11, months=3, days=3))
def test_validations(self):
self.assertTrue(BusinessPeriod.is_businessperiod('1y'))
self.assertTrue(BusinessPeriod.is_businessperiod('-1y'))
self.assertFalse(BusinessPeriod.is_businessperiod('1y-6m'))