def test_interpolation(self):
# test default interpolation scheme
for x in self.x_test:
f = lambda t: max(.0, min(t, .09))
self.assertAlmostEqual(f(x), self.curve(x))
ccc = dyn_scheme(constant, constant, constant)
curve = Curve(self.x_list, self.y_list, ccc)
constant_curve = Curve(self.x_list, self.y_list, constant)
for x in self.x_test:
f = lambda t: max(.0, min(floor(t / .01) * .01, .09))
self.assertAlmostEqual(f(x), curve(x))
self.assertAlmostEqual(constant_curve(x), curve(x))
lll = dyn_scheme(linear, linear, linear)
curve = Curve(self.x_list, self.y_list, lll)
linear_curve = Curve(self.x_list, self.y_list, linear)
for x in self.x_test:
f = lambda t: t
self.assertAlmostEqual(f(x), curve(x))
self.assertAlmostEqual(linear_curve(x), curve(x))
dcf_curve = Curve(self.x_list, self.y_list,
dyn_scheme(constant, linear, constant))
scipy_linear = lambda x, y: interp1d(x, y, kind="linear")
scipy_curve = Curve(self.x_list, self.y_list,
dyn_scheme(constant, scipy_linear, constant))
for x in self.x_test:
self.assertAlmostEqual(scipy_curve(x), dcf_curve(x))
dcf_curve = Curve(self.x_list, self.y_list,
dyn_scheme(linear, linear, linear))
scipy_scheme = lambda x,y : \
interp1d(x, y, kind="linear", fill_value="extrapolate")
scipy_curve = Curve(self.x_list, self.y_list, scipy_scheme)
for x in self.x_test:
self.assertAlmostEqual(scipy_curve(x), dcf_curve(x))
dcf_curve = Curve(self.x_list, self.y_list,
dyn_scheme(constant, linear, constant))
scipy_scheme = lambda x,y : \
interp1d(x, y, kind="linear", bounds_error=False, fill_value=(self.y_list[0], self.y_list[-1]))
scipy_curve = Curve(self.x_list, self.y_list, scipy_scheme)
for x in self.x_test:
self.assertAlmostEqual(scipy_curve(x), dcf_curve(x))
def test_algebra(self):
other = Curve(self.x_list, self.y_list)
new = self.curve + other
for x in new.domain:
self.assertAlmostEqual(new(x), self.curve(x) * 2.)
new = self.curve - other
for x in new.domain:
self.assertAlmostEqual(new(x), 0.)
new = self.curve * other
for x in new.domain:
self.assertAlmostEqual(new(x), self.curve(x) ** 2)
self.assertRaises(ZeroDivisionError, self.curve.__div__, other)
new = self.curve / Curve(self.x_list, [0.1] * len(self.x_list))
for x in new.domain:
self.assertAlmostEqual(new(x), self.curve(x) / 0.1)
def test_init(self):
self.assertEqual(str(Curve()), 'Curve()')
self.assertEqual(str(DateCurve()), 'DateCurve()')
self.assertEqual(str(RateCurve()), 'RateCurve()')
def setUp(self):
self.x_list = [float(x) * 0.01 for x in range(10)]
self.y_list = list(self.x_list)
self.interpolation = dyn_scheme(constant, linear, constant)
self.curve = Curve(self.x_list, self.y_list, self.interpolation)
self.x_test = [float(x) * 0.005 for x in range(-10, 30)]
def test_cast(self):
date_curve = DateCurve(self.dates, self.values)
curve = Curve(date_curve)
for x, d in zip(curve.domain, date_curve.domain):
self.assertAlmostEqual(curve(x), date_curve(d))
def test_init(self):
self.assertEqual(str(Curve()), str(list()))
self.assertEqual(str(DateCurve()), str(list()))
self.assertEqual(str(RateCurve()), str(list()))