def test_create_intereste_rate_with_daycounter_convention(self):
rate = 0.05
counter = Thirty360(ITALIAN)
compounding = Compounded
frequency = Monthly
interest_rate = InterestRate(rate, counter, compounding, frequency)
self.assertEqual(interest_rate.day_counter, counter)
def test_create_interest_rate_compounded_error(self):
rate = 0.05
counter = self.day_counter
compounding = Compounded
for frequency in [Once, NoFrequency]:
with self.assertRaises(RuntimeError):
InterestRate(rate, counter, compounding, frequency)
def test_repr(self):
rate = 0.05
counter = self.day_counter
compounding = Compounded
frequency = Monthly
interest_rate = InterestRate(rate, counter, compounding, frequency)
self.assertEqual(repr(interest_rate),
"0.05 Actual/360 Monthly compounding")
def test_linear_interpolation(self):
interpolation_date = self.calendar.advance(self.today, 12, Months)
t = self.term_structure.time_from_reference(interpolation_date)
t1 = self.term_structure.time_from_reference(self.spread_dates[0])
t2 = self.term_structure.time_from_reference(self.spread_dates[1])
interpolated_zero_rate = (self.spreaded_term_structure.
zero_rate(t, compounding=Continuous).rate)
zero_rate = (self.term_structure.
zero_rate(t, compounding=Continuous, frequency=NoFrequency))
expected_rate = zero_rate.rate + \
(t - t1) / (t2 - t1 ) * self.spreads[1].value + \
(t2 - t) / (t2 - t1) * self.spreads[0].value
spreaded_rate = InterestRate(expected_rate,
zero_rate.day_counter,
zero_rate.compounding,
zero_rate.frequency)
self.assertAlmostEqual(interpolated_zero_rate,
spreaded_rate.equivalent_rate(Continuous, NoFrequency, t).rate)
def test_create_interest_rate_compounded(self):
rate = 0.05
counter = self.day_counter
compounding = Compounded
frequency = Monthly
interest_rate = InterestRate(rate, counter, compounding, frequency)
self.assertAlmostEqual(interest_rate.rate, rate)
self.assertEqual(interest_rate.compounding, compounding)
self.assertEqual(interest_rate.frequency, Monthly)
def test_create_interest_rate_frequency_makes_no_sense(self):
rate = 0.05
counter = self.day_counter
compounding = Continuous
frequency = Monthly
interest_rate = InterestRate(rate, counter, compounding, frequency)
self.assertAlmostEqual(interest_rate.rate, rate)
self.assertEqual(interest_rate.compounding, compounding)
# Returns NoFrequency when it does not make sense
self.assertEqual(interest_rate.frequency, NoFrequency)
# Broken check. DayCoonter != Actual360
self.assertEqual(interest_rate.day_counter, Actual360())