""" Copyright (C) 2009 Joseph Malicki This file is part of QuantLib, a free-software/open-source library for financial quantitative analysts and developers - http://quantlib.org/ QuantLib is free software: you can redistribute it and/or modify it under the terms of the QuantLib license. You should have received a copy of the license along with this program; if not, please email . The license is also available online at . This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the license for more details. """ import QuantLib import unittest class FixedRateBondTest(unittest.TestCase): def setUp(self): self.settlement_days = 3 self.face_amount = 100.0 self.redemption = 100.0 self.issue_date = QuantLib.Date(2,1,2008) self.maturity_date = QuantLib.Date(2,1,2018) self.calendar = QuantLib.UnitedStates(QuantLib.UnitedStates.GovernmentBond) self.day_counter = QuantLib.ActualActual(QuantLib.ActualActual.Bond) self.sched = QuantLib.Schedule(self.issue_date, self.maturity_date, QuantLib.Period(QuantLib.Semiannual), self.calendar, QuantLib.Unadjusted, QuantLib.Unadjusted, QuantLib.DateGeneration.Backward, False) self.coupons = [0.05] self.bond = QuantLib.FixedRateBond(self.settlement_days, self.face_amount, self.sched, self.coupons, self.day_counter, QuantLib.Following, self.redemption, self.issue_date) self.flat_forward = QuantLib.FlatForward(self.issue_date+self.settlement_days*QuantLib.Days, self.coupons[0], self.day_counter, QuantLib.Compounded, QuantLib.Semiannual) self.term_structure_handle = QuantLib.RelinkableYieldTermStructureHandle(self.flat_forward) bondEngine = QuantLib.DiscountingBondEngine(self.term_structure_handle) self.bond.setPricingEngine(bondEngine) def testFrequency(self): """ Testing FixedRateBond frequency() method. """ self.assertEqual(self.bond.frequency(), QuantLib.Semiannual) def testDayCounter(self): """ Testing FixedRateBond dayCounter() method. """ self.assertEqual(self.bond.dayCounter(), self.day_counter) def testSimpleInspectors(self): """ Testing FixedRateBond simple inspectors. """ self.assertEqual(self.bond.settlementDays(), self.settlement_days) self.assertEqual(self.bond.notional(), self.face_amount) self.assertEqual(self.bond.issueDate(), self.issue_date) self.assertEqual(self.bond.maturityDate(), self.maturity_date) #def testSettlementValue(self): # """ Testing FixedRateBond settlement value. """ # orig_date = QuantLib.Settings.evaluationDate # QuantLib.Settings.evaluationDate = self.issue_date + 1*QuantLib.Months # self.assertEqual(round(self.bond.settlementValue(100.0), 4), 102.3098) # QuantLib.Settings.evaluationDate = orig_date def testCashFlows(self): """ Testing that the FixedRateBond gives the expected cash flows. """ self.assertEqual([round(cf.amount(), 4) for cf in self.bond.cashflows()], 20*[round(self.face_amount * self.coupons[0] / 2, 4)] + \ [round(self.redemption, 4)]) def testRedemption(self): """ Testing FixedRateBond redemption value and date. """ self.assertEqual(self.bond.redemption().date(), self.maturity_date) self.assertEqual(self.bond.redemption().amount(), self.redemption) def testRedemptions(self): """ Testing FixedRateBond redemptions. """ redemptions = self.bond.redemptions() self.assertEqual(len(redemptions), 1) self.assertEqual(redemptions[0].date(), self.maturity_date) self.assertEqual(redemptions[0].amount(), self.redemption) def testNotional(self): """ Testing FixedRateBond notional values. """ self.assertEqual(self.bond.notional(), 100.0) self.assertEqual(self.bond.notionals(), (100.0, 0)) def testNextCoupon(self): """ Testing FixedRateBond correct next coupon amount. """ self.assertEqual(self.bond.nextCouponRate(self.issue_date), 0.05) def testPrevCoupon(self): """ Testing FixedRateBond correct previous coupon amount. """ self.assertEqual(self.bond.previousCouponRate(self.issue_date), 0.05) def testCleanPrice(self): """ Testing FixedRateBond clean price. """ self.assertEqual(round(self.bond.cleanPrice(0.05, self.day_counter, QuantLib.Compounded, QuantLib.Semiannual, self.issue_date + self.settlement_days*QuantLib.Days), 4), 100.0) self.assertEqual(round(self.bond.cleanPrice(0.05, self.day_counter, QuantLib.Compounded, QuantLib.Semiannual, self.issue_date + self.settlement_days*QuantLib.Days + 1*QuantLib.Months), 4), 99.9997) self.assertEqual(round(self.bond.cleanPrice(0.06, self.day_counter, QuantLib.Compounded, QuantLib.Semiannual, self.issue_date + self.settlement_days*QuantLib.Days + 1*QuantLib.Months), 4), 92.5639) def testDirtyPrice(self): """ Testing FixedRateBond dirty price. """ self.assertEqual(round(self.bond.dirtyPrice(0.05, self.day_counter, QuantLib.Compounded, QuantLib.Semiannual, self.issue_date + self.settlement_days*QuantLib.Days), 4), 100.0) self.assertEqual(round(self.bond.dirtyPrice(0.05, self.day_counter, QuantLib.Compounded, QuantLib.Semiannual, self.issue_date + self.settlement_days*QuantLib.Days + 1*QuantLib.Months), 4), 100.0271) self.assertEqual(round(self.bond.dirtyPrice(0.06, self.day_counter, QuantLib.Compounded, QuantLib.Semiannual, self.issue_date + self.settlement_days*QuantLib.Days + 1*QuantLib.Months), 4), 92.5913) def testCleanPriceFromZSpread(self): """ Testing FixedRateBond clean price derived from Z-spread. """ self.assertEqual(round(QuantLib.cleanPriceFromZSpread( self.bond, self.flat_forward, 0.01, self.day_counter, QuantLib.Compounded, QuantLib.Semiannual, self.issue_date + 1 * QuantLib.Months), 4), 92.5637) if __name__ == '__main__': print 'testing QuantLib', QuantLib.__version__ suite = unittest.TestSuite() suite.addTest(unittest.makeSuite(FixedRateBondTest,'test')) unittest.TextTestRunner(verbosity=2).run(suite) raw_input('press return to continue')