""" Copyright (C) 2009 Joseph Malicki Copyright (C) 2019 Prasad Somwanshi 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 as ql import unittest class FixedRateBondTest(unittest.TestCase): def setUp(self): ql.Settings.instance().evaluationDate = ql.Date(2, 1, 2010) self.settlement_days = 3 self.face_amount = 100.0 self.redemption = 100.0 self.issue_date = ql.Date(2, 1, 2008) self.maturity_date = ql.Date(2, 1, 2018) self.calendar = ql.UnitedStates(ql.UnitedStates.GovernmentBond) self.day_counter = ql.ActualActual(ql.ActualActual.Bond) self.sched = ql.Schedule( self.issue_date, self.maturity_date, ql.Period(ql.Semiannual), self.calendar, ql.Unadjusted, ql.Unadjusted, ql.DateGeneration.Backward, False, ) self.coupons = [0.05] self.bond = ql.FixedRateBond( self.settlement_days, self.face_amount, self.sched, self.coupons, self.day_counter, ql.Following, self.redemption, self.issue_date, ) self.flat_forward = ql.FlatForward( self.issue_date, self.coupons[0], self.day_counter, ql.Compounded, ql.Semiannual ) self.term_structure_handle = ql.RelinkableYieldTermStructureHandle(self.flat_forward) bondEngine = ql.DiscountingBondEngine(self.term_structure_handle) self.bond.setPricingEngine(bondEngine) def testFrequency(self): """ Testing FixedRateBond frequency() method. """ self.assertEqual(self.bond.frequency(), ql.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 = ql.Settings.evaluationDate # ql.Settings.evaluationDate = self.issue_date + 1*ql.Months # self.assertEqual(round(self.bond.settlementValue(100.0), 4), 102.3098) # ql.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(), 0.05) def testCleanPrice(self): """ Testing FixedRateBond clean price. """ self.assertEqual( round(self.bond.cleanPrice(0.05, self.day_counter, ql.Compounded, ql.Semiannual, self.issue_date), 4), 99.9964, ) self.assertEqual( round( self.bond.cleanPrice( 0.05, self.day_counter, ql.Compounded, ql.Semiannual, self.issue_date + ql.Period(1, ql.Months) ), 4, ), 99.9921, ) self.assertEqual( round( self.bond.cleanPrice( 0.06, self.day_counter, ql.Compounded, ql.Semiannual, self.issue_date + ql.Period(1, ql.Months) ), 4, ), 92.5985, ) def testDirtyPrice(self): """ Testing FixedRateBond dirty price. """ self.assertEqual( round(self.bond.dirtyPrice(0.05, self.day_counter, ql.Compounded, ql.Semiannual, self.issue_date), 4), 99.9964, ) self.assertEqual( round( self.bond.dirtyPrice( 0.05, self.day_counter, ql.Compounded, ql.Semiannual, self.issue_date + ql.Period(1, ql.Months) ), 4, ), 100.4179, ) self.assertEqual( round( self.bond.dirtyPrice( 0.06, self.day_counter, ql.Compounded, ql.Semiannual, self.issue_date + ql.Period(1, ql.Months) ), 4, ), 93.0244, ) def testCleanPriceFromZSpread(self): """ Testing FixedRateBond clean price derived from Z-spread. """ self.assertEqual( round( ql.cleanPriceFromZSpread( self.bond, self.flat_forward, 0.01, self.day_counter, ql.Compounded, ql.Semiannual, self.issue_date + ql.Period(1, ql.Months), ), 4, ), 92.5926, ) def tearDown(self): ql.Settings.instance().evaluationDate = ql.Date() class FixedRateBondKwargsTest(unittest.TestCase): def setUp(self): self.settlement_days = 3 self.face_amount = 100.0 self.redemption = 100.0 self.issue_date = ql.Date(2, 1, 2008) self.maturity_date = ql.Date(2, 1, 2018) self.calendar = ql.UnitedStates(ql.UnitedStates.GovernmentBond) self.day_counter = ql.ActualActual(ql.ActualActual.Bond) self.sched = ql.Schedule( self.issue_date, self.maturity_date, ql.Period(ql.Semiannual), self.calendar, ql.Unadjusted, ql.Unadjusted, ql.DateGeneration.Backward, False, ) self.coupons = [0.05] def check_construction(self, bond): self.assertTrue(type(bond) is ql.FixedRateBond) self.assertEqual(bond.dayCounter(), self.day_counter) self.assertEqual(bond.settlementDays(), self.settlement_days) self.assertEqual(bond.issueDate(), self.issue_date) self.assertEqual(bond.maturityDate(), self.maturity_date) self.assertEqual(bond.redemption().date(), self.maturity_date) self.assertEqual(bond.redemption().amount(), self.redemption) self.assertEqual(bond.notional(self.issue_date), 100.0) self.assertEqual(bond.notionals(), (100.0, 0)) def testFromRates(self): """ Testing FixedRateBond from_rates method. """ bond = ql.FixedRateBond.from_rates( settlementDays=self.settlement_days, schedule=self.sched, paymentDayCounter=self.day_counter, issueDate=self.issue_date, coupons=self.coupons, faceAmount=self.face_amount, ) self.check_construction(bond) def testFromInterestRates(self): """ Testing FixedRateBond from_interest_rates method. """ bond = ql.FixedRateBond.from_interest_rates( settlementDays=self.settlement_days, faceAmount=self.face_amount, schedule=self.sched, coupons=[ql.InterestRate(0.05, self.day_counter, ql.Continuous, ql.Annual)], issueDate=self.issue_date, ) self.check_construction(bond) def testFromDateInfo(self): """ Testing FixedRateBond from_interest_rates method. """ bond = ql.FixedRateBond.from_date_info( settlementDays=self.settlement_days, faceAmount=self.face_amount, coupons=self.coupons, issueDate=self.issue_date, couponCalendar=ql.UnitedStates(), startDate=ql.Date(2, 1, 2010), maturityDate=self.maturity_date, tenor=ql.Period(3, ql.Months), accrualDayCounter=self.day_counter, ) self.check_construction(bond) if __name__ == "__main__": print("testing QuantLib " + ql.__version__) suite = unittest.TestSuite() suite.addTest(unittest.makeSuite(FixedRateBondTest, "test")) suite.addTest(unittest.makeSuite(FixedRateBondKwargsTest, "test")) unittest.TextTestRunner(verbosity=2).run(suite)