""" Copyright (C) 2009 Joseph Malicki Copyright (C) 2019 Prasad Somwanshi Copyright (C) 2023 Francois Botha 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 BondFunctionsTest(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.settlement_date = self.calendar.advance( ql.Settings.instance().evaluationDate, self.settlement_days, ql.Days) 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 testStartDate(self): """ Testing BondFunctions startDate. """ self.assertEqual(ql.BondFunctions.startDate( self.bond), self.issue_date) def testMaturityDate(self): """ Testing BondFunctions maturityDate. """ self.assertEqual(ql.BondFunctions.maturityDate( self.bond), self.maturity_date) def testIsTradable(self): """ Testing BondFunctions isTradable. """ self.assertTrue(ql.BondFunctions.isTradable( self.bond, ql.Date(1, 6, 2010))) self.assertFalse(ql.BondFunctions.isTradable( self.bond, ql.Date(1, 1, 2028))) def testPreviousCashFlowDate(self): """ Testing BondFunctions previousCashFlowDate. """ self.assertEqual(ql.BondFunctions.previousCashFlowDate(self.bond, ql.Date(1, 6, 2010)), ql.Date(4, 1, 2010)) def testNextCashFlowDate(self): """ Testing BondFunctions nextCashFlowDate. """ self.assertEqual(ql.BondFunctions.nextCashFlowDate(self.bond, ql.Date(1, 6, 2010)), ql.Date(2, 7, 2010)) def testPreviousCashFlowAmount(self): """ Testing BondFunctions previousCashFlowAmount. """ self.assertEqual(round(ql.BondFunctions.previousCashFlowAmount( self.bond, ql.Date(1, 6, 2010)), 4), 2.5) def testNextCashFlowAmount(self): """ Testing BondFunctions nextCashFlowAmount. """ self.assertEqual(round(ql.BondFunctions.nextCashFlowAmount( self.bond, ql.Date(1, 6, 2010)), 4), 2.5) def testPreviousCouponRate(self): """ Testing BondFunctions previousCouponRate. """ self.assertEqual(ql.BondFunctions.previousCouponRate(self.bond), 0.05) def testNextCouponRate(self): """ Testing BondFunctions nextCouponRate. """ self.assertEqual(ql.BondFunctions.nextCouponRate(self.bond), 0.05) def testAccrualStartDate(self): """ Testing BondFunctions accrualStartDate. """ self.assertEqual(ql.BondFunctions.accrualStartDate(self.bond, ql.Date(1, 6, 2010)), ql.Date(2, 1, 2010)) def testAccrualEndDate(self): """ Testing BondFunctions accrualEndDate. """ self.assertEqual(ql.BondFunctions.accrualEndDate(self.bond, ql.Date(1, 6, 2010)), ql.Date(2, 7, 2010)) def testAccrualPeriod(self): """ Testing BondFunctions accrualPeriod. """ self.assertEqual(ql.BondFunctions.accrualPeriod(self.bond, ql.Date(1, 6, 2010)), 0.5) def testAccrualDays(self): """ Testing BondFunctions accrualDays. """ self.assertEqual(ql.BondFunctions.accrualDays(self.bond, ql.Date(1, 10, 2010)), 184) def testAccruedPeriod(self): """ Testing BondFunctions accruedPeriod. """ self.assertEqual(round(ql.BondFunctions.accruedPeriod(self.bond, ql.Date(1, 6, 2010)), 8), 0.41436464) def testAccruedDays(self): """ Testing BondFunctions accruedDays. """ self.assertEqual(ql.BondFunctions.accruedDays(self.bond, ql.Date(1, 6, 2010)), 150) def testAccruedAmount(self): """ Testing BondFunctions accruedAmount. """ self.assertEqual(round(ql.BondFunctions.accruedAmount(self.bond, ql.Date(1, 6, 2010)), 8), 2.0718232) def testBps(self): """ Testing BondFunctions bps. """ self.assertEqual(round(ql.BondFunctions.bps(self.bond, self.flat_forward), 8), 0.06527501) self.assertEqual(round(ql.BondFunctions.bps(self.bond, ql.InterestRate(0.03, self.day_counter, ql.Compounded, ql.Annual)), 8), 0.07071951) self.assertEqual(round(ql.BondFunctions.bps(self.bond, 0.03, self.day_counter, ql.Compounded, ql.Annual), 8), 0.07071951) def testCleanPrice(self): """ Testing BondFunctions cleanPrice. """ self.assertEqual(round(ql.BondFunctions.cleanPrice(self.bond, self.flat_forward), 4), 99.9448) self.assertEqual(round(ql.BondFunctions.cleanPrice(self.bond, ql.InterestRate(0.03, self.day_counter, ql.Compounded, ql.Annual)), 4), 114.2806) self.assertEqual(round(ql.BondFunctions.cleanPrice(self.bond, 0.03, self.day_counter, ql.Compounded, ql.Annual), 4), 114.2806) def testAtmRate(self): """ Testing BondFunctions atmRate. """ self.assertEqual(round(ql.BondFunctions.atmRate(self.bond, self.flat_forward, self.settlement_date, ql.BondPrice(99.94475138121548, ql.BondPrice.Clean)), 4), 0.05) def testBondYield(self): """ Testing BondFunctions bondYield. """ self.assertEqual(round(ql.BondFunctions.bondYield(self.bond, ql.BondPrice(110, ql.BondPrice.Clean), self.day_counter, ql.Compounded, ql.Annual), 8), 0.03582431) def testDuration(self): """ Testing BondFunctions duration. """ self.assertEqual(round(ql.BondFunctions.duration(self.bond, ql.InterestRate(0.03, self.day_counter, ql.Compounded, ql.Annual)), 4), 6.5835) self.assertEqual(round(ql.BondFunctions.duration(self.bond, 0.03, self.day_counter, ql.Compounded, ql.Annual), 4), 6.5835) def testConvexity(self): """ Testing BondFunctions convexity. """ self.assertEqual(round(ql.BondFunctions.convexity(self.bond, ql.InterestRate(0.03, self.day_counter, ql.Compounded, ql.Annual)), 4), 54.3498) self.assertEqual(round(ql.BondFunctions.convexity(self.bond, 0.03, self.day_counter, ql.Compounded, ql.Annual), 4), 54.3498) def testBasisPointValue(self): """ Testing BondFunctions basisPointValue. """ self.assertEqual(round(ql.BondFunctions.basisPointValue(self.bond, 0.03, self.day_counter, ql.Compounded, ql.Annual, self.settlement_date), 8), -0.07527271) self.assertEqual(round(ql.BondFunctions.basisPointValue(self.bond, ql.InterestRate( 0.03, self.day_counter, ql.Compounded, ql.Annual), self.settlement_date), 8), -0.07527271) def testYieldValueBasisPoint(self): """ Testing BondFunctions yieldValueBasisPoint. """ self.assertEqual(round(ql.BondFunctions.yieldValueBasisPoint(self.bond, ql.InterestRate( 0.03, self.day_counter, ql.Compounded, ql.Annual), ql.Date(1, 9, 2010)), 10), -1.44145e-05) self.assertEqual(round(ql.BondFunctions.yieldValueBasisPoint(self.bond, 0.03, self.day_counter, ql.Compounded, ql.Annual, ql.Date(1, 9, 2010)), 10), -1.44145e-05) def testZSpread(self): """ Testing BondFunctions zSpread. """ self.assertEqual(round(ql.BondFunctions.zSpread(self.bond, ql.BondPrice(87.5, ql.BondPrice.Clean), self.flat_forward, self.day_counter, ql.Compounded, ql.Annual), 8), 0.02125053) if __name__ == "__main__": print("testing QuantLib", ql.__version__) unittest.main(verbosity=2)