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#!/usr/bin/python
"""
Copyright (C) 2000, 2001, 2002 RiskMap srl
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 ferdinando@ametrano.net
The license is also available online at http://quantlib.org/html/license.html
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.
"""
__version__ = "$Revision: 1.16 $"
# $Id: daycounters.py,v 1.16 2002/01/16 15:11:51 nando Exp $
# see http://www.isda.org/c_and_a/pdf/mktc1198.pdf for reference
import QuantLib
from QuantLib import Date, DayCounter
import unittest
class DayCountersTest(unittest.TestCase):
def runTest(self):
"Testing actual/actual day counters"
ISDA_H = DayCounter('actacth')
ISMA_B = DayCounter('actact')
AFB__E = DayCounter('actacte')
ISDAcases =[]
ISMAcases =[]
AFB_cases =[]
# first example
ISDAcases.append((0.497724380567, Date( 1,11,2003), Date( 1, 5,2004)))
ISMAcases.append((0.500000000000, Date( 1,11,2003), Date( 1, 5,2004), \
Date( 1,11,2003), Date( 1, 5,2004)))
AFB_cases.append((0.497267759563, Date( 1,11,2003), Date( 1, 5,2004)))
# short first calculation period (first period)
ISDAcases.append((0.410958904110, Date( 1, 2,1999), Date( 1, 7,1999)))
ISMAcases.append((0.410958904110, Date( 1, 2,1999), Date( 1, 7,1999), \
Date( 1, 7,1998), Date( 1, 7,1999)))
AFB_cases.append((0.410958904110, Date( 1, 2,1999), Date( 1, 7,1999)))
# short first calculation period (second period)
ISDAcases.append((1.001377348600, Date( 1, 7,1999), Date( 1, 7,2000)))
ISMAcases.append((1.000000000000, Date( 1, 7,1999), Date( 1, 7,2000), \
Date( 1, 7,1999), Date( 1, 7,2000)))
AFB_cases.append((1.000000000000, Date( 1, 7,1999), Date( 1, 7,2000)))
# long first calculation period (first period)
ISDAcases.append((0.915068493151, Date(15, 8,2002), Date(15, 7,2003)))
ISMAcases.append((0.915760869565, Date(15, 8,2002), Date(15, 7,2003), \
Date(15, 1,2003), Date(15, 7,2003)))
AFB_cases.append((0.915068493151, Date(15, 8,2002), Date(15, 7,2003)))
# long first calculation period (second period)
#### the following ISDA case is in disagreement with mktc1198.pdf !!!!
ISDAcases.append((0.504004790778, Date(15, 7,2003), Date(15, 1,2004)))
ISMAcases.append((0.500000000000, Date(15, 7,2003), Date(15, 1,2004), \
Date(15, 7,2003), Date(15, 1,2004)))
AFB_cases.append((0.504109589041, Date(15, 7,2003), Date(15, 1,2004)))
# short final calculation period (penultimate period)
ISDAcases.append((0.503892506924, Date(30, 7,1999), Date(30, 1,2000)))
ISMAcases.append((0.500000000000, Date(30, 7,1999), Date(30, 1,2000), \
Date(30, 7,1999), Date(30, 1,2000)))
AFB_cases.append((0.504109589041, Date(30, 7,1999), Date(30, 1,2000)))
# short final calculation period (final period)
ISDAcases.append((0.415300546448, Date(30, 1,2000), Date(30, 6,2000)))
ISMAcases.append((0.417582417582, Date(30, 1,2000), Date(30, 6,2000), \
Date(30, 1,2000), Date(30, 7,2000)))
AFB_cases.append((0.415300546448, Date(30, 1,2000), Date(30, 6,2000)))
for (value, d1, d2) in ISDAcases:
calculated = ISDA_H.yearFraction(d1, d2)
if not (abs(calculated-value)<1e-10):
self.fail("""
%(ISDA_H)s
first date %(d1)s
second date %(d2)s
original value: %(value)g
calculated value: %(calculated)g
""" % locals())
for (value, d1, d2, rd1, rd2) in ISMAcases:
calculated = ISMA_B.yearFraction(d1, d2, rd1, rd2)
if not (abs(calculated-value)<1e-10):
self.fail("""
%(ISMA_B)s
first date %(d1)s
second date %(d2)s
first reference date %(rd1)s
second reference date %(rd2)s
original value: %(value)g
calculated value: %(calculated)g
""" % locals())
for (value, d1, d2) in AFB_cases:
calculated = AFB__E.yearFraction(d1, d2)
if not (abs(calculated-value)<1e-10):
self.fail("""
%(AFB__E)s
first date %(d1)s
second date %(d2)s
original value: %(value)g
calculated value: %(calculated)g
""" % locals())
if __name__ == '__main__':
print 'testing QuantLib', QuantLib.__version__, QuantLib.QuantLibc.__file__, QuantLib.__file__
import sys
suite = unittest.TestSuite()
suite.addTest(DayCountersTest())
if sys.hexversion >= 0x020100f0:
unittest.TextTestRunner(verbosity=2).run(suite)
else:
unittest.TextTestRunner().run(suite)
raw_input('press any key to continue')
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