1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
|
"""
Copyright (C) 2000, 2001, 2002, 2003 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 quantlib-dev@lists.sf.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.
"""
from QuantLib import *
import unittest
flag = None
def raiseFlag():
global flag
flag = 1
class TermStructureTest(unittest.TestCase):
def setUp(self):
self.calendar = TARGET()
today = self.calendar.adjust(Date.todaysDate())
self.settlementDays = 2
settlement = self.calendar.advance(today,self.settlementDays,Days)
deposits = [
DepositRateHelper(
QuoteHandle(SimpleQuote(rate/100)),
n, units, self.settlementDays,
self.calendar, ModifiedFollowing, Actual360())
for (n,units,rate) in [ (1, Months, 4.581),
(2, Months, 4.573),
(3, Months, 4.557),
(6, Months, 4.496),
(9, Months, 4.490) ]
]
swaps = [
SwapRateHelper(
QuoteHandle(SimpleQuote(rate/100)),
years, Years, self.settlementDays,
self.calendar, Annual, Unadjusted, Thirty360(),
Semiannual, ModifiedFollowing, Actual360())
for (years,rate) in [ ( 1, 4.54),
( 5, 4.99),
(10, 5.47),
(20, 5.89),
(30, 5.96) ]
]
self.termStructure = PiecewiseFlatForward(settlement,
deposits+swaps,
Actual360())
def testImpliedObs(self):
"Testing observability of implied term structure"
global flag
flag = None
h = YieldTermStructureHandle()
settlement = self.termStructure.referenceDate()
new_settlement = self.calendar.advance(settlement,3,Years)
implied = ImpliedTermStructure(h,new_settlement)
obs = Observer(raiseFlag)
obs.registerWith(implied)
h.linkTo(self.termStructure)
if not flag:
self.fail("Observer was not notified of term structure change")
def testFSpreadedObs(self):
"Testing observability of forward-spreaded term structure"
global flag
flag = None
me = SimpleQuote(0.01)
mh = QuoteHandle(me)
h = YieldTermStructureHandle()
spreaded = ForwardSpreadedTermStructure(h,mh)
obs = Observer(raiseFlag)
obs.registerWith(spreaded)
h.linkTo(self.termStructure)
if not flag:
self.fail("Observer was not notified of term structure change")
flag = None
me.setValue(0.005)
if not flag:
self.fail("Observer was not notified of spread change")
def testZSpreadedObs(self):
"Testing observability of zero-spreaded term structure"
global flag
flag = None
me = SimpleQuote(0.01)
mh = QuoteHandle(me)
h = YieldTermStructureHandle()
spreaded = ZeroSpreadedTermStructure(h,mh)
obs = Observer(raiseFlag)
obs.registerWith(spreaded)
h.linkTo(self.termStructure)
if not flag:
self.fail("Observer was not notified of term structure change")
flag = None
me.setValue(0.005)
if not flag:
self.fail("Observer was not notified of spread change")
if __name__ == '__main__':
import QuantLib
print 'testing QuantLib', QuantLib.__version__
suite = unittest.TestSuite()
suite.addTest(unittest.makeSuite(TermStructureTest,'test'))
unittest.TextTestRunner(verbosity=2).run(suite)
raw_input('press return to continue')
|
