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"""
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
<quantlib-dev@lists.sf.net>. The license is also available online at
<https://www.quantlib.org/license.shtml>.
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)
|
