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"""
Copyright (C) 2023 Marcin Rybacki
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
EPSILON = 1.e-2
CAL = ql.TARGET()
DCT = ql.Actual365Fixed()
VALUATION_DATE = CAL.adjust(ql.Date(31, ql.January, 2023))
def flat_rate(rate):
return ql.FlatForward(
2, CAL, ql.makeQuoteHandle(rate), DCT)
class EquityIndexTest(unittest.TestCase):
def setUp(self):
ql.Settings.instance().evaluationDate = VALUATION_DATE
self.interest_handle = ql.YieldTermStructureHandle(flat_rate(0.03))
self.dividend_handle = ql.YieldTermStructureHandle(flat_rate(0.01))
spot_handle = ql.makeQuoteHandle(8690.0)
ql.IndexManager.instance().clearHistory("eq_idx")
self.equity_idx = ql.EquityIndex(
"eq_idx", CAL, self.interest_handle, self.dividend_handle, spot_handle)
def test_equity_index_inspectors(self):
"""Testing equity index inspectors"""
fail_msg = "Unable to replicate the properties of an equity index."
self.assertEqual(self.equity_idx.name(), "eq_idx", msg=fail_msg)
self.assertEqual(self.equity_idx.fixingCalendar(), CAL, msg=fail_msg)
def test_equity_index_projections(self):
"""Testing equity index projections"""
fail_msg = "Failed to calculate the expected index projection."
self.assertAlmostEqual(
self.equity_idx.fixing(VALUATION_DATE), 8690.0, delta=EPSILON, msg=fail_msg)
future_dt = ql.Date(20, ql.May, 2030)
self.assertAlmostEqual(
self.equity_idx.fixing(future_dt), 10055.76, delta=EPSILON, msg=fail_msg)
if __name__ == '__main__':
print("testing QuantLib", ql.__version__)
unittest.main(verbosity=2)
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