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# coding=utf-8-unix
"""
Copyright (C) 2018 Wojciech Ślusarski
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 IborIndexTest(unittest.TestCase):
@classmethod
def setUpClass(cls):
cls.euribor3m = ql.Euribor3M()
def setUp(self):
self.euribor3m.clearFixings()
# values are not real due to copyrights of the fixing
self.euribor3m.addFixing(ql.Date(17, 7, 2018), -0.3)
self.euribor3m.addFixings([ql.Date(12, 7, 2018), ql.Date(13, 7, 2018)], [-0.3, -0.3])
def testAddFixingFail(self):
"""Testing for RuntimeError while trying to overwrite fixing value"""
with self.assertRaises(RuntimeError):
# attempt to overwrite value that is already set at different level
self.euribor3m.addFixing(ql.Date(17, 7, 2018), -0.4)
with self.assertRaises(RuntimeError):
# attempt to overwrite value that is already set at different level
self.euribor3m.addFixings([ql.Date(12, 7, 2018), ql.Date(13, 7, 2018)], [-0.4, -0.4])
def testAddFixing(self):
"""Testing for overwriting fixing value"""
force_overwrite = True
try:
# attempt to overwrite value that is already set at different level
self.euribor3m.addFixing(ql.Date(17, 7, 2018), -0.4, force_overwrite)
self.euribor3m.addFixings([ql.Date(12, 7, 2018), ql.Date(13, 7, 2018)], [-0.4, -0.4], force_overwrite)
# try clearFixings and repeat with original levels
self.euribor3m.clearFixings()
self.euribor3m.addFixing(ql.Date(17, 7, 2018), -0.3)
self.euribor3m.addFixings([ql.Date(12, 7, 2018), ql.Date(13, 7, 2018)], [-0.3, -0.3])
except RuntimeError as err:
raise AssertionError("Failed to overwrite index fixixng " + "{}".format(err))
def testTimeSeries(self):
"""Testing for getting time series of the fixing"""
dates = (ql.Date(12, 7, 2018), ql.Date(13, 7, 2018), ql.Date(17, 7, 2018))
values = (-0.3, -0.3, -0.3)
for expected, actual in zip(dates, self.euribor3m.timeSeries().dates()):
self.assertTrue(expected == actual)
for expected, actual in zip(values, self.euribor3m.timeSeries().values()):
self.assertTrue(expected == actual)
if __name__ == "__main__":
print("testing QuantLib", ql.__version__)
unittest.main(verbosity=2)
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