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
|
library(RQuantLib)
#test.Schedule <- function() {
## these tests are taken from the QuantLib test-suite/schedule.cpp file
startDate <- as.Date("2012-1-17")
params <- list(effectiveDate=startDate,
maturityDate=startDate+7,
period = "Daily",
businessDayConvention="Preceding")
expected <- as.Date(c("2012-1-17", "2012-1-18", "2012-1-19", "2012-1-20", "2012-1-23", "2012-1-24"))
expect_equal(Schedule(params), expected, info="Testing schedule with daily frequency...")
params <- list(effectiveDate= as.Date("2009-09-30"),
maturityDate = as.Date("2012-06-15"),
calendar = "Japan",
period = "Semiannual",
businessDayConvention="Following",
terminationDateConvention="ModifiedFollowing",
dateGeneration="Forward",
endOfMonth=T)
expected <- as.Date(c("2009-09-30", "2010-03-31", "2010-09-30", "2011-03-31", "2011-09-30",
"2012-03-30", "2012-06-29"))
expect_equal(Schedule(params), expected, info="Testing end date for schedule with end-of-month adjustment...")
params$terminationDateConvention="Unadjusted"
expected[7] <- as.Date("2012-06-15")
expect_equal(Schedule(params), expected)
params <- list(effectiveDate = as.Date("2013-03-28"),
maturityDate = as.Date("2015-03-30"),
calendar = "TARGET",
period="Annual",
businessDayConvention="Unadjusted",
terminationDateConvention="Unadjusted",
dateGeneration="Forward",
endOfMonth=T)
expected <- as.Date(c("2013-03-31", "2014-03-31", "2015-03-30"))
expect_equal(Schedule(params), expected, info="Testing that no dates are past the end date with EOM adjustment...")
params <- list(effectiveDate = as.Date("1996-08-31"),
maturityDate = as.Date("1997-09-15"),
calendar = "UnitedStates/GovernmentBond",
period="Semiannual",
businessDayConvention="Unadjusted",
terminationDateConvention="Unadjusted",
dateGeneration="Forward",
endOfMonth=T)
expected <- as.Date(c("1996-08-31", "1997-02-28", "1997-08-31", "1997-09-15"))
expect_equal(Schedule(params), expected, info=paste("Testing that the last date is not adjusted for EOM",
"when termination date convention is unadjusted..."))
params <- list(effectiveDate = as.Date("1996-08-22"),
maturityDate = as.Date("1997-08-31"),
calendar = "UnitedStates/GovernmentBond",
period="Semiannual",
businessDayConvention="Unadjusted",
terminationDateConvention="Unadjusted",
dateGeneration="Backward",
endOfMonth=T)
expected <- as.Date(c("1996-08-22", "1996-08-31", "1997-02-28", "1997-08-31"))
expect_equal(Schedule(params), expected, info=paste("Testing that the first date is not adjusted for EOM",
"going backward when termination date convention is unadjusted..."))
params <- list(effectiveDate = as.Date("1996-08-22"),
maturityDate = as.Date("1997-08-31"),
calendar = "UnitedStates/GovernmentBond",
period="Semiannual",
businessDayConvention="Following",
terminationDateConvention="Following",
dateGeneration="Backward",
endOfMonth=T)
expected <- as.Date(c("1996-08-30", "1997-02-28", "1997-08-29"))
expect_equal(Schedule(params), expected, info=paste("Testing that the first date is not duplicated due to",
"EOM convention when going backwards..."))
if( compareVersion(getQuantLibVersion(), "1.7.1") >= 0 ) {
params <- list(effectiveDate = as.Date("2016-01-13"),
maturityDate = as.Date("2016-05-04"),
calendar = "TARGET",
period = "EveryFourthWeek",
businessDayConvention="Following",
terminationDateConvention="Following",
dateGeneration="Forward")
expected <- as.Date(c("2016-01-13", "2016-02-10", "2016-03-09", "2016-04-06", "2016-05-04"))
expect_equal(Schedule(params), expected, info="Testing that a four-weeks tenor works...")
}
#test.CDS <- function() {
params <- list(effectiveDate = as.Date("2016-06-21"),
maturityDate = as.Date("2021-06-20"),
calendar = "UnitedStates/GovernmentBond",
period = "Quarterly",
businessDayConvention="ModifiedFollowing",
terminationDateConvention="Unadjusted",
dateGeneration="CDS")
## values come from Bloomberg (last date is wrong, because of a bug in QuantLib)
expected <- as.Date(c("2016-06-20", "2016-09-20", "2016-12-20", "2017-03-20", "2017-06-20",
"2017-09-20", "2017-12-20", "2018-03-20", "2018-06-20", "2018-09-20",
"2018-12-20", "2019-03-20", "2019-06-20", "2019-09-20", "2019-12-20",
"2020-03-20", "2020-06-22", "2020-09-21", "2020-12-21", "2021-03-22",
"2021-06-20"))
expect_equal(Schedule(params), expected, info="Checking schedule of IG26")
|
