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"""
Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
Copyright (C) 2007 StatPro Italia 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/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.
"""
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)),
Period(n, units), self.settlementDays,
self.calendar, ModifiedFollowing,
False, 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)),
Period(years, Years), self.calendar,
Annual, Unadjusted, Thirty360(), Euribor6M())
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 = RelinkableYieldTermStructureHandle()
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 = RelinkableYieldTermStructureHandle()
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 = RelinkableYieldTermStructureHandle()
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)