Added tests for day convention arithmetic and other miscellaneous functions
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Sudhir Shenoy
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9bb852795e
commit
28604b19d4
3 changed files with 163 additions and 122 deletions
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@ -27,7 +27,6 @@
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(in-package :cl-dates-test)
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(deftest julian ()
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(format t "Julian date conversions ...~%")
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(check
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(= (ymd->date 2017 2 5) 2457789.5)
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(= (ymd->date 1959 12 29) 2436931.5)
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@ -41,12 +40,16 @@
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(= (jday-number (ymd->date 2017 6 18)) 2457923)))
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(deftest misc-fns ()
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(format t "Miscellaneous date functions ...~%")
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(check
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(valid-date-p 2000 2 29)
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(null (valid-date-p 1900 2 29))
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(null (valid-date-p 1234 65 789))
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(null (leap-year-p 1900))
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(leap-year-p 2000)
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(null (leap-year-p 2001))
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(leap-year-p 2004)
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(eq :monday (day-of-week (ymd->date 2017 2 6)))
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(eq :wednesday (day-of-week (ymd->date 1959 9 23)))
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@ -55,10 +58,15 @@
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;; overflow month - returns last tuesday
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(= (nth-day-of-week (ymd->date 2017 2 5) :tuesday 7) (ymd->date 2017 2 28))
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;; any number <= 1 should return 1st tuesday
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(= (nth-day-of-week (ymd->date 2017 2 5) :tuesday -7) (ymd->date 2017 2 7))))
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(= (nth-day-of-week (ymd->date 2017 2 5) :tuesday -7) (ymd->date 2017 2 7))
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(date= (ymd->date 2007 2 3 10 35 42) (ymd->date 2007 2 3 11 30 20) (ymd->date 2007 2 3 12 45 12))
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(date/= (ymd->date 2007 2 4) (ymd->date 2007 2 3) (ymd->date 2007 2 3))
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(date< (ymd->date 2007 2 3 10 35 42) (ymd->date 2007 2 4 11 30 20) (ymd->date 2007 2 5 12 45 12))
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(not (date< (ymd->date 2007 2 3 10 35 42) (ymd->date 2007 2 3 11 30 20) (ymd->date 2007 2 5 12 45 12)))
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(date<= (ymd->date 2007 2 3 10 35 42) (ymd->date 2007 2 3 11 30 20) (ymd->date 2007 2 5 12 45 12))))
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(deftest print-fns ()
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(format t "Conversions to strings ...~%")
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(let ((dt1 (ymd->date 2017 2 16))
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(dt2 (ymd->date 2017 2 16 17 30 25 +9)))
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(check
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@ -102,7 +110,6 @@
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(string= (date->string dt2 :zone "JST" :format :rfc-850) "Thu, 16-Feb-2017 17:30:25 +0900"))))
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(deftest special-dates ()
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(format t "Computation of special dates ...~%")
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(check
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(= (easter-day 2001) (ymd->date 2001 4 15))
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(= (easter-day 2002) (ymd->date 2002 3 31))
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@ -126,8 +133,39 @@
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(= (winter-solstice 1959)
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(ymd->date 1959 12 22 14 34 33.68946969509125d0))))
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(deftest date-arith ()
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(check
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(= (date+ (ymd->date 2016 2 28) 1) (ymd->date 2016 2 29))
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(= (date+ (ymd->date 2016 2 28) 2) (ymd->date 2016 3 1))
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(= (date- (ymd->date 2016 3 1) 2) (ymd->date 2016 2 28))
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(= (date- (ymd->date 2016 3 1) 1) (ymd->date 2016 2 29))
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(= (add-months (ymd->date 2016 2 29) 6) (ymd->date 2016 8 29))
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(= (add-months (ymd->date 2016 2 29) 6 :eom-rule :eom-normal) (ymd->date 2016 8 31))
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(= (add-months (ymd->date 2016 2 29) 6 :eom-rule :eom-no-leap-day) (ymd->date 2016 8 31))
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(= (add-months (ymd->date 2016 2 28) 6 :eom-rule :eom-normal) (ymd->date 2016 8 28))
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(= (add-months (ymd->date 2016 2 28) 6 :eom-rule :eom-no-leap-day) (ymd->date 2016 8 31))
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(= (add-months (ymd->date 2016 2 29) 12) (ymd->date 2017 2 28))
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(= (add-months (ymd->date 2016 2 29) 48) (ymd->date 2020 2 29))
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(= (add-years (ymd->date 2016 2 29) 4) (add-months (ymd->date 2016 2 29) 48))
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(= (add-months (ymd->date 2016 1 31) 1) (ymd->date 2016 2 29))
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(= (add-months (ymd->date 2016 1 31) 2) (ymd->date 2016 3 31))
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(= (add-months (ymd->date 2016 1 31) 3) (ymd->date 2016 4 30))
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(= (add-months (ymd->date 2016 4 30) 1) (ymd->date 2016 5 30))
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(= (add-months (ymd->date 2016 4 30) 1 :eom-rule :eom-normal) (ymd->date 2016 5 31))
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(= (add-months (ymd->date 2016 4 30) 1 :eom-rule :eom-no-leap-day) (ymd->date 2016 5 31))
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(= (add-months (ymd->date 2016 4 30) 46 :eom-rule :eom-normal) (ymd->date 2020 2 29))
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(= (add-months (ymd->date 2016 4 30) 46 :eom-rule :eom-no-leap-day) (ymd->date 2020 2 28))
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(= 0 (diff-days (ymd->date 2007 2 3 10 35 42) (ymd->date 2007 2 3 11 30 20)))
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(= 2 (diff-days (ymd->date 2008 2 28 10 35 42) (ymd->date 2008 3 1 11 30 20)))
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(= 366 (diff-days (ymd->date 2008 1 1 10 35 42) (ymd->date 2009 1 1 11 30 20)))
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(= 365 (diff-days (ymd->date 2007 1 1 10 35 42) (ymd->date 2008 1 1 11 30 20)))))
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(deftest date-arith-360 ()
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(format t "Checking 30/360 and Actual/360 day basis computations~%")
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(let ((test-cases
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;; Start date End Date Bond Basis 30E/360 30E/360 ISDA Act/360
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'(("2007-01-15" "2007-01-30" 0.041666667 0.041666667 0.041666667 0.041666667)
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@ -154,8 +192,9 @@
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(term-date (ymd->date 2009 2 28)))
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(labels ((a= (a b)
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(< (abs (- a b)) 0.000001)))
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(dolist (test test-cases)
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(let ((d1 (string->date (first test)))
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(combine-results
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(loop for test in test-cases
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collect (let ((d1 (string->date (first test)))
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(d2 (string->date (second test)))
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(bond-basis (third test))
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(euro-basis (fourth test))
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@ -165,10 +204,9 @@
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(a= (diff-years d1 d2 :30a-360) bond-basis)
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(a= (diff-years d1 d2 :30e-360) euro-basis)
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(a= (diff-years d1 d2 :30e-360-isda :termination-date term-date) german)
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(a= (diff-years d1 d2 :act-360) actual)))))))
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(a= (diff-years d1 d2 :act-360) actual))))))))
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(deftest date-arith-act-act ()
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(format t "Checking Actual/Actual day basis computations~%")
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(let ((test-cases
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(list
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;; Start End Date F LC AFB ISDA ISMA
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@ -182,8 +220,9 @@
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(list "2000-01-30" "2000-06-30" 2 t 152/366 152/366 (/ 152 (* 2 182)))
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(list "1999-11-30" "2000-04-30" 4 t 152/366 (+ 32/365 120/366) (+ (/ 91 (* 4 91))
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(/ 61 (* 4 92)))))))
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(dolist (test test-cases)
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(let ((d1 (string->date (first test)))
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(combine-results
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(loop for test in test-cases
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collect (let ((d1 (string->date (first test)))
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(d2 (string->date (second test)))
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(freq (third test))
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(last-cpn (fourth test))
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@ -193,4 +232,4 @@
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(check
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(= (diff-years d1 d2 :act-act-afb) afb)
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(= (diff-years d1 d2 :act-act) isda)
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(= (diff-years d1 d2 :act-act-isma :frequency freq :is-last-coupon last-cpn) isma))))))
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(= (diff-years d1 d2 :act-act-isma :frequency freq :is-last-coupon last-cpn) isma)))))))
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@ -47,6 +47,7 @@
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cases."
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`(defun ,name ,parameters
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(let ((*test-name* (append *test-name* (list ',name))))
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(format t "~a ... from test #~d~%" *test-name* (1+ *total-tests*))
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,@body)))
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(defmacro check (&body forms)
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@ -54,12 +55,9 @@
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`(combine-results
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,@(loop for f in forms collect `(report-result ,f ',f))))
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(defmacro combine-results (&body forms)
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"Combine the results (as booleans) of evaluating 'forms' in order."
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(let ((result (gensym)))
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`(let ((,result t))
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,@(loop for f in forms collect `(unless ,f (setf ,result nil)))
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,result)))
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(defun combine-results (&rest exprs)
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"Combine the results (as booleans) of evaluating 'exprs' in order."
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(every #'identity exprs))
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(defun report-result (result form)
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"Report the results of a single test case. Called by 'check'."
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@ -67,19 +65,20 @@
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(when (not result)
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(incf *failed-tests*))
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(if *verbose-results*
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(format t "~:[FAIL~;pass~] ... ~a: ~a~%" result *test-name* form)
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(format t "#~d: ~:[FAIL~;pass~] ... ~a: ~a~%" *total-tests* result *test-name* form)
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(when (not result)
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(format t "FAIL ... ~a: ~a~%" *test-name* form)))
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(format t "#~d: FAIL ... ~a: ~a~%" *total-tests* *test-name* form)))
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result)
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(defun run-all-tests (&key (verbose nil))
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(let ((*total-tests* 0)
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(let* ((*total-tests* 0)
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(*failed-tests* 0)
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(*verbose-results* verbose)
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(status (combine-results
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(julian)
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(misc-fns)
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(special-dates)
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(date-arith)
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(date-arith-360)
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(date-arith-act-act)
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(print-fns)
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@ -33,7 +33,6 @@
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(< (abs (- a b)) +max-error+))
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(deftest parse-dates ()
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(format t "Parse dates from strings ...~%")
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(let ((dt (ymd->date 2003 9 25 1 36 28)))
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(check
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;; Fully specified date with time and timezone
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@ -200,4 +199,8 @@
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(= (string->date "01h02s" :reference-date dt) (ymd->date 2003 9 25 1 36 2))
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(= (string->date "01m02" :reference-date dt) (ymd->date 2003 9 25 1 1 2))
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(a= (string->date "01m02h" :reference-date dt) (ymd->date 2003 9 25 2 1 28))
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(= (string->date "2004 10 April 11h30m" :reference-date dt) (ymd->date 2004 4 10 11 30 28)))))
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(= (string->date "2004 10 April 11h30m" :reference-date dt) (ymd->date 2004 4 10 11 30 28))
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;; The next one works coincidentally because Japanese uses a y/m/d format by default.
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;; However, it demonstrates that as long as date components are present, the presence
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;; of extraneous characters does not matter
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(= (string->date "2004年8月9日") (ymd->date 2004 8 9)))))
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