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New tests for day basis computations in diff-year

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This commit is contained in:
Sudhir Shenoy 2017-07-13 07:09:37 +09:00
parent d8025983c1
commit 2942e2934e
2 changed files with 78 additions and 8 deletions
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74
test-dates.lisp
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@ -32,12 +32,11 @@
(= (ymd->date 2017 2 5) 2457789.5) (= (ymd->date 2017 2 5) 2457789.5)
(= (ymd->date 1959 12 29) 2436931.5) (= (ymd->date 1959 12 29) 2436931.5)
(= (ymd->date 1959 12 29 18 12 26.3) 2436932.2586376667d0) (= (ymd->date 1959 12 29 18 12 26.3) 2436932.2586376667d0)
(equal '(2017 2 5 0 0 0.0d0) (equal '(2017 2 5) (multiple-value-call #'list (date->ymd 2457789.5)))
(multiple-value-call #'list (date->ymd 2457789.5)))
(= (ymd->date 1600 2 29) 2305506.5) (= (ymd->date 1600 2 29) 2305506.5)
(= (ymd->date 1600 2 29 9 31 23.5) 2305506.896799773d0) (= (ymd->date 1600 2 29 9 31 23.5) 2305506.896799773d0)
(equal '(1600 2 29 9 31 23.500385284423828d0) (equal '(1600 2 29 9 31 23.500385284423828d0)
(multiple-value-call #'list (date->ymd 2305506.896799773d0))) (multiple-value-call #'list (date->ymd 2305506.896799773d0 :want-time t)))
(= (date->javascript-time (ymd->date 2017 6 18)) 1497744000000) (= (date->javascript-time (ymd->date 2017 6 18)) 1497744000000)
(= (jday-number (ymd->date 2017 6 18)) 2457923))) (= (jday-number (ymd->date 2017 6 18)) 2457923)))
@ -126,3 +125,72 @@
(ymd->date 1959 9 23 19 8 29.363870322704315D0)) (ymd->date 1959 9 23 19 8 29.363870322704315D0))
(= (winter-solstice 1959) (= (winter-solstice 1959)
(ymd->date 1959 12 22 14 34 33.68946969509125d0)))) (ymd->date 1959 12 22 14 34 33.68946969509125d0))))
(deftest date-arith-360 ()
(format t "Checking 30/360 and Actual/360 day basis computations~%")
(let ((test-cases
;; Start date End Date Bond Basis 30E/360 30E/360 ISDA Act/360
'(("2007-01-15" "2007-01-30" 0.041666667 0.041666667 0.041666667 0.041666667)
("2007-01-15" "2007-02-15" 0.083333333 0.083333333 0.083333333 0.086111111)
("2007-01-15" "2007-07-15" 0.5 0.5 0.5 0.502777778)
("2007-09-30" "2008-03-31" 0.5 0.5 0.5 0.508333333)
("2007-09-30" "2007-10-31" 0.083333333 0.083333333 0.083333333 0.086111111)
("2007-09-30" "2008-09-30" 1 1 1 1.016666667)
("2007-01-15" "2007-01-31" 0.044444444 0.041666667 0.041666667 0.044444444)
("2007-01-31" "2007-02-28" 0.077777778 0.077777778 0.083333333 0.077777778)
("2006-08-31" "2007-02-28" 0.494444444 0.494444444 0.5 0.502777778)
("2007-02-28" "2007-08-31" 0.508333333 0.505555556 0.5 0.511111111)
("2007-02-14" "2007-02-28" 0.038888889 0.038888889 0.044444444 0.038888889)
("2007-02-26" "2008-02-29" 1.008333333 1.008333333 1.011111111 1.022222222)
("2008-02-29" "2009-02-28" 0.997222222 0.997222222 0.994444444 1.013888889)
("2008-02-29" "2008-03-30" 0.086111111 0.086111111 0.083333333 0.083333333)
("2008-02-29" "2008-03-31" 0.088888889 0.086111111 0.083333333 0.086111111)
("2007-02-28" "2007-03-05" 0.019444444 0.019444444 0.013888889 0.013888889)
("2007-10-31" "2007-11-28" 0.077777778 0.077777778 0.077777778 0.077777778)
("2007-08-31" "2008-02-29" 0.497222222 0.497222222 0.5 0.505555556)
("2008-02-29" "2008-08-31" 0.505555556 0.502777778 0.5 0.511111111)
("2008-08-31" "2009-02-28" 0.494444444 0.494444444 0.494444444 0.502777778)
("2009-02-28" "2009-08-31" 0.508333333 0.505555556 0.5 0.511111111)))
(term-date (ymd->date 2009 2 28)))
(labels ((a= (a b)
(< (abs (- a b)) 0.000001)))
(dolist (test test-cases)
(let ((d1 (string->date (first test)))
(d2 (string->date (second test)))
(bond-basis (third test))
(euro-basis (fourth test))
(german (fifth test))
(actual (sixth test)))
(check
(a= (diff-years d1 d2 :30a-360) bond-basis)
(a= (diff-years d1 d2 :30e-360) euro-basis)
(a= (diff-years d1 d2 :30e-360-isda :termination-date term-date) german)
(a= (diff-years d1 d2 :act-360) actual)))))))
(deftest date-arith-act-act ()
(format t "Checking Actual/Actual day basis computations~%")
(let ((test-cases
(list
;; Start End Date F LC AFB ISDA ISMA
(list "2003-11-01" "2004-05-01" 2 nil 182/366 (+ 61/365 121/366) (/ 182 (* 2 182)))
(list "1999-02-01" "1999-07-01" 1 nil 150/365 150/365 (/ 150 (* 1 365)))
(list "1999-07-01" "2000-07-01" 1 nil 1 (+ 184/365 182/366) (/ 366 (* 1 366)))
(list "2002-08-15" "2003-07-15" 2 nil 334/365 334/365 (+ (/ 181 (* 2 181))
(/ 153 (* 2 184))))
(list "2003-07-15" "2004-01-15" 2 nil 184/365 (+ 170/365 14/366) (/ 184 (* 2 184)))
(list "1999-07-30" "2000-01-30" 2 t 184/365 (+ 155/365 29/366) (/ 184 (* 2 184)))
(list "2000-01-30" "2000-06-30" 2 t 152/366 152/366 (/ 152 (* 2 182)))
(list "1999-11-30" "2000-04-30" 4 t 152/366 (+ 32/365 120/366) (+ (/ 91 (* 4 91))
(/ 61 (* 4 92)))))))
(dolist (test test-cases)
(let ((d1 (string->date (first test)))
(d2 (string->date (second test)))
(freq (third test))
(last-cpn (fourth test))
(afb (fifth test))
(isda (sixth test))
(isma (seventh test)))
(check
(= (diff-years d1 d2 :act-act-afb) afb)
(= (diff-years d1 d2 :act-act) isda)
(= (diff-years d1 d2 :act-act-isma :frequency freq :is-last-coupon last-cpn) isma))))))

12
test-main.lisp
View file

@ -77,11 +77,13 @@
(*failed-tests* 0) (*failed-tests* 0)
(*verbose-results* verbose) (*verbose-results* verbose)
(status (combine-results (status (combine-results
(julian) (julian)
(misc-fns) (misc-fns)
(special-dates) (special-dates)
(print-fns) (date-arith-360)
(parse-dates)))) (date-arith-act-act)
(print-fns)
(parse-dates))))
(unless (zerop *total-tests*) (unless (zerop *total-tests*)
(format t "~d tests executed - ~d passed (~,2f%)~%" (format t "~d tests executed - ~d passed (~,2f%)~%"
*total-tests* (- *total-tests* *failed-tests*) *total-tests* (- *total-tests* *failed-tests*)