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Added tests for business day arithmetic

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Sudhir Shenoy 2017-08-03 22:59:57 +09:00
parent 3dedec1798
commit 41b7cf61f1
2 changed files with 96 additions and 1 deletions
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93
test-dates.lisp
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@ -246,3 +246,96 @@
(= (diff-years d1 d2 :act-act-afb) afb) (= (diff-years d1 d2 :act-act-afb) afb)
(= (diff-years d1 d2 :act-act) isda) (= (diff-years d1 d2 :act-act) isda)
(= (diff-years d1 d2 :act-act-isma :frequency freq :is-last-coupon last-cpn) isma))))))) (= (diff-years d1 d2 :act-act-isma :frequency freq :is-last-coupon last-cpn) isma)))))))
(deftest bus-date-arith ()
(let ((cal (make-calendar :jpy :base-year 2017)))
(check
(= 245 (workday-number (ymd->date 2016 12 31) cal))
(= 20 (workday-number (ymd->date 2017 2 1) cal))
(= 247 (workday-number (ymd->date 2017 12 31) cal))
(date= (ymd->date 2017 1 4) (next-workday (ymd->date 2016 12 31) cal))
(date= (ymd->date 2016 5 2) (next-workday (ymd->date 2016 4 28) cal))
(date= (ymd->date 2017 5 8) (next-workday (ymd->date 2017 5 2) cal))
(date= (ymd->date 2016 12 30) (prev-workday (ymd->date 2017 1 4) cal))
(date= (ymd->date 2017 4 28) (prev-workday (ymd->date 2017 5 1) cal))
(date= (ymd->date 2017 5 2) (prev-workday (ymd->date 2017 5 8) cal))
(date= (ymd->date 2018 1 4) (add-workdays (ymd->date 2017 1 1) cal 248))
(date= (ymd->date 2017 2 1) (add-workdays (ymd->date 2017 1 1) cal 20))
(= 20 (diff-workdays (ymd->date 2017 1 1) (ymd->date 2017 2 1) cal))
(= 247 (diff-workdays (ymd->date 2017 1 1) (ymd->date 2017 12 31) cal))
(= 247 (diff-workdays (ymd->date 2018 1 4) (ymd->date 2017 1 4) cal))
(date= (ymd->date 2016 5 2) (first-workday-of-month (ymd->date 2016 5 10) cal))
(date= (ymd->date 2017 4 28) (last-workday-of-month (ymd->date 2017 4 1) cal))
(date= (ymd->date 2017 4 28) (last-workday-of-prev-month (ymd->date 2017 5 10) cal))
(date= (ymd->date 2016 5 2) (adjust-date (ymd->date 2016 4 30) cal :following))
(date= (ymd->date 2016 4 28) (adjust-date (ymd->date 2016 4 30) cal :modified-following))
(date= (ymd->date 2016 4 28) (adjust-date (ymd->date 2016 4 30 1) cal :preceding)))))
(deftest schedule-generation ()
(let ((target-cal (make-calendar :target :base-year 2002))
(japan-cal (make-calendar :japan :base-year 2009))
(bond-cal (make-calendar :us-bond :base-year 1996)))
(check
;; Adjusted maturity date with month-end roll
(equal (mapcar #'date->string (generate-schedule (ymd->date 2009 9 30) (ymd->date 2012 6 15)
6 japan-cal :rule :normal-front
:roll-convention :following
:maturity-roll :following
:eom-rule :eom-normal))
(list "2009-09-30" "2010-03-31" "2010-09-30" "2011-03-31" "2011-09-30"
"2012-03-30" "2012-06-29"))
;; same as above with unadjusted maturity
(equal (mapcar #'date->string (generate-schedule (ymd->date 2009 9 30) (ymd->date 2012 6 15)
6 japan-cal :rule :normal-front
:roll-convention :following
:maturity-roll nil
:eom-rule :eom-normal))
(list "2009-09-30" "2010-03-31" "2010-09-30" "2011-03-31" "2011-09-30"
"2012-03-30" "2012-06-15"))
;; Coupon date of 2015/3/31 (after EOM adjustment) is dropped because it is beyond maturity
(equal (mapcar #'date->string (generate-schedule (ymd->date 2013 3 28) (ymd->date 2015 3 30)
12 target-cal :rule :normal-front
:roll-convention nil
:maturity-roll nil
:eom-rule :eom-normal))
(list "2013-03-28" "2014-03-31" "2015-03-30"))
;; Coupon date of 2015/3/31 (after EOM adjustment) is dropped because it is equal to maturity
(equal (mapcar #'date->string (generate-schedule (ymd->date 2013 3 28) (ymd->date 2015 3 31)
12 target-cal :rule :normal-front
:roll-convention nil
:maturity-roll nil
:eom-rule :eom-normal))
(list "2013-03-28" "2014-03-31" "2015-03-31"))
(equal (mapcar #'date->string (generate-schedule (ymd->date 1996 8 31) (ymd->date 1997 9 15)
6 bond-cal :rule :normal-front
:roll-convention nil
:maturity-roll nil
:eom-rule :eom-normal))
(list "1996-08-31" "1997-02-28" "1997-08-31" "1997-09-15"))
(equal (mapcar #'date->string (generate-schedule (ymd->date 1996 8 22) (ymd->date 1997 8 31)
6 bond-cal :rule :normal-back
:roll-convention nil
:maturity-roll nil
:eom-rule :eom-normal))
(list "1996-08-22" "1996-08-31" "1997-02-28" "1997-08-31"))
(equal (mapcar #'date->string (generate-schedule (ymd->date 1996 8 22) (ymd->date 1997 8 31)
6 bond-cal :rule :normal-back
:roll-convention :following
:maturity-roll :following
:eom-rule :eom-normal))
(list "1996-08-22" "1996-08-30" "1997-02-28" "1997-08-29"))
(equal (mapcar #'date->string (generate-schedule (ymd->date 2016 12 12) (ymd->date 2021 12 12)
3 japan-cal :rule :cds-dates
:roll-convention :modified-following
:maturity-roll nil
:eom-rule nil))
(list "2016-09-20" "2016-12-20" "2017-03-21" "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" "2020-03-23" "2020-06-22" "2020-09-23" "2020-12-21"
"2021-03-22" "2021-06-21" "2021-09-21" "2021-12-20")))))

4
test-main.lisp
View file

@ -83,7 +83,9 @@
(date-arith-act-act) (date-arith-act-act)
(print-fns) (print-fns)
(parse-dates) (parse-dates)
(holiday-tests)))) (holiday-tests)
(bus-date-arith)
(schedule-generation))))
(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*)