Adding copyright notice to tests

DocOZ001 · Aug 22, 2020 · 13e8635 · 13e8635
1 parent 19d918b
commit 13e8635
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Showing 85 changed files with 302 additions and 516 deletions.
diff --git a/financepy/products/credit/FinCDS.py b/financepy/products/credit/FinCDS.py
@@ -207,14 +207,17 @@ def __init__(self,
         if type(maturityDateOrTenor) == FinDate:
             maturityDate = maturityDateOrTenor
         else:
+            # To get the next CDS date we move on by the tenor and 
+            # then roll to next CDS date after that
             maturityDate = stepInDate.addTenor(maturityDateOrTenor)
+            maturityDate = maturityDate.nextCDSDate()
 
         if stepInDate > maturityDate:
             raise FinError("Step in date after maturity date")
 
         self._stepInDate = stepInDate
         self._maturityDate = maturityDate
-        self._coupon = runningCoupon
+        self._runningCoupon = runningCoupon
         self._notional = notional
         self._longProtection = longProtection
         self._dayCountType = dayCountType
@@ -318,7 +321,7 @@ def _calcFlows(self):
             t0 = paymentDates[it - 1]
             t1 = paymentDates[it]
             accrualFactor = dayCount.yearFrac(t0, t1)
-            flow = accrualFactor * self._coupon * self._notional
+            flow = accrualFactor * self._runningCoupon * self._notional
 
             self._accrualFactors.append(accrualFactor)
             self._flows.append(flow)
@@ -356,9 +359,9 @@ def value(self,
             longProt = -1
 
         fullPV = fwdDf * longProt * \
-            (protPV - self._coupon * fullRPV01 * self._notional)
+            (protPV - self._runningCoupon * fullRPV01 * self._notional)
         cleanPV = fwdDf * longProt * \
-            (protPV - self._coupon * cleanRPV01 * self._notional)
+            (protPV - self._runningCoupon * cleanRPV01 * self._notional)
 
         return {'full_pv': fullPV, 'clean_pv': cleanPV}
 
@@ -385,7 +388,7 @@ def creditDV01(self,
 
         bump = 0.0001
         for cds in issuerCurve._cdsContracts:
-            cds._coupon += bump
+            cds._runningCoupon += bump
         issuerCurve._buildCurve()
 
         v1 = self.value(valuationDate,
@@ -397,7 +400,7 @@ def creditDV01(self,
 
         # NEED TO UNDO CHANGES TO CURVE OBJECT - NO NEED TO REBUILD !!!
         for cds in issuerCurve._cdsContracts:
-            cds._coupon -= bump
+            cds._runningCoupon -= bump
         issuerCurve._values = survProbs
 
         creditDV01 = (v1['full_pv'] - v0['full_pv'])
@@ -505,7 +508,8 @@ def cleanPrice(self,
 
         fwdDf = 1.0
 
-        cleanPV = fwdDf * (protPV - self._coupon * cleanRPV01 * self._notional)
+        cleanPV = fwdDf * (protPV - self._runningCoupon * cleanRPV01
+                           * self._notional)
         cleanPrice = (self._notional - cleanPV) / self._notional * 100.0
         return cleanPrice
 
@@ -621,7 +625,7 @@ def accruedInterest(self):
         paymentDates = self._adjustedDates
         pcd = paymentDates[0]
         accrualFactor = dayCount.yearFrac(pcd, self._stepInDate)
-        accruedInterest = accrualFactor * self._notional * self._coupon
+        accruedInterest = accrualFactor * self._notional * self._runningCoupon
 
         if self._longProtection:
             accruedInterest *= -1.0
@@ -711,7 +715,7 @@ def premiumLegPV(self,
                                    issuerCurve,
                                    pv01Method)['full_rpv01']
 
-        v = fullRPV01 * self._notional * self._coupon
+        v = fullRPV01 * self._notional * self._runningCoupon
         return v
 
 ##########################################################################
@@ -779,7 +783,7 @@ def valueFastApprox(self,
         protPV = h * (1.0 - contractRecovery) * (exp(-w*t_eff)-exp(-w*t_mat))\
             / w * self._notional
         cleanPV = fwdDf * longProtection * \
-            (protPV - self._coupon * cleanRPV01 * self._notional)
+            (protPV - self._runningCoupon * cleanRPV01 * self._notional)
         fullPV = cleanPV + fwdDf * longProtection * accrued
 
         bumpSize = 0.0001
@@ -793,7 +797,7 @@ def valueFastApprox(self,
         protPV = h * (1.0 - contractRecovery) * (exp(-w*t_eff)-exp(-w*t_mat)) \
             / w * self._notional
         cleanPV_credit_bumped = fwdDf * longProtection * \
-            (protPV - self._coupon * cleanRPV01 * self._notional)
+            (protPV - self._runningCoupon * cleanRPV01 * self._notional)
         fullPV_credit_bumped = cleanPV_credit_bumped \
             + fwdDf * longProtection * accrued
         credit01 = fullPV_credit_bumped - fullPV
@@ -806,7 +810,7 @@ def valueFastApprox(self,
         protPV = h * (1.0 - contractRecovery) * (exp(-w*t_eff)-exp(-w*t_mat))\
             / w * self._notional
         cleanPV_ir_bumped = fwdDf * longProtection * \
-            (protPV - self._coupon * cleanRPV01 * self._notional)
+            (protPV - self._runningCoupon * cleanRPV01 * self._notional)
         fullPV_ir_bumped = cleanPV_ir_bumped + fwdDf * longProtection * accrued
         ir01 = fullPV_ir_bumped - fullPV
 
@@ -837,13 +841,13 @@ def __repr__(self):
         s = labelToString("STEPINDATE", self._stepInDate)
         s += labelToString("MATURITY", self._maturityDate)
         s += labelToString("NOTIONAL", self._notional)
-        s += labelToString("RUNNING COUPON", self._coupon * 10000, "bp\n")
+        s += labelToString("RUNNING COUPON", self._runningCoupon*10000, "bp\n")
         s += labelToString("DAYCOUNT", self._dayCountType)
         s += labelToString("FREQUENCY", self._frequencyType)
         s += labelToString("CALENDAR", self._calendarType)
         s += labelToString("BUSDAYRULE", self._busDayAdjustType)
         s += labelToString("DATEGENRULE", self._dateGenRuleType)
-        s += labelToString("ACCRUED DAYS:", self.accruedDays())
+        s += labelToString("ACCRUED DAYS", self.accruedDays())
 
         header = "PAYMENT_DATE, YEAR_FRAC, FLOW"
         valueTable = [self._adjustedDates, self._accrualFactors, self._flows]

diff --git a/financepy/products/credit/FinCDSCurve.py b/financepy/products/credit/FinCDSCurve.py
@@ -106,7 +106,7 @@ def __init__(self,
 ###############################################################################
 
     def _validate(self, cdsContracts):
-        ''' Ensure that contracts are in increasinbg maturity. '''
+        ''' Ensure that contracts are in increasing maturity. '''
 
         if len(cdsContracts) == 0:
             raise FinError("No CDS contracts have been supplied.")

diff --git a/financepy/products/libor/FinLiborLMMProducts.py b/financepy/products/libor/FinLiborLMMProducts.py
@@ -112,7 +112,7 @@ def simulate1F(self,
         if numPaths < 2 or numPaths > 1000000:
             raise FinError("NumPaths must be between 2 and 1 million")
 
-        if discountCurve._curveDate != self._startDate:
+        if discountCurve._valuationDate != self._startDate:
             raise FinError("Curve anchor date not the same as LMM start date.")
 
         gammas = np.zeros(len(self._gridTimes))

diff --git a/tests/TestFinBond.py b/tests/TestFinBond.py
@@ -14,13 +14,7 @@
 from financepy.products.libor.FinLiborSwap import FinLiborSwap
 from financepy.products.libor.FinLiborDeposit import FinLiborDeposit
 from financepy.products.libor.FinLiborCurve import FinLiborCurve
-
-from financepy.finutils.FinHelperFunctions import dump
-
-
-# from financepy.products.bonds.FinBond import FinBond, FinYieldConventions
-
-from financepy.products.bonds import *
+from financepy.products.bonds.FinBond import FinBond, FinYieldConventions
 
 import sys
 sys.path.append("..\\..")

diff --git a/tests/TestFinBondAnnuity.py b/tests/TestFinBondAnnuity.py
@@ -1,9 +1,7 @@
-# -*- coding: utf-8 -*-
-"""
-Created on Fri Nov 30 10:52:29 2018
+###############################################################################
+# Copyright (C) 2018, 2019, 2020 Dominic O'Kane
+###############################################################################
 
-@author: Dominic O'Kane
-"""
 # TODO Set up test cases correctly
 
 from FinTestCases import FinTestCases, globalTestCaseMode
@@ -17,7 +15,7 @@
 from financepy.products.libor.FinLiborCurve import FinLiborCurve
 
 # from financepy.products.bonds.FinBondAnnuity import FinBondAnnuity
-from financepy.products.bonds import *
+from financepy.products.bonds import FinBondAnnuity
 
 testCases = FinTestCases(__file__, globalTestCaseMode)
 

diff --git a/tests/TestFinBondConvertible.py b/tests/TestFinBondConvertible.py
@@ -1,4 +1,6 @@
-# -*- coding: utf-8 -*-
+###############################################################################
+# Copyright (C) 2018, 2019, 2020 Dominic O'Kane
+###############################################################################
 
 # TODO
 import time
@@ -17,6 +19,7 @@
 
 ###############################################################################
 
+
 def test_FinBondConvertible():
 
     settlementDate = FinDate(31, 12, 2003)
@@ -124,5 +127,6 @@ def test_FinBondConvertible():
 
 ###############################################################################
 
+
 test_FinBondConvertible()
 testCases.compareTestCases()
diff --git a/tests/TestFinBondEmbeddedOptionBK.py b/tests/TestFinBondEmbeddedOptionBK.py
@@ -1,4 +1,6 @@
-# -*- coding: utf-8 -*-
+###############################################################################
+# Copyright (C) 2018, 2019, 2020 Dominic O'Kane
+###############################################################################
 
 import matplotlib.pyplot as plt
 import time

diff --git a/tests/TestFinBondEmbeddedOptionHW.py b/tests/TestFinBondEmbeddedOptionHW.py
@@ -1,4 +1,6 @@
-# -*- coding: utf-8 -*-
+###############################################################################
+# Copyright (C) 2018, 2019, 2020 Dominic O'Kane
+###############################################################################
 
 import matplotlib.pyplot as plt
 import time
@@ -81,7 +83,8 @@ def test_FinBondEmbeddedOptionMATLAB():
         v = puttableBond.value(settlementDate, discountCurve, model)
         end = time.time()
         period = end - start
-        testCases.print(period, numTimeSteps, v['bondwithoption'], v['bondpure'])
+        testCases.print(period, numTimeSteps, v['bondwithoption'],
+                        v['bondpure'])
         values.append(v['bondwithoption'])
 
     plt.figure()

diff --git a/tests/TestFinBondFRN.py b/tests/TestFinBondFRN.py
@@ -1,9 +1,6 @@
-# -*- coding: utf-8 -*-
-"""
-Created on Mon Aug  5 09:43:40 2019
-
-@author: Dominic
-"""
+###############################################################################
+# Copyright (C) 2018, 2019, 2020 Dominic O'Kane
+###############################################################################
 
 from FinTestCases import FinTestCases, globalTestCaseMode
 

diff --git a/tests/TestFinBondFutures.py b/tests/TestFinBondFutures.py
@@ -1,9 +1,7 @@
-# -*- coding: utf-8 -*-
-"""
-Created on Fri Feb 12 16:51:05 2019
+###############################################################################
+# Copyright (C) 2018, 2019, 2020 Dominic O'Kane
+###############################################################################
 
-@author: Dominic O'Kane
-"""
 from FinTestCases import FinTestCases, globalTestCaseMode
 
 from financepy.products.bonds.FinBondFuture import FinBondFuture
@@ -20,7 +18,7 @@
 
 def test_FinBondFuture():
 
-        # Example taken from Martellini and Priaulet page 360
+    # Example taken from Martellini and Priaulet page 360
     freq = FinFrequencyTypes.SEMI_ANNUAL
     basis = FinDayCountTypes.ACT_ACT_ICMA
 

diff --git a/tests/TestFinBondMortgage.py b/tests/TestFinBondMortgage.py
@@ -1,19 +1,14 @@
-# -*- coding: utf-8 -*-
-"""
-Created on Mon Aug  5 16:23:12 2019
-
-@author: Dominic
-"""
+###############################################################################
+# Copyright (C) 2018, 2019, 2020 Dominic O'Kane
+###############################################################################
 
 import sys
 
 from FinTestCases import FinTestCases, globalTestCaseMode
 
 from financepy.finutils.FinDate import FinDate
-from financepy.finutils.FinDayCount import FinDayCountTypes
-from financepy.finutils.FinFrequency import FinFrequencyTypes
-from financepy.finutils.FinCalendar import FinCalendarTypes
-from financepy.products.bonds.FinBondMortgage import FinBondMortgage, FinBondMortgageTypes
+from financepy.products.bonds.FinBondMortgage import FinBondMortgage
+from financepy.products.bonds.FinBondMortgage import FinBondMortgageTypes
 
 sys.path.append("..//..")
 

diff --git a/tests/TestFinBondOptionBKModel.py b/tests/TestFinBondOptionBKModel.py
@@ -1,4 +1,6 @@
-# -*- coding: utf-8 -*-
+###############################################################################
+# Copyright (C) 2018, 2019, 2020 Dominic O'Kane
+###############################################################################
 
 import numpy as np
 import time

diff --git a/tests/TestFinBondOptionHWModel.py b/tests/TestFinBondOptionHWModel.py
@@ -1,4 +1,6 @@
-# -*- coding: utf-8 -*-
+###############################################################################
+# Copyright (C) 2018, 2019, 2020 Dominic O'Kane
+###############################################################################
 
 import numpy as np
 import time

diff --git a/tests/TestFinBondPortfolio.py b/tests/TestFinBondPortfolio.py
@@ -1,9 +1,6 @@
-# -*- coding: utf-8 -*-
-"""
-Created on Fri Feb 12 16:51:05 2016
-
-@author: Dominic O'Kane
-"""
+###############################################################################
+# Copyright (C) 2018, 2019, 2020 Dominic O'Kane
+###############################################################################
 
 import os
 

diff --git a/tests/TestFinBondYieldCurve.py b/tests/TestFinBondYieldCurve.py
@@ -1,9 +1,6 @@
-# -*- coding: utf-8 -*-
-"""
-Created on Fri Apr 08 09:26:27 2016
-
-@author: Dominic O'Kane
-"""
+###############################################################################
+# Copyright (C) 2018, 2019, 2020 Dominic O'Kane
+###############################################################################
 
 import datetime as dt
 
@@ -18,6 +15,7 @@
 from financepy.products.bonds.FinBond import FinBond
 from financepy.products.bonds.FinBondYieldCurve import FinBondYieldCurve
 from financepy.products.bonds.FinBondYieldCurveModel import *
+
 sys.path.append("..//..")
 
 testCases = FinTestCases(__file__, globalTestCaseMode)

diff --git a/tests/TestFinBondZeroCurve.py b/tests/TestFinBondZeroCurve.py
@@ -1,10 +1,6 @@
-# -*- coding: utf-8 -*-
-"""
-Created on Fri Apr 08 09:26:27 2016
-
-@author: Dominic O'Kane
-"""
-
+###############################################################################
+# Copyright (C) 2018, 2019, 2020 Dominic O'Kane
+###############################################################################
 
 import sys
 import os
@@ -23,8 +19,7 @@
 sys.path.append("..//..")
 sys.path.append("..")
 
-##########################################################################
-##########################################################################
+###############################################################################
 
 
 def test_FinBondZeroCurve():

diff --git a/tests/TestFinCDS.py b/tests/TestFinCDS.py
@@ -1,9 +1,7 @@
-# -*- coding: utf-8 -*-
-"""
-Created on Sun Jan 13 21:52:16 2019
+###############################################################################
+# Copyright (C) 2018, 2019, 2020 Dominic O'Kane
+###############################################################################
 
-@author: Dominic O'Kane
-"""
 import time
 from FinTestCases import FinTestCases, globalTestCaseMode
 

diff --git a/tests/TestFinCDSBasket.py b/tests/TestFinCDSBasket.py
@@ -1,9 +1,6 @@
-# -*- coding: utf-8 -*-
-"""
-Created on Sun Jan 13 21:52:16 2019
-
-@author: Dominic O'Kane
-"""
+###############################################################################
+# Copyright (C) 2018, 2019, 2020 Dominic O'Kane
+###############################################################################
 
 from FinTestCases import FinTestCases, globalTestCaseMode