Skip to content

Commit 49090dd

Browse files
mgronckimgroncki
committed
QPR-11822 fix swig quantext test suite
1 parent 824c95a commit 49090dd

4 files changed

Lines changed: 18 additions & 18 deletions

File tree

‎QuantExt-SWIG/Python/test/cashflow.py‎

Lines changed: 2 additions & 2 deletions
Original file line numberDiff line numberDiff line change
@@ -17,7 +17,7 @@ def setUp(self):
1717
self.fixingDays=0
1818
self.sourceCurrency=USDCurrency()
1919
self.targetCurrency=JPYCurrency()
20-
self.fixingCalendar=UnitedStates()
20+
self.fixingCalendar=UnitedStates(UnitedStates.NYSE)
2121
self.todayDate=Date(5, January, 2016)
2222
self.tsDayCounter=Actual360()
2323
self.flatForwardUSD=FlatForward(self.todayDate, 0.005, self.tsDayCounter)
@@ -57,7 +57,7 @@ def setUp(self):
5757
self.fixingDays=2
5858
self.sourceCurrency=USDCurrency()
5959
self.targetCurrency=EURCurrency()
60-
self.fixingCalendar=UnitedStates()
60+
self.fixingCalendar=UnitedStates(UnitedStates.NYSE)
6161
self.todayDate=Date(11, November, 2018)
6262
self.tsDayCounter=Actual360()
6363
self.flatForwardUSD=FlatForward(self.todayDate, 0.005, self.tsDayCounter)

‎QuantExt-SWIG/Python/test/instruments.py‎

Lines changed: 3 additions & 3 deletions
Original file line numberDiff line numberDiff line change
@@ -249,7 +249,7 @@ def setUp(self):
249249
self.settlement_date = Date(6, October, 2018)
250250
self.swap_tenor = Period(10, Years)
251251
self.pay_tenor = Period(3, Months)
252-
self.calendar = UnitedStates()
252+
self.calendar = UnitedStates(UnitedStates.NYSE)
253253
self.pay_currency = USDCurrency()
254254
self.rec_currency = EURCurrency()
255255
self.maturity_date = self.calendar.advance(self.settlement_date, self.swap_tenor)
@@ -321,7 +321,7 @@ def setUp(self):
321321
self.settlement_date = Date(6, October, 2018)
322322
self.swap_tenor = Period(10, Years)
323323
self.pay_tenor = Period(3, Months)
324-
self.calendar = UnitedStates()
324+
self.calendar = UnitedStates(UnitedStates.NYSE)
325325
self.maturity_date = self.calendar.advance(self.settlement_date, self.swap_tenor)
326326
self.type = OvernightIndexedBasisSwap.Payer
327327
self.bdc = ModifiedFollowing
@@ -381,7 +381,7 @@ def setUp(self):
381381
self.settlement_date = Date(6, October, 2018)
382382
self.swap_tenor = Period(10, Years)
383383
self.pay_tenor = Period(6, Months)
384-
self.calendar = UnitedStates()
384+
self.calendar = UnitedStates(UnitedStates.NYSE)
385385
self.maturity_date = self.calendar.advance(self.settlement_date, self.swap_tenor)
386386
self.type = AverageOIS.Payer
387387
self.bdc = ModifiedFollowing

‎QuantExt-SWIG/Python/test/ratehelpers.py‎

Lines changed: 5 additions & 5 deletions
Original file line numberDiff line numberDiff line change
@@ -23,7 +23,7 @@ def setUp(self):
2323
self.swapTenor = Period(10,Years)
2424
self.fixedTenor = Period(3,Months)
2525
self.fixedDayCounter=Actual360()
26-
self.fixedCalendar=UnitedStates()
26+
self.fixedCalendar=UnitedStates(UnitedStates.NYSE)
2727
self.fixedConvention=Following
2828
self.fixedPaymentAdjustment=Following
2929
self.overnightIndex=Eonia()
@@ -48,7 +48,7 @@ def setUp(self):
4848
self.spreadQuote=QuoteHandle(SimpleQuote(0.05))
4949
self.spotFX=QuoteHandle(SimpleQuote(1.0))
5050
self.settlementDays=2
51-
self.settlementCalendar=UnitedStates()
51+
self.settlementCalendar=UnitedStates(UnitedStates.NYSE)
5252
self.swapTenor=Period(3,Months)
5353
self.rollConvention=Following
5454
self.forecast_curve = RelinkableYieldTermStructureHandle()
@@ -104,7 +104,7 @@ def setUp(self):
104104
self.spread=QuoteHandle(SimpleQuote(0.02))
105105
self.swapTenor=Period(6,Months)
106106
self.fixedTenor=Period(6,Months)
107-
self.fixedCalendar=UnitedStates()
107+
self.fixedCalendar=UnitedStates(UnitedStates.NYSE)
108108
self.fixedDayCount=Actual360()
109109
self.fixedConvention=Following
110110
self.floatPayTenor=Period(6,Months)
@@ -147,7 +147,7 @@ def setUp(self):
147147
Settings.instance().setEvaluationDate(self.todays_date)
148148
self.spread=QuoteHandle(SimpleQuote(0.02))
149149
self.swapTenor=Period(6,Months)
150-
self.calendar=UnitedStates()
150+
self.calendar=UnitedStates(UnitedStates.NYSE)
151151
self.longFixedFrequency=Annual
152152
self.longFixedConvention=Following
153153
self.longFixedDayCount=Actual360()
@@ -215,7 +215,7 @@ def setUp(self):
215215
self.rate=QuoteHandle(SimpleQuote(0.02))
216216
self.spotFx=QuoteHandle(SimpleQuote(1.0))
217217
self.settlementDays=2
218-
self.paymentCalendar=UnitedStates()
218+
self.paymentCalendar=UnitedStates(UnitedStates.NYSE)
219219
self.paymentConvention=Following
220220
self.tenor=Period(6,Months)
221221
self.fixedCurrency=USDCurrency()

‎QuantExt-SWIG/Python/test/termstructures.py‎

Lines changed: 8 additions & 8 deletions
Original file line numberDiff line numberDiff line change
@@ -41,7 +41,7 @@ def setUp(self):
4141
self.flat_forward2=FlatForward(self.todays_date, 0.04, self.dc)
4242
self.yield1=RelinkableYieldTermStructureHandle(self.flat_forward)
4343
self.yield2=RelinkableYieldTermStructureHandle(self.flat_forward2)
44-
self.surface=BlackConstantVol(self.todays_date, UnitedStates(), 0.05, Actual360())
44+
self.surface=BlackConstantVol(self.todays_date, UnitedStates(UnitedStates.NYSE), 0.05, Actual360())
4545
self.blackvolatilitywithatm=BlackVolatilityWithATM(self.surface,self.spot,self.yield1,self.yield2)
4646

4747

@@ -53,7 +53,7 @@ def testSimpleInspectors(self):
5353
class BlackVarianceSurfaceMoneynessSpotTest(unittest.TestCase):
5454
def setUp(self):
5555
""" Test consistency of Black Variance Surface Moneyness Spot"""
56-
self.cal=UnitedStates()
56+
self.cal=UnitedStates(UnitedStates.NYSE)
5757
self.spot=QuoteHandle(SimpleQuote(1.0))
5858
self.times=(1,2,3)
5959
self.moneyness=(1.0,1.1,1.2)
@@ -77,7 +77,7 @@ def setUp(self):
7777
self.flat_forward2=FlatForward(self.todays_date, 0.04, self.dc)
7878
self.forTS=RelinkableYieldTermStructureHandle(self.flat_forward)
7979
self.domTS=RelinkableYieldTermStructureHandle(self.flat_forward2)
80-
self.cal=UnitedStates()
80+
self.cal=UnitedStates(UnitedStates.NYSE)
8181
self.spot=QuoteHandle(SimpleQuote(1.0))
8282
self.times=(1,2,3)
8383
self.moneyness=(1.0,1.1,1.2)
@@ -99,7 +99,7 @@ def setUp(self):
9999
self.termStructure = RelinkableYieldTermStructureHandle()
100100
self.dayCounter=Actual360()
101101
self.termStructure.linkTo(FlatForward(self.today,QuoteHandle(SimpleQuote(0.05)), self.dayCounter))
102-
self.atmVolStructure=SwaptionVolatilityStructureHandle(ConstantSwaptionVolatility(self.today, UnitedStates(),Following,0.2, self.dayCounter))
102+
self.atmVolStructure=SwaptionVolatilityStructureHandle(ConstantSwaptionVolatility(self.today, UnitedStates(UnitedStates.NYSE),Following,0.2, self.dayCounter))
103103
self.optionTenors=(Period(3,Months),Period(6,Months))
104104
self.swapTenors=(Period(9,Months),Period(12,Months))
105105
self.strikeSpreads=(0.0,0.05,0.10)
@@ -133,7 +133,7 @@ def setUp(self):
133133
self.termStructure = RelinkableYieldTermStructureHandle()
134134
self.dayCounter=Actual360()
135135
self.termStructure.linkTo(FlatForward(self.today,QuoteHandle(SimpleQuote(0.05)), self.dayCounter))
136-
self.atmVolStructure=SwaptionVolatilityStructureHandle(ConstantSwaptionVolatility(self.today, UnitedStates(),Following,0.2, self.dayCounter))
136+
self.atmVolStructure=SwaptionVolatilityStructureHandle(ConstantSwaptionVolatility(self.today, UnitedStates(UnitedStates.NYSE),Following,0.2, self.dayCounter))
137137
self.optionTenors=(Period(3,Months),Period(6,Months))
138138
self.swapTenors=(Period(9,Months),Period(12,Months))
139139
self.strikeSpreads=(0.00,0.10)
@@ -156,8 +156,8 @@ def setUp(self):
156156
""" Test consistency of Swaption Volatility Constant Spread"""
157157
self.today=Date(1,October,2018)
158158
self.dayCounter=Actual360()
159-
self.atmVolStructure=SwaptionVolatilityStructureHandle(ConstantSwaptionVolatility(self.today, UnitedStates(),Following,0.2, self.dayCounter))
160-
self.atmVolStructure2=SwaptionVolatilityStructureHandle(ConstantSwaptionVolatility(self.today, UnitedStates(),Following,0.2, self.dayCounter))
159+
self.atmVolStructure=SwaptionVolatilityStructureHandle(ConstantSwaptionVolatility(self.today, UnitedStates(UnitedStates.NYSE),Following,0.2, self.dayCounter))
160+
self.atmVolStructure2=SwaptionVolatilityStructureHandle(ConstantSwaptionVolatility(self.today, UnitedStates(UnitedStates.NYSE),Following,0.2, self.dayCounter))
161161
self.swaptionVolatilityConstantSpread=SwaptionVolatilityConstantSpread(self.atmVolStructure,self.atmVolStructure2)
162162

163163
def testSimpleInspectors(self):
@@ -174,7 +174,7 @@ def setUp(self):
174174
self.rr25d=(0.0,0.10,0.20)
175175
self.bf25d=(0.0,0.10,0.20)
176176
self.dc=Actual360()
177-
self.cal=UnitedStates()
177+
self.cal=UnitedStates(UnitedStates.NYSE)
178178
self.fx=QuoteHandle(SimpleQuote(1.00))
179179
self.dom = RelinkableYieldTermStructureHandle()
180180
self.dom.linkTo(FlatForward(self.refDate,QuoteHandle(SimpleQuote(0.05)),self.dc))

0 commit comments

Comments
 (0)