Bug fixes

tests/test_FinBond.py

@@ -24,16 +24,18 @@ def test_bondtutor_example():
     issue_date = Date(15, 7, 1990)
     maturity_date = Date(15, 7, 1997)
     coupon = 0.085
-    face = ONE_MILLION
+    ex_div_days = 0
+    face = 1000000
+
     freq_type = FrequencyTypes.SEMI_ANNUAL
     bond = Bond(issue_date, maturity_date,
-                coupon, freq_type, accrualConvention, face)
+                coupon, freq_type, accrualConvention, ex_div_days)
 
     dirty_price = bond.dirty_price_from_ytm(settlement_date, y)
     assert round(dirty_price, 4) == 108.7696
     clean_price = bond.clean_price_from_ytm(settlement_date, y)
     assert round(clean_price, 4) == 106.5625
-    accrued_interest = bond._accrued_interest
+    accrued_interest = bond.accrued_interest(settlement_date, face)
     assert round(accrued_interest, 4) == 22071.8232
     ytm = bond.yield_to_maturity(settlement_date, clean_price)
     assert round(ytm, 4) == 0.0622
@@ -72,13 +74,14 @@ def test_bloomberg_us_treasury_example():
     freq_type = FrequencyTypes.SEMI_ANNUAL
     accrual_type = DayCountTypes.ACT_ACT_ICMA
     face = 100.0
+    ex_div_days = 0
 
     bond = Bond(issue_date,
                 maturity_date,
                 coupon,
                 freq_type,
                 accrual_type,
-                face)
+                ex_div_days)
 
     clean_price = 99.7808417
 
@@ -103,7 +106,7 @@ def test_bloomberg_us_treasury_example():
     clean_price = bond.clean_price_from_ytm(settlement_date, ytm)
     assert round(clean_price, 4) == 99.7825
 
-    accrued_interest = bond._accrued_interest
+    accrued_interest = bond.accrued_interest(settlement_date, face)
     assert round(accrued_interest, 4) == 0.4324
 
     accddays = bond._accrued_days
@@ -130,9 +133,10 @@ def test_bloomberg_apple_corp_example():
     freq_type = FrequencyTypes.SEMI_ANNUAL
     accrual_type = DayCountTypes.THIRTY_E_360_ISDA
     face = 100.0
+    ex_div_days = 0
 
     bond = Bond(issue_date, maturity_date,
-                coupon, freq_type, accrual_type, face)
+                coupon, freq_type, accrual_type, ex_div_days)
 
     clean_price = 101.581564
 
@@ -160,7 +164,7 @@ def test_bloomberg_apple_corp_example():
     accddays = bond._accrued_days
     assert accddays == 68
 
-    accrued_interest = bond._accrued_interest
+    accrued_interest = bond.accrued_interest(settlement_date, face)
     assert round(accrued_interest, 4) == 0.51
 
     duration = bond.dollar_duration(settlement_date, ytm)
@@ -243,6 +247,7 @@ def test_bond_cfets():
     Test ytms of bonds in CFETS convention, especially for those in last coupon period and
     have 2 or more coupon payments per year.
     """
+    face = 100.0 
     test_case_file = 'test_cases_bond_cfets.csv'
     df = pd.read_csv('./tests/data/' + test_case_file,
                      parse_dates=['settlement_date', 'issue_date', 'maturity_date'])
@@ -258,7 +263,7 @@ def test_bond_cfets():
         )
         settlement_date = Date(
             row.settlement_date.day, row.settlement_date.month, row.settlement_date.year)
-        accrued_interest = bond.calc_accrued_interest(settlement_date)
+        accrued_interest = bond.accrued_interest(settlement_date, face)
         clean_price = row.dirty_price - accrued_interest
         calc_ytm = bond.yield_to_maturity(
             settlement_date, clean_price, YTMCalcType.CFETS) * 100
@@ -283,12 +288,13 @@ def test_key_rate_durations_Bloomberg_example():
     maturity_date = Date(31, 7, 2027)
     coupon = 2.75/100.0
     face = 100.0
-
+    ex_div_days = 0
+
     accrual_type, freq_type, settlementDays, exDiv, calendar = get_bond_market_conventions(
     BondMarkets.UNITED_STATES)
 
     bond = Bond(issue_date, maturity_date, coupon,
-                freq_type, accrual_type, face)
+                freq_type, accrual_type, ex_div_days)
 
     settlement_date = Date(24, 4, 2023)
 

tests/test_FinBondAnnuity.py

@@ -31,8 +31,7 @@ def test_SemiAnnual_BondAnnuity():
                           calendar_type,
                           bus_day_adjust_type,
                           date_gen_rule_type,
-                          basis_type,
-                          face)
+                          basis_type)
 
     annuity.calculate_payments(settlement_date)
 
@@ -45,7 +44,7 @@ def test_SemiAnnual_BondAnnuity():
     assert annuity._flow_amounts[0] == 0.0
     assert round(annuity._flow_amounts[-1]) == 25278.0
 
-    assert annuity.calc_accrued_interest(settlement_date) == 0.0
+    assert annuity.accrued_interest(settlement_date, face) == 0.0
 
 
 def test_Quarterly_BondAnnuity():
@@ -69,8 +68,7 @@ def test_Quarterly_BondAnnuity():
         calendar_type,
         bus_day_adjust_type,
         date_gen_rule_type,
-        basis_type,
-        face)
+        basis_type)
 
     annuity.calculate_payments(settlement_date)
 
@@ -83,7 +81,7 @@ def test_Quarterly_BondAnnuity():
     assert annuity._flow_amounts[0] == 0.0
     assert round(annuity._flow_amounts[-1]) == 12778.0
 
-    assert annuity.calc_accrued_interest(settlement_date) == 0.0
+    assert annuity.accrued_interest(settlement_date, face) == 0.0
 
 
 def test_Monthly_BondAnnuity():
@@ -106,10 +104,9 @@ def test_Monthly_BondAnnuity():
                           calendar_type,
                           bus_day_adjust_type,
                           date_gen_rule_type,
-                          basis_type,
-                          face)
+                          basis_type)
 
-    annuity.calculate_payments(settlement_date)
+    annuity.calculate_payments(settlement_date, face)
 
     assert len(annuity._flow_amounts) == 10*12 + 1
     assert len(annuity._coupon_dates) == 10*12 + 1
@@ -120,7 +117,7 @@ def test_Monthly_BondAnnuity():
     assert annuity._flow_amounts[0] == 0.0
     assert round(annuity._flow_amounts[-1]) == 4028.0
 
-    assert annuity.calc_accrued_interest(settlement_date) == 0.0
+    assert annuity.accrued_interest(settlement_date, face) == 0.0
 
 
 def test_ForwardGen_BondAnnuity():
@@ -142,10 +139,9 @@ def test_ForwardGen_BondAnnuity():
                           calendar_type,
                           bus_day_adjust_type,
                           date_gen_rule_type,
-                          basis_type,
-                          face)
+                          basis_type)
 
-    annuity.calculate_payments(settlement_date)
+    annuity.calculate_payments(settlement_date, face)
 
     assert len(annuity._flow_amounts) == 10 * 1 + 1
     assert len(annuity._coupon_dates) == 10 * 1 + 1
@@ -156,7 +152,7 @@ def test_ForwardGen_BondAnnuity():
     assert round(annuity._flow_amounts[0]) == 0.0
     assert round(annuity._flow_amounts[-1]) == 50694.0
 
-    assert annuity.calc_accrued_interest(settlement_date) == 0.0
+    assert annuity.accrued_interest(settlement_date, face) == 0.0
 
 
 def test_ForwardGenWithLongEndStub_BondAnnuity():
@@ -178,10 +174,9 @@ def test_ForwardGenWithLongEndStub_BondAnnuity():
                           calendar_type,
                           bus_day_adjust_type,
                           date_gen_rule_type,
-                          basis_type,
-                          face)
+                          basis_type)
 
-    annuity.calculate_payments(settlement_date)
+    annuity.calculate_payments(settlement_date, face)
 
     assert len(annuity._flow_amounts) == 10 * 2 + 1
     assert len(annuity._coupon_dates) == 10 * 2 + 1
@@ -192,4 +187,4 @@ def test_ForwardGenWithLongEndStub_BondAnnuity():
     assert round(annuity._flow_amounts[0]) == 0.0
     assert round(annuity._flow_amounts[-1]) == 25417.0
 
-    assert annuity.calc_accrued_interest(settlement_date) == 0.0
+    assert annuity.accrued_interest(settlement_date, face) == 0.0

tests/test_FinBondFRN.py

@@ -25,8 +25,7 @@ def test_bond_frn_1():
                    maturity_date,
                    quoted_margin,
                    freq_type,
-                   accrual_type,
-                   face)
+                   accrual_type)
 
     clean_price = 96.793
     resetIbor = 0.0143456 - quoted_margin
@@ -131,8 +130,7 @@ def test_bond_frn_2():
                    maturity_date,
                    quoted_margin,
                    freq_type,
-                   accrual_type,
-                   face)
+                   accrual_type)
 
     clean_price = 93.08
     resetIbor = 0.00537 - quoted_margin

tests/test_FinCDS.py

@@ -404,7 +404,7 @@ def test_par_spread():
 
 def test_value():
     v = cds_contract1.value(valuation_date1, issuer_curve1, cdsRecovery)
-    assert round(v['dirty_pv'], 4) == 168552.827
+    assert round(v['dirty_pv'], 4) == 168514.596
     assert round(v['clean_pv'], 4) == 170677.827
 
     v = cds_contract2.value(valuation_date2, issuer_curve2, cdsRecovery)
@@ -414,7 +414,7 @@ def test_value():
 
 def test_clean_price():
     p = cds_contract1.clean_price(valuation_date1, issuer_curve1, cdsRecovery)
-    assert round(p, 4) == 82.9326
+    assert round(p, 4) == 82.936
 
     p = cds_contract2.clean_price(valuation_date2, issuer_curve2, cdsRecovery)
     assert round(p, 4) == 119.0221
@@ -439,7 +439,7 @@ def test_accrued_interest():
 def test_protection_leg_pv():
     prot_pv = cds_contract1.protection_leg_pv(
         valuation_date1, issuer_curve1, cdsRecovery)
-    assert round(prot_pv, 4) == 273084.8417
+    assert round(prot_pv, 4) == 273023.5197
 
     prot_pv = cds_contract2.protection_leg_pv(
         valuation_date2, issuer_curve2, cdsRecovery)
@@ -449,7 +449,7 @@ def test_protection_leg_pv():
 def test_premium_leg_pv():
     premPV = cds_contract1.premium_leg_pv(
         valuation_date1, issuer_curve1, cdsRecovery)
-    assert round(premPV, 4) == 104532.0147
+    assert round(premPV, 4) == 104508.9236
 
     premPV = cds_contract2.premium_leg_pv(
         valuation_date2, issuer_curve2, cdsRecovery)

tests/test_FinCDSBasket.py

@@ -36,7 +36,7 @@ def test_inhomogeneous_curve():
                                              step_in_date,
                                              basketMaturity,
                                              issuer_curves) * 10000.0
-    assert round(intrinsicSpd, 4) == 32.0981
+    assert round(intrinsicSpd, 4) == 32.0971
 
     totalSpd = cdsIndex.total_spread(valuation_date,
                                      step_in_date,
@@ -79,7 +79,8 @@ def test_gaussian_copula():
                                        issuer_curves,
                                        beta_vector,
                                        libor_curve)
-    assert round(v1[2] * 10000, 4) == 149.9644
+
+    assert round(v1[2] * 10000, 4) == 151.7163
     assert round(v2[3] * 10000, 4) == 159.021
 
     ntd = 2
@@ -101,6 +102,7 @@ def test_gaussian_copula():
                                        issuer_curves,
                                        beta_vector,
                                        libor_curve)
+
     assert round(v1[2] * 10000, 4) == 15.4566
     assert round(v2[3] * 10000, 4) == 16.4308
 
@@ -123,7 +125,7 @@ def test_student_t():
                                   num_trials,
                                   seed)
 
-    assert round(v[2] * 10000, 4) == 132.0799
+    assert round(v[2] * 10000, 4) == 133.6284
 
     ntd = 2
     beta = 0.5

tests/test_FinCDSCurve.py

@@ -57,7 +57,7 @@ def test_FinCDSCurve():
     assert round(issuer_curve._times[9], 4) == 9.0055
     assert round(issuer_curve._values[0], 4) == 1.0
     assert round(issuer_curve._values[5], 4) == 0.9249
-    assert round(issuer_curve._values[9], 4) == 0.8072
+    assert round(issuer_curve._values[9], 4) == 0.8071
 
     i = 1
     maturity_date = curve_date.add_months(12 * i)

tests/test_FinCDSIndex.py

@@ -40,7 +40,7 @@ def test_cds_index():
     assert round(spd, 4) == 48.3748
 
     v = cdsIndexContract.value(valuation_date, issuer_curve, cdsRecovery)
-    assert round(v['dirty_pv'], 4) == 27019.7241
+    assert round(v['dirty_pv'], 4) == 27064.9888
     assert round(v['clean_pv'], 4) == 32575.2797
 
     p = cdsIndexContract.clean_price(valuation_date, issuer_curve, cdsRecovery)

tests/test_FinCDSIndexAdjustHazards.py

@@ -76,7 +76,7 @@ def test_performCDSIndexHazardRateAdjustment():
                                             maturity10Y,
                                             issuer_curves) * 10000.0
 
-    assert round(averageSpd3Y, 4) == 19.8222
+    assert round(averageSpd3Y, 4) == 19.8221
     assert round(averageSpd5Y, 4) == 36.0357
     assert round(averageSpd7Y, 4) == 50.1336
     assert round(averageSpd10Y, 4) == 63.6622

tests/test_FinCDSIndexAdjustSpreads.py

@@ -76,7 +76,7 @@ def test_CDSIndexAdjustSpreads():
                                             maturity10Y,
                                             issuer_curves) * 10000.0
 
-    assert round(averageSpd3Y, 4) == 19.8222
+    assert round(averageSpd3Y, 4) == 19.8221
     assert round(averageSpd5Y, 4) == 36.0357
     assert round(averageSpd7Y, 4) == 50.1336
     assert round(averageSpd10Y, 4) == 63.6622

tests/test_FinCDSIndexPortfolio.py

@@ -74,7 +74,7 @@ def test_CDSIndexPortfolio():
                                             maturity10Y,
                                             issuer_curves) * 10000.0
 
-    assert round(averageSpd3Y, 4) == 19.8222
+    assert round(averageSpd3Y, 4) == 19.8221
     assert round(averageSpd5Y, 4) == 36.0357
     assert round(averageSpd7Y, 4) == 50.1336
     assert round(averageSpd10Y, 4) == 63.6622

tests/test_FinCDSOption.py

@@ -21,7 +21,7 @@ def test_cds_option():
     volatility = 0.3
 
     strike_result = [
-        (100, 3.9975),
+        (100, 4.0007),
         (150, 1.5867),
         (200, 0.0956),
         (300, 0.0)

tests/test_FinCDSTranche.py

@@ -41,6 +41,7 @@
 
 
 def test_homogeneous():
+
     num_credits = 125
     spd3Y = 0.0012
     spd5Y = 0.0025
@@ -61,7 +62,7 @@ def test_homogeneous():
                                              trancheMaturity,
                                              issuer_curves) * 10000.0
 
-    assert round(intrinsicSpd, 4) == 23.9775
+    assert round(intrinsicSpd, 4) == 23.9767
 
     method = FinLossDistributionBuilder.RECURSION
     v = tranche1.value_bc(
@@ -123,7 +124,7 @@ def test_heterogeneous():
                                              trancheMaturity,
                                              issuer_curves) * 10000.0
 
-    assert round(intrinsicSpd, 4) == 34.3337
+    assert round(intrinsicSpd, 4) == 34.3326
 
     method = FinLossDistributionBuilder.RECURSION
     v = tranche1.value_bc(