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Bug fix
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Lines changed: 1 addition & 7 deletions

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unit_tests/test_FinBondParametricYieldCurve.py

Lines changed: 1 addition & 7 deletions
Original file line numberDiff line numberDiff line change
@@ -49,8 +49,6 @@ def test_poly():
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coeffs = fitted_curve.curve_fit.coeffs
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print(fitted_curve)
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assert round(coeffs[0]*1e7, 4) == 4.1581
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assert round(coeffs[1], 4) == 0.0641
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assert round(coeffs[2], 4) == 0.2034
@@ -68,8 +66,6 @@ def test_nelson_siegel():
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fitted_curve = BondParametricYieldCurve(
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settle_dt, bonds, ylds, curve_fit_method)
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print(fitted_curve)
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assert round(fitted_curve.curve_fit.beta_1, 3) == -0.094
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assert round(fitted_curve.curve_fit.beta_2, 3) == 0.092
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assert round(fitted_curve.curve_fit.beta_3, 3) == 0.259
@@ -79,14 +75,12 @@ def test_nelson_siegel():
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########################################################################################
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def test_nelson_siegel_svensson():
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def test_svensson():
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curve_fit_method = CurveFitSvensson()
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fitted_curve = BondParametricYieldCurve(
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settle_dt, bonds, ylds, curve_fit_method)
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print(fitted_curve)
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assert round(fitted_curve.curve_fit.beta_1, 4) == -0.6137
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assert round(fitted_curve.curve_fit.beta_2, 4) == +0.6121
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assert round(fitted_curve.curve_fit.beta_3, 4) == 0.6353

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