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Add USD LIBOR rates

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Also shift versions lower to what I'm actually testing on
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Bradlee Speice
2016-08-09 23:25:22 -04:00
parent 6c91c1cb1f
commit 4dd3315d2c
3 changed files with 105 additions and 2 deletions
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test/tasks/test_ice.py Normal file
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from unittest import TestCase
from datetime import datetime
import pytz
from metrik.tasks.ice import USDLibor
# noinspection PyUnresolvedReferences
class TestICE(TestCase):
def test_correct_libor_Aug8_2016(self):
# Validate with:
# https://www.theice.com/marketdata/reports/icebenchmarkadmin/ICELiborHistoricalRates.shtml?excelExport=&criteria.reportDate=8%2F8%2F16&criteria.currencyCode=USD
aug8_libor = USDLibor.retrieve_data(datetime(2016, 8, 8))
assert (aug8_libor[aug8_libor['Tenor'] == 'Overnight']['USD ICE LIBOR'] == .4189).all()
assert (aug8_libor[aug8_libor['Tenor'] == '1 Week']['USD ICE LIBOR'] == .4431).all()
assert (aug8_libor[aug8_libor['Tenor'] == '1 Month']['USD ICE LIBOR'] == .5119).all()
assert (aug8_libor[aug8_libor['Tenor'] == '2 Month']['USD ICE LIBOR'] == .6268).all()
assert (aug8_libor[aug8_libor['Tenor'] == '3 Month']['USD ICE LIBOR'] == .8065).all()
assert (aug8_libor[aug8_libor['Tenor'] == '6 Month']['USD ICE LIBOR'] == 1.1852).all()
assert (aug8_libor[aug8_libor['Tenor'] == '1 Year']['USD ICE LIBOR'] == 1.5081).all()
london_tz = pytz.timezone('Europe/London')
actual = london_tz.localize(datetime(2016, 8, 8, 11, 45, 6))
assert (aug8_libor['Publication Time'] == actual).all()
def test_correct_libor_Aug9_2010(self):
# Validate with:
# https://www.theice.com/marketdata/reports/icebenchmarkadmin/ICELiborHistoricalRates.shtml?excelExport=&criteria.reportDate=8%2F9%2F10&criteria.currencyCode=USD
aug9_libor = USDLibor.retrieve_data(datetime(2010, 8, 9))
assert (aug9_libor[aug9_libor['Tenor'] == 'Overnight']['USD ICE LIBOR'] == .23656).all()
assert (aug9_libor[aug9_libor['Tenor'] == '1 Week']['USD ICE LIBOR'] == .27725).all()
assert (aug9_libor[aug9_libor['Tenor'] == '1 Month']['USD ICE LIBOR'] == .29).all()
assert (aug9_libor[aug9_libor['Tenor'] == '2 Month']['USD ICE LIBOR'] == .3375).all()
assert (aug9_libor[aug9_libor['Tenor'] == '3 Month']['USD ICE LIBOR'] == .40438).all()
assert (aug9_libor[aug9_libor['Tenor'] == '6 Month']['USD ICE LIBOR'] == .6275).all()
assert (aug9_libor[aug9_libor['Tenor'] == '1 Year']['USD ICE LIBOR'] == .995).all()
london_tz = pytz.timezone('Europe/London')
actual = london_tz.localize(datetime(2010, 8, 9, 15, 49, 12))
assert (aug9_libor['Publication Time'] == actual).all()
def test_correct_date_reasoning(self):
# Make sure I document how to handle datetime issues in the future
london_tz = pytz.timezone('Europe/London')
ny_tz = pytz.timezone('America/New_York')
# DON'T YOU DARE SET TZINFO, SHENANIGANS HAPPEN
assert (datetime(2016, 8, 8, 15, 0, 0, tzinfo=london_tz) <
datetime(2016, 8, 8, 15, 0, 0, tzinfo=ny_tz))
assert (datetime(2016, 8, 8, 15, 0, 0, tzinfo=london_tz) >
datetime(2016, 8, 8, 10, 0, 0, tzinfo=ny_tz))
# ALWAYS USE timezone.localize()
assert (london_tz.localize(datetime(2016, 8, 8, 15)) ==
ny_tz.localize(datetime(2016, 8, 8, 10)))