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https://github.com/bspeice/metrik
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66 lines
2.8 KiB
Python
66 lines
2.8 KiB
Python
from unittest import TestCase
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from datetime import datetime
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import pytz
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import logging
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from metrik.tasks.ice import LiborRateTask
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# noinspection PyUnresolvedReferences
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class TestICE(TestCase):
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def test_correct_libor_Aug8_2016(self):
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# Validate with:
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# https://www.theice.com/marketdata/reports/icebenchmarkadmin/ICELiborHistoricalRates.shtml?excelExport=&criteria.reportDate=8%2F8%2F16&criteria.currencyCode=USD
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aug8_libor = LiborRateTask.retrieve_historical_libor(
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datetime(2016, 8, 8), 'USD')
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assert aug8_libor['overnight'] == .4189
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assert aug8_libor['one_week'] == .4431
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assert aug8_libor['one_month'] == .5119
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assert aug8_libor['two_month'] == .6268
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assert aug8_libor['three_month'] == .8065
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assert aug8_libor['six_month'] == 1.1852
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assert aug8_libor['one_year'] == 1.5081
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london_tz = pytz.timezone('Europe/London')
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actual = london_tz.localize(datetime(2016, 8, 8, 11, 45, 6))
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logging.info('Publication date in London time: {}'.format(
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aug8_libor['publication'].astimezone(london_tz)))
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assert aug8_libor['publication'] == actual
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def test_correct_libor_Aug9_2010(self):
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# Validate with:
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# https://www.theice.com/marketdata/reports/icebenchmarkadmin/ICELiborHistoricalRates.shtml?excelExport=&criteria.reportDate=8%2F9%2F10&criteria.currencyCode=USD
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aug9_libor = LiborRateTask.retrieve_historical_libor(
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datetime(2010, 8, 9), 'USD')
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assert aug9_libor['overnight'] == .23656
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assert aug9_libor['one_week'] == .27725
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assert aug9_libor['one_month'] == .29
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assert aug9_libor['two_month'] == .3375
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assert aug9_libor['three_month'] == .40438
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assert aug9_libor['six_month'] == .6275
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assert aug9_libor['one_year'] == .995
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london_tz = pytz.timezone('Europe/London')
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actual = london_tz.localize(datetime(2010, 8, 9, 15, 49, 12))
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logging.info('Publication date in London time: {}'.format(
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aug9_libor['publication'].astimezone(london_tz)))
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assert aug9_libor['publication'] == actual
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def test_correct_date_reasoning(self):
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# Make sure I document how to handle datetime issues in the future
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london_tz = pytz.timezone('Europe/London')
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ny_tz = pytz.timezone('America/New_York')
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# DON'T YOU DARE SET TZINFO, SHENANIGANS HAPPEN
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assert (datetime(2016, 8, 8, 15, 0, 0, tzinfo=london_tz) <
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datetime(2016, 8, 8, 15, 0, 0, tzinfo=ny_tz))
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assert (datetime(2016, 8, 8, 15, 0, 0, tzinfo=london_tz) >
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datetime(2016, 8, 8, 10, 0, 0, tzinfo=ny_tz))
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# ALWAYS USE timezone.localize()
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assert (london_tz.localize(datetime(2016, 8, 8, 15)) ==
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ny_tz.localize(datetime(2016, 8, 8, 10)))
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