Add IborSingleCurve time day count regression test#242
Open
gyx09212214-prog wants to merge 1 commit into
Open
Conversation
This file contains hidden or bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
Sign up for free
to join this conversation on GitHub.
Already have an account?
Sign in to comment
1 participant
Add this suggestion to a batch that can be applied as a single commit.This suggestion is invalid because no changes were made to the code.Suggestions cannot be applied while the pull request is closed.Suggestions cannot be applied while viewing a subset of changes.Only one suggestion per line can be applied in a batch.Add this suggestion to a batch that can be applied as a single commit.Applying suggestions on deleted lines is not supported.You must change the existing code in this line in order to create a valid suggestion.Outdated suggestions cannot be applied.This suggestion has been applied or marked resolved.Suggestions cannot be applied from pending reviews.Suggestions cannot be applied on multi-line comments.Suggestions cannot be applied while the pull request is queued to merge.Suggestion cannot be applied right now. Please check back later.
Summary
IborSingleCurve.df()date-to-time conversionIborSingleCurveconfigured withtime_dc_type=ACT_360uses that day count when inheritedDiscountCurve.df()is called with datesACT_365Ftime conversion to catch accidental fallback to a different curve time basisWhy
Issue #191 raised concern that inherited discount-curve date conversion could silently use a different day-count basis from the Ibor curve. The current implementation uses
self.time_dc_type; this test locks that behavior down without changing pricing logic.Validation
python -m pytest unit_tests/legacy/test_FinIborSingleCurve.py::test_df_uses_ibor_single_curve_time_day_count -qpython -m pytest unit_tests/legacy/test_FinIborSingleCurve.py -qBoth pytest commands passed in this Windows environment. Pytest also printed a post-run
pyarrowaccess-violation stack trace while still exiting with status 0; the test assertions completed successfully.