Merge pull request #22 from kmedian/dev

Prepare next release

.github/workflows/syntax-and-unit-tests.yml

@@ -9,7 +9,7 @@ jobs:
 
     strategy:
       matrix:
-        python-version: ['3.6', '3.7', '3.8', '3.x']
+        python-version: ['3.6', '3.7', '3.8', '3.9','3.10']
 
     name: Python ${{ matrix.python-version }} Tests
 

CHANGES.md

@@ -1,3 +1,7 @@
+# 0.4.7 / 2021-11-13
+
+  * Bugfixes for Act AFB and ISDA by @emiliobasualdo
+
 # 0.4.6 / 2020-04-23
 
   * Test multiple python versions

README.md

@@ -34,7 +34,7 @@ Functions
 ### Install a virtual environment
 
 ```
-python3.6 -m venv .venv
+python3.7 -m venv .venv
 source .venv/bin/activate
 pip3 install --upgrade pip
 pip3 install -r requirements.txt

test/test_act_afb.py

@@ -6,7 +6,20 @@ class Test_ActAfb(unittest.TestCase):
 
     def test1(self):
         x = act_afb(2018, 12, 15, 2019, 3, 1)
-        self.assertEquals(round(x, 8), 0.20547945)
+        self.assertEquals(round(x, 15), 0.208219178082192)
+        self.assertEquals(round(x, 8), 0.20821918)
+
+    def test2(self):
+        x = act_afb(2018, 12, 31, 2019, 1, 1)
+        self.assertEquals(round(x, 8), round(1. / 365., 8))
+
+    def test3(self):
+        x = act_afb(1994, 6, 30, 1997, 6, 30)
+        self.assertEquals(round(x, 8), 3.0)
+
+    def test4(self):
+        x = act_afb(1994, 2, 10, 1994, 6, 30)
+        self.assertEquals(round(x, 8), round(140. / 365., 8))
 
 
 # run

test/test_act_isda.py

@@ -6,7 +6,20 @@ class Test_ActIsda(unittest.TestCase):
 
     def test1(self):
         x = act_isda(2018, 12, 15, 2019, 3, 1)
-        self.assertEquals(round(x, 8), 0.20547945)
+        # self.assertEquals(round(x, 15), 0.208219178082192)
+        self.assertEquals(round(x, 8), round(0.208219178082118, 8))
+
+    def test2(self):
+        x = act_isda(2018, 12, 31, 2019, 1, 1)
+        self.assertEquals(round(x, 8), round(1. / 365., 8))
+
+    def test3(self):
+        x = act_isda(1994, 6, 30, 1997, 6, 30)
+        self.assertEquals(round(x, 8), 3.0)
+
+    def test4(self):
+        x = act_isda(1994, 2, 10, 1994, 6, 30)
+        self.assertEquals(round(x, 8), round(140. / 365., 8))
 
 
 # run

test/test_yearfrac.py

@@ -11,13 +11,13 @@ def test1(self):
         d1 = datetime(2018, 12, 15)
         d2 = datetime(2019, 3, 1)
         x = yearfrac(d1, d2, 'act')
-        self.assertEquals(round(x, 8), 0.20547945)
+        self.assertEquals(round(x, 15), 0.208219178082192)
 
     def test2(self):
         d1 = datetime(2018, 12, 15)
         d2 = datetime(2019, 3, 1)
         x = yearfrac(d1, d2, 'act_isda')
-        self.assertEquals(round(x, 8), 0.20547945)
+        self.assertEquals(round(x, 8), round(0.208219178082118, 8))
 
     def test3(self):
         d1 = datetime(2018, 12, 15)
@@ -36,26 +36,26 @@ def test_vector_vector(self):
         v2 = [datetime(2019, 3, 1), datetime(2019, 3, 1)]
         x = yearfrac(v1, v2, 'act')
         self.assertEquals(
-            [round(x[0], 8), round(x[1], 8)],
-            [0.20547945, 0.20547945]
+            [round(x[0], 15), round(x[1], 15)],
+            [0.208219178082192, 0.208219178082192]
         )
 
     def test_vector_scalar(self):
         v = [datetime(2018, 12, 15), datetime(2018, 12, 15)]
         s = datetime(2019, 3, 1)
         x = yearfrac(v, s, 'act')
         self.assertEquals(
-            [round(x[0], 8), round(x[1], 8)],
-            [0.20547945, 0.20547945]
+            [round(x[0], 15), round(x[1], 15)],
+            [0.208219178082192, 0.208219178082192]
         )
 
     def test_scalar_vector(self):
         s = datetime(2018, 12, 15)
         v = [datetime(2019, 3, 1), datetime(2019, 3, 1)]
         x = yearfrac(s, v, 'act')
         self.assertEquals(
-            [round(x[0], 8), round(x[1], 8)],
-            [0.20547945, 0.20547945]
+            [round(x[0], 15), round(x[1], 15)],
+            [0.208219178082192, 0.208219178082192]
         )
 
     def test_nparray_vector(self):
@@ -65,8 +65,8 @@ def test_nparray_vector(self):
         v2 = [datetime(2019, 3, 1), datetime(2019, 3, 1)]
         x = yearfrac(v1, v2, 'act')
         self.assertEquals(
-            [round(x[0], 8), round(x[1], 8)],
-            [0.20547945, 0.20547945]
+            [round(x[0], 15), round(x[1], 15)],
+            [0.208219178082192, 0.208219178082192]
         )
 
 

yearfrac/__init__.py

@@ -1,4 +1,4 @@
-__version__ = '0.4.6'
+__version__ = '0.4.7'
 
 from .isaleapyear import isaleapyear
 from .julianday import date_to_jd, jd_to_date

yearfrac/act_afb.py

@@ -19,7 +19,7 @@ def act_afb(y1: int, m1: int, d1: int,
             return diff_days / denom
 
     elif y1 < y2:
-        diffa = date_to_jd(y1, 12, 31) - date_to_jd(y1, m1, d1)
+        diffa = date_to_jd(y1, 12, 31) - date_to_jd(y1, m1, d1) + 1
         denoma = 366e0 if isaleapyear(y1) and (m1 < 3) else 365e0
 
         diffb = date_to_jd(y2, m2, d2) - date_to_jd(y2, 1, 1)

yearfrac/act_isda.py

@@ -19,7 +19,7 @@ def act_isda(y1: int, m1: int, d1: int,
             return diff_days / denom
 
     elif y1 < y2:
-        diffa = date_to_jd(y1, 12, 31) - date_to_jd(y1, m1, d1)
+        diffa = date_to_jd(y1, 12, 31) - date_to_jd(y1, m1, d1) + 1
         denoma = 366e0 if isaleapyear(y1) else 365e0
 
         diffb = date_to_jd(y2, m2, d2) - date_to_jd(y2, 1, 1)