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domokanedomokane
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Updated test cases
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‎golden_tests/golden/TestFinAmount_GOLDEN.testLog‎

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HEADER,LABEL,AMOUNT,
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RESULTS,Amount,101,000.23,
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RESULTS,Amount,CAD 101,000.23,

‎golden_tests/golden/TestFinBondAnnuity_GOLDEN.testLog‎

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HEADER,Date,Flow,
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RESULTS,20-DEC-2018,25416.66666667,
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RESULTS,20-JUN-2019,25277.77777778,

‎golden_tests/golden/TestFinBondConvertible_GOLDEN.testLog‎

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HEADER,LABEL,
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RESULTS,NO CALLS OR PUTS,
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HEADER,TIME,NUMSTEPS,PRICE,
5-
RESULTS,0.02313352,5,{'cbprice': np.float64(1096.15275), 'bond': np.float64(123.53434451658002), 'delta': np.float64(11.286322001863674), 'gamma': np.float64(0.18706528351045487), 'theta': np.float64(0.4751923691532599)},
6-
RESULTS,0.00025797,10,{'cbprice': np.float64(1124.4702210998516), 'bond': np.float64(123.53434451658003), 'delta': np.float64(37.00542873918339), 'gamma': np.float64(0.45403874809126554), 'theta': np.float64(-6.376909194742964)},
7-
RESULTS,0.00018024,20,{'cbprice': np.float64(1126.2804668920173), 'bond': np.float64(123.53434451658002), 'delta': np.float64(37.09945668257613), 'gamma': np.float64(0.01710928200987063), 'theta': np.float64(598.2514199321721)},
5+
RESULTS,0.01940680,5,{'cbprice': np.float64(1096.15275), 'bond': np.float64(123.53434451658002), 'delta': np.float64(11.286322001863674), 'gamma': np.float64(0.18706528351045487), 'theta': np.float64(0.4751923691532599)},
6+
RESULTS,0.00022078,10,{'cbprice': np.float64(1124.4702210998516), 'bond': np.float64(123.53434451658003), 'delta': np.float64(37.00542873918339), 'gamma': np.float64(0.45403874809126554), 'theta': np.float64(-6.376909194742964)},
7+
RESULTS,0.00016379,20,{'cbprice': np.float64(1126.2804668920173), 'bond': np.float64(123.53434451658002), 'delta': np.float64(37.09945668257613), 'gamma': np.float64(0.01710928200987063), 'theta': np.float64(598.2514199321721)},
88
HEADER,LABEL,
99
RESULTS,DIVIDENDS,
1010
HEADER,TIME,NUMSTEPS,PRICE,
11-
RESULTS,0.00016952,5,{'cbprice': np.float64(1096.15275), 'bond': np.float64(123.53434451658002), 'delta': np.float64(12.05500279382374), 'gamma': np.float64(0.18929016293487083), 'theta': np.float64(0.4751923691532599)},
12-
RESULTS,0.00016904,20,{'cbprice': np.float64(1108.7106639229305), 'bond': np.float64(123.53434451658002), 'delta': np.float64(38.320647641227595), 'gamma': np.float64(0.0024096763057534086), 'theta': np.float64(607.6855912311041)},
13-
RESULTS,0.00046778,80,{'cbprice': np.float64(1114.4722328942562), 'bond': np.float64(123.53434451658), 'delta': np.float64(38.25740289779197), 'gamma': np.float64(0.04361203905053885), 'theta': np.float64(1007.4601931923423)},
11+
RESULTS,0.00026345,5,{'cbprice': np.float64(1096.15275), 'bond': np.float64(123.53434451658002), 'delta': np.float64(12.05500279382374), 'gamma': np.float64(0.18929016293487083), 'theta': np.float64(0.4751923691532599)},
12+
RESULTS,0.00020576,20,{'cbprice': np.float64(1108.7106639229305), 'bond': np.float64(123.53434451658002), 'delta': np.float64(38.320647641227595), 'gamma': np.float64(0.0024096763057534086), 'theta': np.float64(607.6855912311041)},
13+
RESULTS,0.00019479,80,{'cbprice': np.float64(1114.4722328942562), 'bond': np.float64(123.53434451658), 'delta': np.float64(38.25740289779197), 'gamma': np.float64(0.04361203905053885), 'theta': np.float64(1007.4601931923423)},

‎golden_tests/golden/TestFinBondEmbeddedOptionBK_GOLDEN.testLog‎

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HEADER,BOND PRICE,PRICE,
33
RESULTS,Bond Pure Price:,102.07456540,
44
HEADER,TIME,Numtime_steps,BondWithOption,BondPure,
5-
RESULTS,1.53954506,100,102.35076939,102.06026369,
6-
RESULTS,0.00283217,150,102.33894782,102.06026367,
5+
RESULTS,1.41935420,100,102.35076939,102.06026369,
6+
RESULTS,0.00287271,150,102.33894782,102.06026367,
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HEADER,BOND PRICE,PRICE,
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RESULTS,Bond Pure Price:,95.07291923,
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HEADER,TIME,Numtime_steps,BondWithOption,BondPure,
10-
RESULTS,0.00404763,100,89.75464880,95.06144060,
11-
RESULTS,0.00895190,150,89.77380346,95.06144107,
10+
RESULTS,0.00381565,100,89.75464880,95.06144060,
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RESULTS,0.00832915,150,89.77380346,95.06144107,

‎golden_tests/golden/TestFinBondEmbeddedOptionHW_GOLDEN.testLog‎

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HEADER,BOND PRICE,PRICE,
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RESULTS,Bond Pure Price:,102.07456540,
44
HEADER,TIME,Numtime_steps,BondWithOption,BondPure,
5-
RESULTS,0.03104782,50,102.88071963,102.06026370,
6-
RESULTS,0.00091863,100,102.87330242,102.06026370,
7-
RESULTS,0.00146985,150,102.87030874,102.06026370,
8-
RESULTS,0.00226402,200,102.87313897,102.06026370,
9-
RESULTS,0.00328374,250,102.87147557,102.06026370,
10-
RESULTS,0.00455880,300,102.87041560,102.06026370,
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RESULTS,0.00815201,350,102.87203084,102.06026370,
12-
RESULTS,0.00946617,400,102.87123240,102.06026370,
13-
RESULTS,0.01353478,450,102.87049956,102.06026370,
14-
RESULTS,0.01484108,500,102.87172729,102.06026370,
15-
RESULTS,0.01767898,550,102.86961951,102.06026370,
16-
RESULTS,0.02073264,600,102.87068081,102.06026370,
17-
RESULTS,0.02274442,650,102.87021161,102.06026370,
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RESULTS,0.02582288,700,102.86985270,102.06026370,
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RESULTS,0.03333783,750,102.87073418,102.06026370,
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RESULTS,0.03445148,800,102.87034342,102.06026370,
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RESULTS,0.03891850,850,102.87007002,102.06026370,
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RESULTS,0.04353404,900,102.87071840,102.06026370,
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RESULTS,0.04808688,950,102.87037997,102.06026370,
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RESULTS,0.03432417,50,102.88071963,102.06026370,
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RESULTS,0.00080800,100,102.87330242,102.06026370,
7+
RESULTS,0.00145960,150,102.87030874,102.06026370,
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RESULTS,0.00357938,200,102.87313897,102.06026370,
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RESULTS,0.00388551,250,102.87147557,102.06026370,
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RESULTS,0.00469279,300,102.87041560,102.06026370,
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RESULTS,0.00696516,350,102.87203084,102.06026370,
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RESULTS,0.01035285,400,102.87123240,102.06026370,
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RESULTS,0.01089215,450,102.87049956,102.06026370,
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RESULTS,0.01309466,500,102.87172729,102.06026370,
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RESULTS,0.01578712,550,102.86961951,102.06026370,
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RESULTS,0.01881504,600,102.87068081,102.06026370,
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RESULTS,0.02205372,650,102.87021161,102.06026370,
18+
RESULTS,0.02454996,700,102.86985270,102.06026370,
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RESULTS,0.02845573,750,102.87073418,102.06026370,
20+
RESULTS,0.03251052,800,102.87034342,102.06026370,
21+
RESULTS,0.03976631,850,102.87007002,102.06026370,
22+
RESULTS,0.04124117,900,102.87071840,102.06026370,
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RESULTS,0.04586911,950,102.87037997,102.06026370,
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HEADER,BOND PRICE,PRICE,
2525
RESULTS,Bond Pure Price:,94.63134315,
2626
HEADER,TIME,Numtime_steps,BondWithOption,BondPure,
27-
RESULTS,0.02187037,100,68.86117255,95.06144129,
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RESULTS,0.00159264,150,68.92051307,95.06144129,
27+
RESULTS,0.01909781,100,68.86117255,95.06144129,
28+
RESULTS,0.00170231,150,68.92051307,95.06144129,

‎golden_tests/golden/TestFinBondFRN_GOLDEN.testLog‎

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BANNER,BLOOMBERG CITIGROUP FRN EXAMPLE
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HEADER,FIELD,VALUE,
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RESULTS,Discount Margin (bp) = ,103.19847467,

‎golden_tests/golden/TestFinBondFutures_GOLDEN.testLog‎

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BANNER,TABLE 3 EXAMPLE FROM CME
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BANNER,========================
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HEADER,BOND MATURITY,COUPON,PRICE,

‎golden_tests/golden/TestFinBondMortgage_GOLDEN.testLog‎

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HEADER,PAYMENT DATE,INTEREST,PRINCIPAL,OUTSTANDING,TOTAL,
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RESULTS,23-FEB-2018,0,0,130000,0,
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RESULTS,23-MAR-2018,379.16666667,906.34961034,129093.65038966,1285.51627700,

‎golden_tests/golden/TestFinBondOptionBDTModel_GOLDEN.testLog‎

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HEADER,STRIKE,STEPS,CALL_INT,CALL_INT_PV,CALL_EUR,CALL_AMER,PUT_INT,PUT_INT_PV,PUT_EUR,PUT_AMER,
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RESULTS,90,100,14.86874382,12.75116781,12.74365331,14.84895369,0,0.00000000,0.00000000,0.00000000,
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RESULTS,90,300,14.86874382,12.75116781,12.74421712,14.85365792,0,0.00000000,0.00000000,0.00000000,
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RESULTS,90,900,14.86874382,12.75116781,12.73614003,14.85522604,0,0.00000000,0.00000000,0.00000000,
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RESULTS,100,100,4.86874382,3.45626019,3.44844309,4.84895369,0,0.00000000,0.00000000,0.00000000,
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RESULTS,100,300,4.86874382,3.45626019,3.44859566,4.85365792,0,0.00000000,0.00000000,0.00000000,
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RESULTS,100,500,4.86874382,3.45626019,3.44862617,4.85459879,0,0.00000000,0.00000000,0.00000000,
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RESULTS,100,700,4.86874382,3.45626019,3.44174408,4.85500202,0,0.00000000,0.00000000,0.00000000,
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RESULTS,100,900,4.86874382,3.45626019,3.44328177,4.85522604,0,0.00000000,0.00000000,0.00000000,
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RESULTS,110,100,0,0.00000000,0.00000000,0.00000000,5.13125618,5.83864743,5.84676713,5.84676713,
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RESULTS,110,300,0,0.00000000,0.00000000,0.00000000,5.13125618,5.83864743,5.84702580,5.84702580,
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RESULTS,110,500,0,0.00000000,0.00000000,0.00000000,5.13125618,5.83864743,5.84707754,5.84707754,
16+
RESULTS,110,700,0,0.00000000,0.00000000,0.00000000,5.13125618,5.83864743,5.85026613,5.85026613,
17+
RESULTS,110,900,0,0.00000000,0.00000000,0.00000000,5.13125618,5.83864743,5.84957650,5.84957650,
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RESULTS,120,100,0,0.00000000,0.00000000,0.00000000,15.13125618,15.13355505,15.14197735,15.15475821,
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RESULTS,120,300,0,0.00000000,0.00000000,0.00000000,15.13125618,15.13355505,15.14264727,15.15271920,
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RESULTS,120,500,0,0.00000000,0.00000000,0.00000000,15.13125618,15.13355505,15.14278125,15.15285106,
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RESULTS,120,700,0,0.00000000,0.00000000,0.00000000,15.13125618,15.13355505,15.14227633,15.15290971,
22+
RESULTS,120,900,0,0.00000000,0.00000000,0.00000000,15.13125618,15.13355505,15.14243477,15.15294266,
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HEADER,LABEL,VALUE,
24+
RESULTS,Fixed Income Price:,99.52291116,
25+
HEADER,OPTION TYPE AND MODEL,STRIKE,VALUE,
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RESULTS,EUROPEAN CALL - BK,80,18.20473371,
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RESULTS,EUROPEAN CALL - BK,100,2.91478948,
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RESULTS,EUROPEAN CALL - BK,120,0.00078706,
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RESULTS,EUROPEAN CALL - BK,80,18.20473371,
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RESULTS,EUROPEAN CALL - BK,100,2.91478948,
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RESULTS,EUROPEAN CALL - BK,120,0.00078706,
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HEADER,LABEL,VALUE,
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RESULTS,Fixed Income Price:,99.52291116,
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HEADER,OPTION TYPE AND MODEL,STRIKE,VALUE,
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RESULTS,AMERICAN CALL - BK,80,19.49054433,
36+
RESULTS,AMERICAN CALL - BK,100,3.09305159,
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RESULTS,AMERICAN CALL - BK,120,0.00081474,
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RESULTS,AMERICAN CALL - BK,80,19.49054433,
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RESULTS,AMERICAN CALL - BK,100,3.09305159,
40+
RESULTS,AMERICAN CALL - BK,120,0.00081474,
41+
RESULTS,EUROPEAN PUT - BK,80,0.00000000,
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RESULTS,EUROPEAN PUT - BK,100,0.43383092,
43+
RESULTS,EUROPEAN PUT - BK,120,18.95271141,
44+
RESULTS,EUROPEAN PUT - BK,80,0.05643688,
45+
RESULTS,EUROPEAN PUT - BK,100,3.31848219,
46+
RESULTS,EUROPEAN PUT - BK,120,18.95646931,
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RESULTS,AMERICAN PUT - BK,80,0.00000000,
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RESULTS,AMERICAN PUT - BK,100,0.61447525,
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RESULTS,AMERICAN PUT - BK,120,20.50576276,
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RESULTS,AMERICAN PUT - BK,80,0.05869856,
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RESULTS,AMERICAN PUT - BK,100,3.55612169,
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RESULTS,AMERICAN PUT - BK,120,20.50945567,
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HEADER,LABEL,VALUE,
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RESULTS,BOND PRICE,100.60282385,
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HEADER,TIME,N,EUR_CALL,AMER_CALL,EUR_PUT,AMER_PUT,
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HEADER,LABEL,VALUE,
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RESULTS,OPTION,1.50020430,

‎golden_tests/golden/TestFinBondOptionBKModel_GOLDEN.testLog‎

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HEADER,STRIKE,STEPS,CALL_INT,CALL_INT_PV,CALL_EUR,CALL_AMER,PUT_INT,PUT_INT_PV,PUT_EUR,PUT_AMER,
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RESULTS,90.00000000,100,15.07460137,11.93230277,11.96118494,15.04981972,0,0.00000000,0.00000000,0.00000000,
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RESULTS,100.00000000,100,5.07460137,2.97167184,2.98861614,5.04981972,0,0.00000000,0.00000000,0.00000000,
@@ -50,10 +50,10 @@ RESULTS,AMERICAN PUT - BK,100.00000000,2.88391292,
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RESULTS,AMERICAN PUT - BK,110.00000000,10.55503889,
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RESULTS,AMERICAN PUT - BK,120.00000000,20.49381613,
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HEADER,TIME,N,PUT_AMER,PUT_EUR,CALL_AME,CALL_EUR,
53-
RESULTS,0.00041747,20,1.25796965,1.05292301,1.30774166,1.30601934,
54-
RESULTS,0.00062513,40,1.50387963,1.35089541,1.16639725,1.07347055,
55-
RESULTS,0.00135899,60,1.46162827,1.34375641,1.17707027,1.06557779,
56-
RESULTS,0.00160742,80,1.51694361,1.36276817,1.19630399,1.08534356,
53+
RESULTS,0.00046110,20,1.25796965,1.05292301,1.30774166,1.30601934,
54+
RESULTS,0.00066161,40,1.50387963,1.35089541,1.16639725,1.07347055,
55+
RESULTS,0.00103450,60,1.46162827,1.34375641,1.17707027,1.06557779,
56+
RESULTS,0.00136209,80,1.51694361,1.36276817,1.19630399,1.08534356,
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HEADER,LABEL,VALUE,
5858
RESULTS,BOND PRICE,100.60282385,
5959
HEADER,TIME,N,EUR_CALL,AMER_CALL,EUR_PUT,AMER_PUT,

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