add tests for BondForward

Author: thrasibule

test/test_bondforward.py

@@ -0,0 +1,63 @@
+import unittest
+from quantlib.settings import Settings
+from quantlib.time.api import ActualActual, Annual, Date, DateGeneration, Period, Schedule, Following, TARGET, Actual365Fixed
+from quantlib.instruments.api import BondForward, FixedRateBond
+from quantlib.termstructures.yield_term_structure import HandleYieldTermStructure
+from quantlib.pricingengines.api import DiscountingBondEngine
+from quantlib.position import Position
+from .utilities import flat_rate
+
+def build_bond(issue, maturity, cpn):
+    sch = Schedule.from_rule(issue, maturity, Period(Annual), TARGET(), Following, Following, DateGeneration.Backward, False)
+    return FixedRateBond(2, 100_000, sch, [cpn], ActualActual(ActualActual.ISDA))
+
+def build_bond_forward(underlying, handle: HandleYieldTermStructure, deliver: Date, pos_type: Position):
+    value_date = handle.current_link.reference_date
+    return BondForward(value_date, deliver, pos_type, 0.0, 2, ActualActual(ActualActual.ISDA),
+                       TARGET(), Following, underlying, handle, handle)
+
+
+class TestBondForward(unittest.TestCase):
+
+    def setUp(self):
+        today = Date(7, 3, 2022)
+        Settings().evaluation_date = today
+        self.curve_handle = HandleYieldTermStructure(flat_rate(0.0004977, Actual365Fixed(), reference_date=today))
+
+    def test_futures_replication(self):
+        """Testing futures prices replication"""
+
+        issue = Date(15, 8, 2015)
+        maturity = Date(15, 8, 2046)
+        cpn = 0.025
+
+        bnd = build_bond(issue, maturity, cpn)
+        pricer = DiscountingBondEngine(self.curve_handle)
+        bnd.set_pricing_engine(pricer)
+
+        delivery = Date(10, 3, 2022)
+        conversion_factor = 0.76871
+        bnd_fwd = build_bond_forward(bnd, self.curve_handle, delivery, Position.Long)
+
+        futures_price = bnd_fwd.clean_forward_price / conversion_factor
+        expected_futures_price = 207.47
+        self.assertAlmostEqual(futures_price, expected_futures_price, 2)
+
+    def test_clean_forward_price_replication(self):
+        """Testing clean forward price replication"""
+
+        issue = Date(15, 8, 2015)
+        maturity = Date(15, 8, 2046)
+        cpn = 0.025
+
+        bnd = build_bond(issue, maturity, cpn)
+        pricer = DiscountingBondEngine(self.curve_handle)
+        bnd.set_pricing_engine(pricer)
+
+        delivery = Date(10, 3, 2022)
+        bnd_fwd = build_bond_forward(bnd, self.curve_handle, delivery, Position.Long)
+
+        fwd_clean_price = bnd_fwd.clean_forward_price
+        expected_fwd_clean_price = bnd_fwd.forward_value - bnd.accrued_amount(delivery)
+
+        self.assertAlmostEqual(fwd_clean_price, expected_fwd_clean_price)