Nothing
context("Test implied_RR")
## test case for implied recovery rate using a data frame containing ids, spreads and pds of
## seven different CDSs
library(creditr)
test_that("test for implied recovery rate", {
ids <- c("CaesarsEntCorp", "ElectroluxAB", "Chorus", "NorskeSkogindustrier",
"TokyoElectricPower", "ToysRUs", "Xerox")
pd <- c(0.99998, 0.0827, 0.1915, 0.9128, 0.1830, 0.7813, 0.0880)
spread <- c(12354.53, 99, 243.28, 2785.8889, 250.00, 1737.7289, 105.8)
date <- c(as.Date("2014-04-15"), as.Date("2014-04-22"), as.Date("2014-04-15"),
as.Date("2014-04-15"), as.Date("2014-04-15"), as.Date("2014-04-15"),
as.Date("2014-04-22"))
endDate <- c(as.Date("2019-06-20"), as.Date("2019-06-20"), as.Date("2019-06-20"),
as.Date("2019-06-20"), as.Date("2019-06-20"), as.Date("2019-06-20"),
as.Date("2019-06-20"))
df <- data.frame(ids, pd, spread, date, endDate)
# 3 is the column number for spread and 2 is the column number for pd, 1 for id
result <- implied_RR(x = df,
date.var = "date",
spread.var = "spread",
pd.var = "pd",
maturity.var = "endDate")
truth <- c(40, 40, 40, 40, 35, 40, 40)
## the implied recovery rate is marginally different (less than 0.02%) from the recovery rates
## provided by bloomberg, so we round off the results
expect_equal(round(result), truth)
})
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