tests/testthat/test-fixed-bond.R

In fcl: A Financial Calculator

test_that("fixed bond works", {
  bond <- fixed_bond(c("2021-01-01", "2021-02-01"), c("2025-01-01", "2025-02-01"), 100.0, 0.05, 0L)
  expect_equal(bond$len(), 2)
  out <- bond$ytm_dur(c("2022-01-01", "2022-02-01"), 100)
  expect_equal(as.double(out[1, ]), as.double(out[2, ]))

  bond <- fixed_bond(c("2021-01-01", "2021-02-01"), c("2025-01-01", "2030-02-01"), 100.0, c(0.05, 0.03), c(0L, 1L))
  out <- bond$ytm_dur(c("2022-01-01", "2022-02-01"), 100)

  # this for test the dates with integer type
  bond2 <- fixed_bond(structure(c(18628L, 18659L), class = "Date"), structure(c(20089L, 21946L), class = "Date"), 100.0, c(0.05, 0.03), c(0L, 1L))
  out2 <- bond2$ytm_dur(structure(c(18993L, 19024L), class = "Date"), 100)

  expect <- data.frame(
    YTM = c(0.0455272763905981, 0.03),
    MACD = c(3.0, 7.23028295522156),
    MODD = c(2.86936559941372, 7.01969218987131)
  )
  expect_equal(out, expect)
  expect_equal(out2, expect)

  bond <- fixed_bond(c("2026-01-01", "2021-02-01"), c("2025-01-01", "2030-02-01"), c(100.0, 100.0), c(0.05, 0.03), c(0L, 1L))
  out <- bond$cf(c("2026-01-01", "2021-02-01"))
  expect <- data.frame(ID = 2L, DATE = as.Date(sprintf("%s-02-01", 2022:2030)), COUPON = rep(3, 9), REDEM = c(rep(0, 8), 100))
  expect_equal(out, expect)

  out <- fixed_bond("2021-02-01", "2030-02-01", 100.0, 0.03, 1)$cf("2024-01-01")
  expect <- data.frame(ID = 1L, DATE = as.Date(sprintf("%s-02-01", 2024:2030)), COUPON = rep(3, 7), REDEM = c(rep(0, 6), 100))
  expect_equal(out, expect)

  out <- fixed_bond("2021-02-01", "2030-02-01", 100, 0.03, 1)$cf("2031-01-01")
  expect_equal(nrow(out), 0L)

  out <- fixed_bond(c("2021-01-01", "2021-02-01"), c("2025-01-01", "2030-02-01"), c(100.0, NA), c(0.05, 0.03), c(0L, 1L))$ytm_dur(c("2022-01-01", "2022-02-01"), 100)
  na_out <- c(NA_real_, NA_real_, NA_real_)
  expect_equal(as.double(out[2, ]), na_out)

  expect_equal(
    as.double(fixed_bond("2021-01-01", "2020-01-01", 100.0, 0.05, 1L)$ytm_dur("2020-01-01", 100.0)), na_out
  )
  expect_equal(
    as.double(fixed_bond("2018-01-01", "2020-01-01", 100.0, 0.05, 1L)$ytm_dur("2022-01-01", 100.0)), na_out
  )
  expect_equal(
    as.double(fixed_bond("2018-01-01", "2020-01-01", 100.0, 0.05, 3L)$ytm_dur("2019-01-01", 100.0)), na_out
  )
})

test_that("fixed_bond adjusts input to correct length and type", {
  out <- fixed_bond(211110, 20611110, 100, 0.04830, c(2, 2))$ytm_dur(211130, c(109.83, 100))
  expect_equal(round(out[, "YTM"], 4), c(0.0436, 0.0489))
})

test_that("fixed_bond returns the same for leap and non-leap year", {
  out <- fixed_bond(
    value_date = c(200101, 210101),
    mty_date = c(210101, 220101),
    redem_value = 100,
    cpn_rate = 0.05,
    cpn_freq = 1
  )$ytm_dur(
    ref_date = c(200101, 210101),
    clean_price = 100
  )
  expect_equal(out$YTM, c(0.05, 0.05))
  expect_equal(out$MACD, c(1, 1))
  expect_equal(out$MODD, c(1 / 1.05, 1 / 1.05))
})