tests/testthat/test.rec.risk.01.R

In Yuanchu/creditr: Credit Default Swap

context("Test rec.risk.01")

test_that("test for rec.risk.01", {
  ## comparing rec.risk.01 calculated by our package for Xerox Corp and Electrolux
  ## AB on April 22, 2014 with the results on Bloomberg
  
  x <- data.frame(date = c(as.Date("2014-04-22"), as.Date("2014-04-22")),
                  currency = c("USD", "EUR"),
                  tenor = c(5, 5),
                  spread = c(105.8, 99),
                  coupon = c(100, 100),
                  recovery = c(0.4, 0.4),
                  notional = c(10000000, 10000000),
                  stringsAsFactors = FALSE)
  
  result <- rec.risk.01(x)
  
  truth <- c(-20.85, 3.46)
  
  ## stopifnot(all.equal(round(result), round(truth)))
  
})