merge duration, mduration #44
merge price, yield #29 merge fvschedule #56 merge pricedisc, pricemat, yielddisc, yieldmat, disc, received, intrate #57 merge accrint, accrintm #58 merge coupdaybs, coupdays, coupdaysnc, coupncd, coupnum, couppcd #59 fix cursor refactor refactor fix build
This commit is contained in:
Brian Hung
committed by
Nicolás Hatcher
Nicolás Hatcher
parent
d4f69f2ec2
commit
557582934b
350
base/src/test/test_fn_duration.rs
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350
base/src/test/test_fn_duration.rs
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@@ -0,0 +1,350 @@
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#![allow(clippy::unwrap_used)]
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#![allow(clippy::panic)]
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use crate::{cell::CellValue, test::util::new_empty_model};
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// Test constants for realistic bond scenarios
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const BOND_SETTLEMENT: &str = "=DATE(2020,1,1)";
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const BOND_MATURITY_4Y: &str = "=DATE(2024,1,1)";
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const BOND_MATURITY_INVALID: &str = "=DATE(2016,1,1)"; // Before settlement
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const BOND_MATURITY_SAME: &str = "=DATE(2020,1,1)"; // Same as settlement
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const BOND_MATURITY_1DAY: &str = "=DATE(2020,1,2)"; // Very short term
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// Standard investment-grade corporate bond parameters
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const STD_COUPON: f64 = 0.08; // 8% annual coupon rate
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const STD_YIELD: f64 = 0.09; // 9% yield (discount bond scenario)
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const STD_FREQUENCY: i32 = 2; // Semi-annual payments (most common)
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// Helper function to reduce test repetition
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fn assert_numerical_result(model: &crate::Model, cell_ref: &str, should_be_positive: bool) {
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if let Ok(CellValue::Number(v)) = model.get_cell_value_by_ref(cell_ref) {
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if should_be_positive {
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assert!(v > 0.0, "Expected positive value at {cell_ref}, got {v}");
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}
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// Value is valid - test passes
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} else {
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panic!("Expected numerical result at {cell_ref}");
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}
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}
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#[test]
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fn fn_duration_mduration_arguments() {
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let mut model = new_empty_model();
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// Test argument count validation
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model._set("A1", "=DURATION()");
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model._set("A2", "=DURATION(1,2,3,4)");
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model._set("A3", "=DURATION(1,2,3,4,5,6,7)");
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model._set("B1", "=MDURATION()");
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model._set("B2", "=MDURATION(1,2,3,4)");
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model._set("B3", "=MDURATION(1,2,3,4,5,6,7)");
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model.evaluate();
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// Too few or too many arguments should result in errors
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assert_eq!(model._get_text("A1"), *"#ERROR!");
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assert_eq!(model._get_text("A2"), *"#ERROR!");
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assert_eq!(model._get_text("A3"), *"#ERROR!");
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assert_eq!(model._get_text("B1"), *"#ERROR!");
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assert_eq!(model._get_text("B2"), *"#ERROR!");
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assert_eq!(model._get_text("B3"), *"#ERROR!");
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}
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#[test]
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fn fn_duration_mduration_settlement_maturity_errors() {
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let mut model = new_empty_model();
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model._set("A1", BOND_SETTLEMENT);
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model._set("A2", BOND_MATURITY_INVALID); // Before settlement
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model._set("A3", BOND_MATURITY_SAME); // Same as settlement
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// Both settlement > maturity and settlement = maturity should error
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model._set(
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"B1",
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&format!("=DURATION(A1,A2,{STD_COUPON},{STD_YIELD},{STD_FREQUENCY})"),
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);
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model._set(
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"B2",
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&format!("=DURATION(A1,A3,{STD_COUPON},{STD_YIELD},{STD_FREQUENCY})"),
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);
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model._set(
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"B3",
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&format!("=MDURATION(A1,A2,{STD_COUPON},{STD_YIELD},{STD_FREQUENCY})"),
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);
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model._set(
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"B4",
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&format!("=MDURATION(A1,A3,{STD_COUPON},{STD_YIELD},{STD_FREQUENCY})"),
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);
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model.evaluate();
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assert_eq!(model._get_text("B1"), *"#NUM!");
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assert_eq!(model._get_text("B2"), *"#NUM!");
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assert_eq!(model._get_text("B3"), *"#NUM!");
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assert_eq!(model._get_text("B4"), *"#NUM!");
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}
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#[test]
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fn fn_duration_mduration_negative_values_errors() {
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let mut model = new_empty_model();
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model._set("A1", BOND_SETTLEMENT);
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model._set("A2", BOND_MATURITY_4Y);
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// Test negative coupon (coupons must be >= 0)
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model._set(
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"B1",
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&format!("=DURATION(A1,A2,-0.01,{STD_YIELD},{STD_FREQUENCY})"),
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);
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model._set(
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"B2",
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&format!("=MDURATION(A1,A2,-0.01,{STD_YIELD},{STD_FREQUENCY})"),
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);
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// Test negative yield (yields must be >= 0)
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model._set(
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"C1",
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&format!("=DURATION(A1,A2,{STD_COUPON},-0.01,{STD_FREQUENCY})"),
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);
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model._set(
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"C2",
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&format!("=MDURATION(A1,A2,{STD_COUPON},-0.01,{STD_FREQUENCY})"),
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);
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model.evaluate();
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assert_eq!(model._get_text("B1"), *"#NUM!");
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assert_eq!(model._get_text("B2"), *"#NUM!");
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assert_eq!(model._get_text("C1"), *"#NUM!");
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assert_eq!(model._get_text("C2"), *"#NUM!");
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}
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#[test]
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fn fn_duration_mduration_invalid_frequency_errors() {
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let mut model = new_empty_model();
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model._set("A1", BOND_SETTLEMENT);
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model._set("A2", BOND_MATURITY_4Y);
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// Only 1, 2, and 4 are valid frequencies (annual, semi-annual, quarterly)
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let invalid_frequencies = [0, 3, 5, 12]; // Common invalid values
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for (i, &freq) in invalid_frequencies.iter().enumerate() {
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let row = i + 1;
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model._set(
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&format!("B{row}"),
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&format!("=DURATION(A1,A2,{STD_COUPON},{STD_YIELD},{freq})"),
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);
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model._set(
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&format!("C{row}"),
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&format!("=MDURATION(A1,A2,{STD_COUPON},{STD_YIELD},{freq})"),
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);
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}
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model.evaluate();
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for i in 1..=invalid_frequencies.len() {
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assert_eq!(model._get_text(&format!("B{i}")), *"#NUM!");
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assert_eq!(model._get_text(&format!("C{i}")), *"#NUM!");
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}
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}
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#[test]
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fn fn_duration_mduration_frequency_variations() {
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let mut model = new_empty_model();
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model._set("A1", BOND_SETTLEMENT);
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model._set("A2", BOND_MATURITY_4Y);
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// Test all valid frequencies: 1=annual, 2=semi-annual, 4=quarterly
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let valid_frequencies = [1, 2, 4];
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for (i, &freq) in valid_frequencies.iter().enumerate() {
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let row = i + 1;
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model._set(
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&format!("B{row}"),
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&format!("=DURATION(A1,A2,{STD_COUPON},{STD_YIELD},{freq})"),
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);
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model._set(
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&format!("C{row}"),
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&format!("=MDURATION(A1,A2,{STD_COUPON},{STD_YIELD},{freq})"),
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);
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}
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model.evaluate();
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// All should return positive numerical values
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for i in 1..=valid_frequencies.len() {
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assert_numerical_result(&model, &format!("Sheet1!B{i}"), true);
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assert_numerical_result(&model, &format!("Sheet1!C{i}"), true);
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}
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}
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#[test]
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fn fn_duration_mduration_basis_variations() {
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let mut model = new_empty_model();
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model._set("A1", BOND_SETTLEMENT);
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model._set("A2", BOND_MATURITY_4Y);
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// Test all valid basis values (day count conventions)
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// 0=30/360 US, 1=Actual/actual, 2=Actual/360, 3=Actual/365, 4=30/360 European
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for basis in 0..=4 {
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let row = basis + 1;
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model._set(
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&format!("B{row}"),
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&format!("=DURATION(A1,A2,{STD_COUPON},{STD_YIELD},{STD_FREQUENCY},{basis})"),
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);
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model._set(
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&format!("C{row}"),
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&format!("=MDURATION(A1,A2,{STD_COUPON},{STD_YIELD},{STD_FREQUENCY},{basis})"),
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);
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}
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// Test default basis (should be 0)
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model._set(
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"D1",
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&format!("=DURATION(A1,A2,{STD_COUPON},{STD_YIELD},{STD_FREQUENCY})"),
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);
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model._set(
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"D2",
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&format!("=MDURATION(A1,A2,{STD_COUPON},{STD_YIELD},{STD_FREQUENCY})"),
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);
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model.evaluate();
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// All basis values should work
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for row in 1..=5 {
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assert_numerical_result(&model, &format!("Sheet1!B{row}"), true);
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assert_numerical_result(&model, &format!("Sheet1!C{row}"), true);
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}
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// Default basis should match basis 0
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if let (Ok(CellValue::Number(d1)), Ok(CellValue::Number(b1))) = (
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model.get_cell_value_by_ref("Sheet1!D1"),
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model.get_cell_value_by_ref("Sheet1!B1"),
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) {
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assert!(
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(d1 - b1).abs() < 1e-10,
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"Default basis should match basis 0"
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);
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}
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}
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#[test]
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fn fn_duration_mduration_edge_cases() {
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let mut model = new_empty_model();
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model._set("A1", BOND_SETTLEMENT);
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model._set("A2", BOND_MATURITY_1DAY); // Very short term (1 day)
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model._set("A3", BOND_MATURITY_4Y); // Standard term
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// Edge case scenarios with explanations
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let test_cases = [
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("B", "A1", "A2", STD_COUPON, STD_YIELD, "short_term"), // 1-day bond
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("C", "A1", "A3", 0.0, STD_YIELD, "zero_coupon"), // Zero coupon bond
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("D", "A1", "A3", STD_COUPON, 0.0, "zero_yield"), // Zero yield
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("E", "A1", "A3", 1.0, 0.5, "high_rates"), // High coupon/yield (100%/50%)
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];
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for (col, settlement, maturity, coupon, yield_rate, _scenario) in test_cases {
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model._set(
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&format!("{col}1"),
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&format!("=DURATION({settlement},{maturity},{coupon},{yield_rate},{STD_FREQUENCY})"),
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);
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model._set(
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&format!("{col}2"),
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&format!("=MDURATION({settlement},{maturity},{coupon},{yield_rate},{STD_FREQUENCY})"),
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);
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}
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model.evaluate();
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// All edge cases should return positive values
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for col in ["B", "C", "D", "E"] {
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assert_numerical_result(&model, &format!("Sheet1!{col}1"), true);
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assert_numerical_result(&model, &format!("Sheet1!{col}2"), true);
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}
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}
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#[test]
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fn fn_duration_mduration_relationship() {
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let mut model = new_empty_model();
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model._set("A1", BOND_SETTLEMENT);
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model._set("A2", BOND_MATURITY_4Y);
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// Test mathematical relationship: MDURATION = DURATION / (1 + yield/frequency)
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model._set(
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"B1",
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&format!("=DURATION(A1,A2,{STD_COUPON},{STD_YIELD},{STD_FREQUENCY})"),
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);
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model._set(
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"B2",
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&format!("=MDURATION(A1,A2,{STD_COUPON},{STD_YIELD},{STD_FREQUENCY})"),
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);
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model._set("B3", &format!("=B1/(1+{STD_YIELD}/{STD_FREQUENCY})")); // Manual calculation
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// Test with quarterly frequency and different yield
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model._set("C1", &format!("=DURATION(A1,A2,{STD_COUPON},0.12,4)"));
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model._set("C2", &format!("=MDURATION(A1,A2,{STD_COUPON},0.12,4)"));
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model._set("C3", "=C1/(1+0.12/4)"); // Manual calculation for quarterly
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model.evaluate();
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// MDURATION should equal DURATION / (1 + yield/frequency) for both scenarios
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if let (Ok(CellValue::Number(md)), Ok(CellValue::Number(manual))) = (
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model.get_cell_value_by_ref("Sheet1!B2"),
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model.get_cell_value_by_ref("Sheet1!B3"),
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) {
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assert!(
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(md - manual).abs() < 1e-10,
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"MDURATION should equal DURATION/(1+yield/freq)"
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);
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}
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if let (Ok(CellValue::Number(md)), Ok(CellValue::Number(manual))) = (
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model.get_cell_value_by_ref("Sheet1!C2"),
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model.get_cell_value_by_ref("Sheet1!C3"),
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) {
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assert!(
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(md - manual).abs() < 1e-10,
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"MDURATION should equal DURATION/(1+yield/freq) for quarterly"
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);
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}
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}
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#[test]
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fn fn_duration_mduration_regression() {
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// Original regression test with known expected values
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let mut model = new_empty_model();
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model._set("A1", "=DATE(2016,1,1)");
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model._set("A2", "=DATE(2020,1,1)");
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model._set(
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"B1",
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&format!("=DURATION(A1,A2,{STD_COUPON},{STD_YIELD},{STD_FREQUENCY})"),
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);
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model._set(
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"B2",
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&format!("=MDURATION(A1,A2,{STD_COUPON},{STD_YIELD},{STD_FREQUENCY})"),
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);
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model.evaluate();
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// Verify exact values for regression testing
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if let Ok(CellValue::Number(v1)) = model.get_cell_value_by_ref("Sheet1!B1") {
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assert!(
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(v1 - 3.410746844012284).abs() < 1e-9,
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"DURATION regression test failed"
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);
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} else {
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panic!("Unexpected value for DURATION");
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}
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if let Ok(CellValue::Number(v2)) = model.get_cell_value_by_ref("Sheet1!B2") {
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assert!(
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(v2 - 3.263872578002186).abs() < 1e-9,
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"MDURATION regression test failed"
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);
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} else {
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panic!("Unexpected value for MDURATION");
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}
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}
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