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