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Fix tests for 1.34
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Commit lballabio/QuantLib@22d0770801771258 uses the fixed leg actual
frequency instead of defaulting to Annual. This slightly changed the
values of this test.
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thrasibule committed Jul 31, 2024
1 parent f15cfed commit 68f664f
Showing 1 changed file with 3 additions and 3 deletions.
6 changes: 3 additions & 3 deletions test/test_swaption.py
Original file line number Diff line number Diff line change
Expand Up @@ -42,10 +42,10 @@ def test_pricing_engine(self):
swaption = self.factory()
pe = BlackSwaptionEngine(self.yc, 0.3)
swaption.set_pricing_engine(pe)
self.assertAlmostEqual(swaption.npv, 0.008429678)
self.assertAlmostEqual(swaption.npv, 0.008359596)
self.assertAlmostEqual(swaption.atm_forward, 0.030234093)
self.assertAlmostEqual(swaption.vega, 0.07405690295)
self.assertAlmostEqual(swaption.annuity, 8.08710479)
self.assertAlmostEqual(swaption.vega, 0.0736156)
self.assertAlmostEqual(swaption.annuity, 8.0781391)

if __name__ == '__main__':
unittest.main()

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