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paktusovpaktusov
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Update ytm formula and added tests
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Lines changed: 471 additions & 1 deletion

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‎poms/common/formula_accruals.py‎

Lines changed: 6 additions & 1 deletion
Original file line numberDiff line numberDiff line change
@@ -680,9 +680,14 @@ def f_xirr(data, x0=0.0, tol=0.000001, maxiter=100):
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# Update the rate using Newton-Raphson
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new_rate = rate - npv / npv_derivative
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683+
if isinstance(new_rate, complex):
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new_rate = new_rate.real
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if new_rate <= -1:
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return 0.0
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# Check for convergence
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if abs(new_rate - rate) < tol:
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return new_rate
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return float(new_rate)
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rate = new_rate
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‎poms/common/tests/test_f_xirr.py‎

Lines changed: 179 additions & 0 deletions
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import datetime
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from django.test import SimpleTestCase
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from poms.common.formula_accruals import f_xirr, f_xnpv
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class TestFXnpv(SimpleTestCase):
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def test_zero_rate(self):
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data = [
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(datetime.date(2024, 1, 1), -1000),
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(datetime.date(2025, 1, 1), 1100),
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]
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result = f_xnpv(data, 0.0)
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self.assertAlmostEqual(result, 100.0, places=1)
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def test_rate_minus_one_returns_inf(self):
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data = [
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(datetime.date(2024, 1, 1), -1000),
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(datetime.date(2025, 1, 1), 1100),
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]
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result = f_xnpv(data, -1)
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self.assertEqual(result, float("inf"))
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def test_positive_rate_discounts(self):
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data = [
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(datetime.date(2024, 1, 1), -1000),
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(datetime.date(2025, 1, 1), 1050),
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]
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result_at_0 = f_xnpv(data, 0.0)
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result_at_10 = f_xnpv(data, 0.10)
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self.assertGreater(result_at_0, result_at_10)
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def test_result_is_always_real(self):
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data = [
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(datetime.date(2024, 1, 1), -1000),
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(datetime.date(2025, 6, 15), 1100),
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]
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for rate in [0.0, 0.5, -0.5, -0.99]:
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result = f_xnpv(data, rate)
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self.assertIsInstance(result, float, f"f_xnpv returned non-float for rate={rate}")
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class TestFXirr(SimpleTestCase):
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def test_empty_data_returns_zero(self):
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self.assertEqual(f_xirr([]), 0.0)
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def test_simple_positive_return(self):
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data = [
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(datetime.date(2024, 1, 1), -1000),
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(datetime.date(2025, 1, 1), 1100),
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]
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result = f_xirr(data)
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self.assertAlmostEqual(result, 0.1, places=3)
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def test_simple_negative_return(self):
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"""Bought above par, small coupon — YTM should be negative."""
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data = [
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(datetime.date(2024, 1, 1), -1050),
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(datetime.date(2025, 1, 1), 1010),
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]
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result = f_xirr(data)
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self.assertLess(result, 0)
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self.assertGreater(result, -1)
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def test_result_is_always_float(self):
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data = [
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(datetime.date(2024, 1, 1), -1000),
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(datetime.date(2025, 1, 1), 1050),
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]
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result = f_xirr(data)
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self.assertIsInstance(result, float)
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def test_never_returns_complex(self):
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"""f_xirr must never return a complex number, regardless of input."""
76+
test_cases = [
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[
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(datetime.date(2024, 1, 1), -1000),
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(datetime.date(2025, 1, 1), 1),
80+
],
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[
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(datetime.date(2024, 1, 1), -1000),
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(datetime.date(2025, 1, 1), 0.01),
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],
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[
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(datetime.date(2024, 1, 1), -10000),
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(datetime.date(2024, 3, 15), 5),
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(datetime.date(2025, 1, 1), 10),
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],
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]
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for data in test_cases:
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result = f_xirr(data)
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self.assertNotIsInstance(result, complex, f"f_xirr returned complex for data={data}")
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self.assertIsInstance(result, float)
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def test_maturity_in_past_defaulted_bond(self):
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"""
98+
Reproduces the production error with USP7807HAM71:
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bond in default, maturity_date (2022) is before trade_date (2026).
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Cash flows have dates going backwards, which caused complex numbers.
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YTM should be 0.0 for such instruments.
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"""
103+
data = [
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(datetime.date(2026, 3, 20), -98.5), # purchase (trade_date)
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(datetime.date(2022, 6, 15), 100.0), # maturity in the past (defaulted)
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]
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result = f_xirr(data)
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self.assertIsInstance(result, float)
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self.assertNotIsInstance(result, complex)
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def test_maturity_in_past_with_coupons(self):
112+
"""
113+
Defaulted bond with past maturity and past coupon dates.
114+
All future cash flows are in the past relative to purchase.
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"""
116+
data = [
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(datetime.date(2026, 3, 20), -98.5), # purchase
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(datetime.date(2021, 12, 15), 3.5), # coupon (past)
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(datetime.date(2022, 6, 15), 3.5), # coupon (past)
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(datetime.date(2022, 6, 15), 100.0), # maturity (past)
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]
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result = f_xirr(data)
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self.assertIsInstance(result, float)
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self.assertNotIsInstance(result, complex)
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def test_extreme_loss_does_not_produce_complex(self):
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"""
128+
Extreme loss scenario: paid a lot, getting almost nothing back.
129+
Newton-Raphson may try rates below -100%.
130+
"""
131+
data = [
132+
(datetime.date(2024, 1, 1), -10000),
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(datetime.date(2025, 1, 1), 1),
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]
135+
result = f_xirr(data)
136+
self.assertIsInstance(result, float)
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self.assertEqual(result, 0.0)
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def test_rate_never_exceeds_minus_one(self):
140+
"""Result should never be <= -1 (below -100%)."""
141+
data = [
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(datetime.date(2024, 1, 1), -1000),
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(datetime.date(2025, 1, 1), 50),
144+
]
145+
result = f_xirr(data)
146+
self.assertIsInstance(result, float)
147+
self.assertGreaterEqual(result, -1)
148+
149+
def test_with_multiple_cash_flows(self):
150+
"""Standard bond with semiannual coupons."""
151+
data = [
152+
(datetime.date(2024, 1, 1), -1000),
153+
(datetime.date(2024, 7, 1), 25),
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(datetime.date(2025, 1, 1), 25),
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(datetime.date(2025, 7, 1), 25),
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(datetime.date(2026, 1, 1), 1025),
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]
158+
result = f_xirr(data)
159+
self.assertIsInstance(result, float)
160+
self.assertAlmostEqual(result, 0.05, places=2)
161+
162+
def test_bad_initial_guess(self):
163+
"""Large x0 far from the real answer should still converge or return 0."""
164+
data = [
165+
(datetime.date(2024, 1, 1), -1000),
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(datetime.date(2025, 1, 1), 1050),
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]
168+
result = f_xirr(data, x0=10.0)
169+
self.assertIsInstance(result, float)
170+
self.assertNotIsInstance(result, complex)
171+
172+
def test_non_convergence_returns_zero(self):
173+
"""If maxiter=1, method likely won't converge — should return 0.0."""
174+
data = [
175+
(datetime.date(2024, 1, 1), -1000),
176+
(datetime.date(2025, 1, 1), 1050),
177+
]
178+
result = f_xirr(data, maxiter=1)
179+
self.assertIsInstance(result, float)

‎poms/transactions/tests/test_sanitize_ytm.py‎

Lines changed: 79 additions & 0 deletions
Original file line numberDiff line numberDiff line change
@@ -0,0 +1,79 @@
1+
from django.test import SimpleTestCase
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3+
from poms.transactions.utils import _sanitize_ytm
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class TestSanitizeYtm(SimpleTestCase):
7+
def test_none_returns_zero(self):
8+
self.assertEqual(_sanitize_ytm(None), 0.0)
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10+
def test_complex_returns_zero(self):
11+
self.assertEqual(_sanitize_ytm(complex(-0.98, 0.58)), 0.0)
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def test_complex_with_tiny_imaginary_returns_zero(self):
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"""Even complex with negligible imaginary part should return 0."""
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self.assertEqual(_sanitize_ytm(complex(-0.617, 8.3e-17)), 0.0)
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def test_complex_from_production_error(self):
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"""Exact complex values from production error logs."""
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self.assertEqual(
20+
_sanitize_ytm(complex(-0.9802270234352741, 0.586687270683598)),
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0.0,
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)
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self.assertEqual(
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_sanitize_ytm(complex(-1.6290682385111677, 0.24653067562824657)),
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0.0,
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)
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self.assertEqual(
28+
_sanitize_ytm(complex(-0.6171933097394031, 8.336640977585254e-17)),
29+
0.0,
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)
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def test_nan_returns_zero(self):
33+
self.assertEqual(_sanitize_ytm(float("nan")), 0.0)
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def test_inf_returns_zero(self):
36+
self.assertEqual(_sanitize_ytm(float("inf")), 0.0)
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self.assertEqual(_sanitize_ytm(float("-inf")), 0.0)
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def test_normal_float_passes_through(self):
40+
result = _sanitize_ytm(0.05)
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self.assertIsInstance(result, float)
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self.assertAlmostEqual(result, 0.05, places=4)
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def test_negative_float_passes_through(self):
45+
result = _sanitize_ytm(-0.03)
46+
self.assertIsInstance(result, float)
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self.assertAlmostEqual(result, -0.03, places=4)
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def test_zero_returns_zero(self):
50+
self.assertEqual(_sanitize_ytm(0), 0.0)
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self.assertEqual(_sanitize_ytm(0.0), 0.0)
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def test_integer_works(self):
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result = _sanitize_ytm(1)
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self.assertIsInstance(result, (int, float))
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def test_string_returns_zero(self):
58+
self.assertEqual(_sanitize_ytm("0.05"), 0.0)
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def test_result_is_never_complex(self):
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test_values = [
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None,
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0,
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0.0,
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1,
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-1,
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0.05,
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-0.05,
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float("nan"),
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float("inf"),
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float("-inf"),
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complex(1, 0),
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complex(0, 1),
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complex(-0.98, 0.58),
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]
76+
for val in test_values:
77+
result = _sanitize_ytm(val)
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self.assertNotIsInstance(result, complex, f"_sanitize_ytm({val!r}) returned complex")
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self.assertIsInstance(result, (int, float), f"_sanitize_ytm({val!r}) didn't return a number")

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