TST: generic calendar checker against fixing data (#660)

Co-authored-by: JHM Darbyshire (win11) <[email protected]>

python/rateslib/rs.pyi

@@ -64,7 +64,7 @@ class _DateRoll:
     def to_json(self) -> str: ...
 
 class Cal(_DateRoll):
-    def __init__(self, rules: list[datetime], weekmask: list[int]) -> None: ...
+    def __init__(self, rules: list[datetime], week_mask: list[int]) -> None: ...
 
 class UnionCal(_DateRoll):
     calendars: list[Cal] = ...

python/tests/test_calendarsrs.py

@@ -1,6 +1,8 @@
 from datetime import datetime as dt
 
 import pytest
+from pandas import Index
+from rateslib import defaults
 from rateslib.calendars import _get_modifier, get_calendar
 from rateslib.json import from_json
 from rateslib.rs import Cal, Modifier, NamedCal, RollDay, UnionCal
@@ -44,8 +46,10 @@ def test_cal_construct(self) -> None:
         UnionCal([cal], None)
 
     def test_is_business_day(self, simple_cal, simple_union) -> None:
-        assert not simple_cal.is_bus_day(dt(2015, 9, 7))
-        assert simple_cal.is_bus_day(dt(2015, 9, 8))
+        assert not simple_cal.is_bus_day(dt(2015, 9, 7))  # Monday Holiday
+        assert simple_cal.is_bus_day(dt(2015, 9, 8))  # Tuesday
+        assert not simple_cal.is_bus_day(dt(2015, 9, 12))  # Saturday
+
         assert not simple_union.is_bus_day(dt(2015, 9, 7))
         assert simple_union.is_bus_day(dt(2015, 9, 8))
 
@@ -212,3 +216,36 @@ def test_equality_named_cal(self) -> None:
         ncal = NamedCal("ldn,tgt|fed")
         assert ucal == ncal
         assert ncal == ucal
+
+
+@pytest.mark.parametrize(
+    ("datafile", "calendar", "known_exceptions"),
+    [
+        ("usd_rfr", "nyc", []),
+        ("gbp_rfr", "ldn", [dt(2020, 5, 4)]),
+        ("cad_rfr", "tro", []),
+        ("eur_rfr", "tgt", []),
+        ("jpy_rfr", "tyo", []),
+        ("sek_rfr", "stk", []),
+        ("nok_rfr", "osl", []),
+    ],
+)
+def test_calendar_against_historical_fixings(datafile, calendar, known_exceptions):
+    fixings = defaults.fixings[datafile]
+    calendar_ = get_calendar(calendar)
+    bus_days = Index(calendar_.bus_date_range(fixings.index[0], fixings.index[-1]))
+    diff = fixings.index.difference(bus_days)
+
+    errors = 0
+    if len(diff) != 0:
+        print(f"{calendar} for {datafile}")
+        for date in diff:
+            if date in known_exceptions:
+                continue
+            elif date in fixings.index:
+                print(f"{date} exists in fixings: does calendar wrongly classify as a holiday?")
+            else:
+                print(f"{date} exists in calendar: should this date be classified as a holdiay?")
+            errors += 1
+
+    assert errors == 0

python/tests/test_periods.py

@@ -8,6 +8,7 @@
 from pandas import NA, DataFrame, Index, MultiIndex, Series, date_range
 from pandas.testing import assert_frame_equal
 from rateslib import defaults
+from rateslib.calendars import Cal
 from rateslib.curves import CompositeCurve, Curve, IndexCurve, LineCurve
 from rateslib.default import NoInput
 from rateslib.dual import Dual
@@ -1145,6 +1146,64 @@ def test_period_historic_fixings_series_missing_warns(
         ):
             period.rate(curve)
 
+    def test_more_fixings_than_expected_by_calednar_raises(self):
+        # Create historical fixings spanning 5 days for a FloatPeriod.
+        # But set a Cal that does not expect all of these - one holdiay midweek.
+        # Observe the rate calculation.
+        fixings = Series(
+            data=[1.0, 2.0, 3.0, 4.0, 5.0],
+            index=[
+                dt(2023, 1, 23),
+                dt(2023, 1, 24),
+                dt(2023, 1, 25),
+                dt(2023, 1, 26),
+                dt(2023, 1, 27),
+            ],
+        )
+        cal = Cal(holidays=[dt(2023, 1, 25)], week_mask=[5, 6])
+        period = FloatPeriod(
+            start=dt(2023, 1, 23),
+            end=dt(2023, 1, 30),
+            payment=dt(2023, 1, 30),
+            frequency="Q",
+            fixing_method="rfr_payment_delay",
+            fixings=fixings,
+            convention="act365F",
+            calendar="bus",
+        )
+        curve = Curve({dt(2023, 1, 26): 1.0, dt(2025, 1, 26): 1.0}, calendar=cal)
+        msg = "The supplied `fixings` contain more fixings than were expected"
+        with pytest.raises(ValueError, match=msg):
+            period.rate(curve)
+
+    def test_fewer_fixings_than_expected_by_calendar_warns_and_fills(self):
+        # Create historical fixings spanning 4 days for a FloatPeriod, with mid-week holiday
+        # But set a Cal that expects 5 (the cal does not have the holiday)
+        # Observe the rate calculation.
+
+        # this tests performs a minimal version of test_period_historic_fixings_series_missing_warns
+        fixings = Series(
+            data=[1.0, 2.0, 4.0, 5.0],
+            index=[dt(2023, 1, 23), dt(2023, 1, 24), dt(2023, 1, 26), dt(2023, 1, 27)],
+        )
+        cal = Cal(holidays=[], week_mask=[5, 6])
+        period = FloatPeriod(
+            start=dt(2023, 1, 23),
+            end=dt(2023, 1, 30),
+            payment=dt(2023, 1, 30),
+            frequency="Q",
+            fixing_method="rfr_payment_delay",
+            fixings=fixings,
+            convention="act365F",
+            calendar="bus",
+        )
+        curve = Curve({dt(2023, 1, 29): 1.0, dt(2025, 1, 22): 1.0}, calendar=cal)
+        with (
+            pytest.raises(ValueError, match="RFRs could not be calculated, have you missed"),
+            pytest.warns(UserWarning, match="`fixings` has missed a calendar value"),
+        ):
+            period.rate(curve)
+
     def test_fixing_with_float_spread_warning(self, curve) -> None:
         float_period = FloatPeriod(
             start=dt(2022, 1, 4),