1 files changed, 42 insertions, 0 deletions
diff --git a/python/test_cds.py b/python/test_cds.py
new file mode 100644
index 00000000..2d4ef978
--- /dev/null
+++ b/python/test_cds.py
@@ -0,0 +1,42 @@
+""" Unittests for the CDS related classes. """
+from quantlib.settings import Settings
+from quantlib.quotes import SimpleQuote
+from quantlib.termstructures.yields.api import FlatForward
+from quantlib.termstructures.credit.api import SpreadCdsHelper, UpfrontCdsHelper, PiecewiseDefaultCurve
+from quantlib.time.api import (UnitedStates, Date, Actual365Fixed, Following, Quarterly,
+                               TwentiethIMM, March, Period)
+from yieldcurve import YC
+import pdb
+
+def create_helper():
+
+    calendar = UnitedStates()
+
+    todays_date = Date(31, March, 2014)
+
+    Settings.instance().evaluation_date = todays_date
+    recovery_rate = 0.4
+    upfronts = [0.01, 0.02, 0.04, 0.06]
+
+
+    tenors = [Period(str(i) +"Yr") for i in [2, 3, 5, 7]]
+    tenors = Period("2Yr")
+
+    ts_curve = YC()
+
+    helpers = UpfrontCdsHelper(0.05, 0.05, tenors, 0, calendar, Quarterly,
+                              Following, TwentiethIMM, Actual365Fixed(),
+                              recovery_rate, ts_curve)
+    pdb.set_trace()
+    #trait = ['HazardRate', 'DefaultDensity', 'SurvivalProbability']:
+    #interpolator = ['Linear', 'LogLinear', 'BackwardFlat']:
+    curve = PiecewiseDefaultCurve('HazardRate','BackwardFlat',
+                                  reference_date=todays_date,
+                                  helpers=[helpers], daycounter=Actual365Fixed())
+    print(curve.survival_probability(Date(10, 3, 2015)))
+    return curve
+
+if __name__=="__main__":
+    curve = create_helper()
+    prob = curve.survival_probability(Date(10, 3, 2017))
+    pdb.set_trace()