1 files changed, 31 insertions, 29 deletions
diff --git a/python/tests/test_cds.py b/python/tests/test_cds.py
index fb1c9b5b..6798c771 100644
--- a/python/tests/test_cds.py
+++ b/python/tests/test_cds.py
@@ -18,41 +18,43 @@ class TestUpfront(unittest.TestCase):
     def test_upfront(self):
         self.assertAlmostEqual(-self.index.pv, 685292.81, 2)
 
-    def test_cdsone(self):
-        jp_yc = get_curve(self.index.value_date, "USD")
-        fee_dirty = self.index.notional * (
-            upfront_charge(
-                self.index.value_date,
-                self.index._cash_settle_date,
-                self.index.start_date,
-                self.index._step_in_date,
-                self.index.start_date,
-                self.index.end_date,
-                self.index.fixed_rate * 1e-4,
-                jp_yc,
-                70e-4,
-                self.index.recovery,
-                False,
-            )
-        )
-        fee_clean = self.index.notional * (
+    @staticmethod
+    def aux(index, yc, clean):
+        """computes upfront fee from index using upfront_charge of pyisda"""
+        return index.notional * (
             upfront_charge(
-                self.index.value_date,
-                self.index._cash_settle_date,
-                self.index.start_date,
-                self.index._step_in_date,
-                self.index.start_date,
-                self.index.end_date,
-                self.index.fixed_rate * 1e-4,
-                jp_yc,
-                70e-4,
-                self.index.recovery,
-                True,
+                index.value_date,
+                index._cash_settle_date,
+                index.start_date,
+                index._step_in_date,
+                index.start_date,
+                index.end_date,
+                index.fixed_rate * 1e-4,
+                yc,
+                index.spread * 1e-4,
+                index.recovery,
+                clean,
             )
         )
+
+    def test_cdsone(self):
+        jp_yc = get_curve(self.index.value_date, "USD")
+        fee_dirty = self.aux(self.index, jp_yc, False)
+        fee_clean = self.aux(self.index, jp_yc, True)
         self.assertAlmostEqual(-fee_dirty, 685292.81, 2)
         self.assertAlmostEqual(fee_clean, self.index.clean_pv)
 
+    def test_ois(self):
+        index = CreditIndex("HY", 37, "5yr", value_date=datetime.date(2022, 2, 4))
+        index.notional = 100_000_000
+        index.spread = 1000
+        yc_ois = get_curve(index.value_date, "USD", True)
+        yc = get_curve(index.value_date, "USD")
+        fee_clean_ois = self.aux(index, yc_ois, True)
+        fee_clean = self.aux(index, yc, True)
+        self.assertAlmostEqual(17154197.82, fee_clean, 2)  # bloomberg curve 260
+        self.assertAlmostEqual(17229522.44, fee_clean_ois, 2)  # bloomberg curve 531
+
     def test_annuity(self):
         self.assertAlmostEqual(
             -self.index.clean_pv,