diff options
Diffstat (limited to 'python/tests/test_cds.py')
| -rw-r--r-- | python/tests/test_cds.py | 13 |
1 files changed, 9 insertions, 4 deletions
diff --git a/python/tests/test_cds.py b/python/tests/test_cds.py index ee4f9bb4..28c22cc2 100644 --- a/python/tests/test_cds.py +++ b/python/tests/test_cds.py @@ -1,11 +1,13 @@ import unittest from pyisda.cdsone import upfront_charge -from pyisda.utils import build_yc import datetime +from quantlib.settings import Settings +from quantlib.time.api import Date import sys sys.path.append('..') from swaption import Index +from yieldcurve import YC, ql_to_jp class TestUpfront(unittest.TestCase): index = Index.from_name("ig", 26, "5yr", @@ -17,20 +19,23 @@ class TestUpfront(unittest.TestCase): self.assertAlmostEqual(-self.index.pv, 685292.81, 2) def test_cdsone(self): - + settings = Settings() + settings.evaluation_date = Date.from_datetime(self.index.trade_date) + yc = YC() + jp_yc = ql_to_jp(yc) fee_dirty = self.index.notional * ( upfront_charge(self.index.trade_date, self.index._value_date, self.index.start_date, self.index._step_in_date, self.index.start_date, self.index.end_date, self.index.fixed_rate*1e-4, - self.index._yc, 70e-4, self.index.recovery, + jp_yc, 70e-4, self.index.recovery, False)) fee_clean = self.index.notional * ( upfront_charge(self.index.trade_date, self.index._value_date, self.index.start_date, self.index._step_in_date, self.index.start_date, self.index.end_date, self.index.fixed_rate*1e-4, - self.index._yc, 70e-4, self.index.recovery, + jp_yc, 70e-4, self.index.recovery, True)) self.assertAlmostEqual(-fee_dirty, 685292.81, 2) self.assertAlmostEqual(fee_clean, self.index.clean_pv) |