diff options
Diffstat (limited to 'python/tests/test_cds.py')
| -rw-r--r-- | python/tests/test_cds.py | 8 |
1 files changed, 6 insertions, 2 deletions
diff --git a/python/tests/test_cds.py b/python/tests/test_cds.py index f2cef225..6724065d 100644 --- a/python/tests/test_cds.py +++ b/python/tests/test_cds.py @@ -23,19 +23,23 @@ class TestUpfront(unittest.TestCase): 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, + self.index.end_date, self.index.fixed_rate*1e-4, self.index._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, + self.index.end_date, self.index.fixed_rate*1e-4, self.index._yc, 70e-4, self.index.recovery, True)) self.assertAlmostEqual(-fee_dirty, 685292.81, 2) self.assertAlmostEqual(fee_clean, self.index.clean_pv) + def test_annuity(self): + self.assertAlmostEqual(-self.index.clean_pv, + self.index.notional * self.index.risky_annuity * + (self.index.fixed_rate - self.index.spread)*1e-4) if __name__=="__main__": unittest.main() |