diff options
Diffstat (limited to 'python/tests/test_cds.py')
| -rw-r--r-- | python/tests/test_cds.py | 9 |
1 files changed, 4 insertions, 5 deletions
diff --git a/python/tests/test_cds.py b/python/tests/test_cds.py index 26ec809e..defafd64 100644 --- a/python/tests/test_cds.py +++ b/python/tests/test_cds.py @@ -11,7 +11,7 @@ from yieldcurve import YC, ql_to_jp class TestUpfront(unittest.TestCase): index = Index.from_name("ig", 26, "5yr", - trade_date = datetime.date(2016, 9, 21)) + value_date=datetime.date(2016, 9, 21)) index.notional = 50e6 index.spread = 70 @@ -19,19 +19,18 @@ 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) + Settings().evaluation_date = Date.from_datetime(self.index.value_date) yc = YC() jp_yc = ql_to_jp(yc) fee_dirty = self.index.notional * ( - upfront_charge(self.index.trade_date, self.index._value_date, + 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 * ( - upfront_charge(self.index.trade_date, self.index._value_date, + 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, |