diff options
Diffstat (limited to 'python/tests/test_index.py')
| -rw-r--r-- | python/tests/test_index.py | 17 |
1 files changed, 9 insertions, 8 deletions
diff --git a/python/tests/test_index.py b/python/tests/test_index.py index 59dbfe88..d9dbf868 100644 --- a/python/tests/test_index.py +++ b/python/tests/test_index.py @@ -5,13 +5,13 @@ import numpy as np from pyisda.cdsone import upfront_charge from pyisda.flat_hazard import pv_vec -from analytics import Index, ForwardIndex +from analytics import CreditIndex, ForwardIndex from analytics.index import g import pickle + class TestPickle(unittest.TestCase): - index = Index.from_name("ig", 26, "5yr", - value_date=datetime.date(2016, 7, 1)) + index = CreditIndex("ig", 26, "5yr", value_date=datetime.date(2016, 7, 1)) index.notional = 50e6 index.spread = 75 @@ -19,9 +19,9 @@ class TestPickle(unittest.TestCase): a = pickle.loads(pickle.dumps(self.index)) self.assertTrue(hash(a) == hash(self.index)) + class TestStrike(unittest.TestCase): - index = Index.from_name("ig", 26, "5yr", - value_date=datetime.date(2016, 7, 1)) + index = CreditIndex("ig", 26, "5yr", value_date=datetime.date(2016, 7, 1)) index.notional = 50_000_000. index.spread = 75 exercise_date = datetime.date(2016, 8, 19) @@ -55,9 +55,10 @@ class TestStrike(unittest.TestCase): self.index.price = self.index.price self.assertAlmostEqual(self.index.spread, 75) + class TestForwardIndex(unittest.TestCase): - index = Index.from_name("ig", 26, "5yr", - value_date=datetime.date(2016, 7, 1)) + index = CreditIndex("ig", 26, "5yr", + value_date=datetime.date(2016, 7, 1)) index.notional = 50_000_000. index.spread = 75 exercise_date = datetime.date(2016, 8, 19) @@ -74,5 +75,5 @@ class TestForwardIndex(unittest.TestCase): fi = ForwardIndex(self.index, self.index.value_date) self.assertAlmostEqual(fi.forward_pv, self.index.clean_pv / self.index.notional) -if __name__=="__main__": +if __name__ == "__main__": unittest.main() |