diff options
Diffstat (limited to 'python/tests/test_index.py')
| -rw-r--r-- | python/tests/test_index.py | 9 |
1 files changed, 4 insertions, 5 deletions
diff --git a/python/tests/test_index.py b/python/tests/test_index.py index a3abaaf8..58505cc8 100644 --- a/python/tests/test_index.py +++ b/python/tests/test_index.py @@ -3,7 +3,7 @@ import datetime import numpy as np from pyisda.cdsone import upfront_charge -from pyisda.flat_hazard import strike_vec +from pyisda.flat_hazard import pv_vec from analytics import Index, ForwardIndex from analytics.index import g @@ -31,10 +31,9 @@ class TestStrike(unittest.TestCase): def test_strike_vec(self): self.index.trade_date = datetime.date(2016, 8, 19) - a, b = strike_vec(np.array([70, 75])*1e-4, self.index._yc, self.index.trade_date, - self.index._value_date, self.index.start_date, self.index.end_date, - self.index.recovery) - r = (a - self.index.fixed_rate*1e-4 * b) + r = pv_vec(np.array([70, 75])*1e-4, self.index._yc, self.index.trade_date, + self.index._value_date, self.index.start_date, self.index.end_date, + self.index.recovery, self.index.fixed_rate * 1e-4) self.index.notional = 1 self.index.spread = 70 self.assertAlmostEqual(self.index.clean_pv, r[0]) |