diff options
Diffstat (limited to 'python/tests/test_scenarios.py')
| -rw-r--r-- | python/tests/test_scenarios.py | 51 |
1 files changed, 33 insertions, 18 deletions
diff --git a/python/tests/test_scenarios.py b/python/tests/test_scenarios.py index 1f1f6bf3..0bcce027 100644 --- a/python/tests/test_scenarios.py +++ b/python/tests/test_scenarios.py @@ -2,20 +2,30 @@ import unittest import numpy as np import pandas as pd -from analytics import (CreditIndex, BlackSwaption, Portfolio, - BlackSwaptionVolSurface) +from serenitas.analytics import ( + CreditIndex, + BlackSwaption, + Portfolio, + BlackSwaptionVolSurface, +) from pandas.tseries.offsets import BDay -from analytics.scenarios import (run_portfolio_scenarios, - run_swaption_scenarios, run_index_scenarios) +from serenitas.analytics.scenarios import ( + run_portfolio_scenarios, + run_swaption_scenarios, + run_index_scenarios, +) class TestSenarios(unittest.TestCase): option_delta = CreditIndex.from_tradeid(874) option1 = BlackSwaption.from_tradeid(7, option_delta) option2 = BlackSwaption.from_tradeid(8, option_delta) - portf = Portfolio([option1, option2, option_delta], trade_ids=['opt1', 'opt2', 'delta']) - date_range = pd.bdate_range(option_delta.value_date, - pd.Timestamp('2017-05-17') - BDay(), freq='5B') + portf = Portfolio( + [option1, option2, option_delta], trade_ids=["opt1", "opt2", "delta"] + ) + date_range = pd.bdate_range( + option_delta.value_date, pd.Timestamp("2017-05-17") - BDay(), freq="5B" + ) def test_portfolio(self): """ check that run_portfolio_scenarios match the sum of the individual pieces""" @@ -23,20 +33,25 @@ class TestSenarios(unittest.TestCase): spread_shock = np.arange(-0.2, 0.3, 0.01) vs = BlackSwaptionVolSurface("IG", 28, value_date=self.option_delta.value_date) vol_surface = vs[vs.list(source="BAML")[-1]] - df = run_portfolio_scenarios(self.portf, self.date_range, - spread_shock=spread_shock, - vol_shock=vol_shock, - vol_surface=vol_surface) - df1 = run_swaption_scenarios(self.option1, self.date_range, - spread_shock, vol_shock, vol_surface, ["pnl"]) - df2 = run_swaption_scenarios(self.option2, self.date_range, - spread_shock, vol_shock, vol_surface, ["pnl"]) + df = run_portfolio_scenarios( + self.portf, + self.date_range, + spread_shock=spread_shock, + vol_shock=vol_shock, + vol_surface=vol_surface, + ) + df1 = run_swaption_scenarios( + self.option1, self.date_range, spread_shock, vol_shock, vol_surface, ["pnl"] + ) + df2 = run_swaption_scenarios( + self.option2, self.date_range, spread_shock, vol_shock, vol_surface, ["pnl"] + ) df_index = run_index_scenarios(self.option_delta, self.date_range, spread_shock) df_swaptions = df1 + df2 - df_swaptions = df_swaptions.reset_index(level='vol_shock') + df_swaptions = df_swaptions.reset_index(level="vol_shock") df_orig = df_index.add(df_swaptions, fill_value=0) - df_orig = df_orig.set_index('vol_shock', append=True) - self.assertFalse(np.any((df.sum(axis=1).values-df_orig['pnl'].values))) + df_orig = df_orig.set_index("vol_shock", append=True) + self.assertFalse(np.any((df.sum(axis=1).values - df_orig["pnl"].values))) if __name__ == "__main__": |