1 files changed, 42 insertions, 0 deletions
diff --git a/python/tests/test_scenarios.py b/python/tests/test_scenarios.py
new file mode 100644
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+++ b/python/tests/test_scenarios.py
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+import unittest
+import datetime
+import numpy as np
+import pandas as pd
+
+from analytics import Index, BlackSwaption, Portfolio, VolatilitySurface
+from pandas.tseries.offsets import BDay
+from analytics.scenarios import run_portfolio_scenarios, run_swaption_scenarios, run_index_scenarios
+
+class TestSenarios(unittest.TestCase):
+    option_delta = Index.from_tradeid(874)
+    option1 = BlackSwaption.from_tradeid(7, option_delta)
+    option2 = BlackSwaption.from_tradeid(8, option_delta)
+    portf = Portfolio([option1, option2, option_delta])
+    date_range = pd.bdate_range(option_delta.trade_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"""
+        vol_shock = np.arange(-0.15, 0.3, 0.01)
+        spread_shock = np.arange(-0.2, 0.3, 0.01)
+        vs = VolatilitySurface("IG", 28, trade_date=self.option_delta.trade_date)
+        vol_surface = vs[vs.list(model="black", source="BAML")[-1]]
+        df = run_portfolio_scenarios(self.portf, self.date_range,
+                                     spread_shock, vol_shock, vol_surface)
+        df = df.set_index(['spread', 'vol_shock'], append=True)
+
+        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)
+        df1 = df1.set_index(['spread', 'vol_shock'], append=True)
+        df2 = df2.set_index(['spread', 'vol_shock'], append=True)
+        df_index = df_index.set_index(['spread'], append=True)
+        df_swaptions = df1 + df2
+        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-df_orig).values))
+
+if __name__=="__main__":
+    unittest.main()