diff options
Diffstat (limited to 'python/tests/test_swaption.py')
| -rw-r--r-- | python/tests/test_swaption.py | 21 |
1 files changed, 11 insertions, 10 deletions
diff --git a/python/tests/test_swaption.py b/python/tests/test_swaption.py index c270dd2d..4faea8fe 100644 --- a/python/tests/test_swaption.py +++ b/python/tests/test_swaption.py @@ -4,11 +4,12 @@ import datetime import sys sys.path.append('..') from analytics.index import g -from analytics import Index, Swaption, BlackSwaption +from analytics import CreditIndex, Swaption, BlackSwaption + class TestPutCallParity(unittest.TestCase): - index = Index.from_name("ig", 27, "5yr", - value_date= datetime.date(2016, 10, 25)) + index = CreditIndex("ig", 27, "5yr", + value_date= datetime.date(2016, 10, 25)) index.spread = 74 exercise_date = datetime.date(2017, 3, 15) strike = 82.5 @@ -42,8 +43,8 @@ class TestPutCallParity(unittest.TestCase): self.assertAlmostEqual(payer.sigma, 0.37648716) def test_hy(self): - index = Index.from_name("hy", 27, "5yr", - value_date=datetime.date(2016, 11, 8)) + index = CreditIndex("hy", 27, "5yr", + value_date=datetime.date(2016, 11, 8)) index.price = 103.875 exercise_date = datetime.date(2017, 3, 15) strike = 102.5 @@ -54,13 +55,13 @@ class TestPutCallParity(unittest.TestCase): class TestBreakeven(unittest.TestCase): exercise_date = datetime.date(2017, 3, 15) - hyindex = Index.from_name("hy", 27, "5yr", - value_date=datetime.date(2016, 11, 16)) + hyindex = CreditIndex("hy", 27, "5yr", + value_date=datetime.date(2016, 11, 16)) hyindex.price = 103.75 hystrike = 102.5 - igindex = Index.from_name("ig", 27, "5yr", - value_date=datetime.date(2016, 11, 18)) + igindex = CreditIndex("ig", 27, "5yr", + value_date=datetime.date(2016, 11, 18)) igindex.spread = 76.5 igstrike = 80 @@ -90,5 +91,5 @@ class TestBreakeven(unittest.TestCase): receiver.notional = 1e7 self.assertAlmostEqual(receiver.breakeven, 73.715942707132982) -if __name__=="__main__": +if __name__ == "__main__": unittest.main() |