1 files changed, 17 insertions, 33 deletions
diff --git a/python/tests/test_swaption.py b/python/tests/test_swaption.py
index 10c07249..46ba83b0 100644
--- a/python/tests/test_swaption.py
+++ b/python/tests/test_swaption.py
@@ -1,43 +1,27 @@
 import unittest
-from pyisda.cdsone import upfront_charge
-from pyisda.utils import build_yc
-from pyisda.flat_hazard import strike_vec
 import datetime
-import numpy as np
 
 import sys
 sys.path.append('..')
-from analytics import Index
-from analytics.option import g
+from analytics.index import g
+from analytics import Index, Swaption
 
-class TestStrike(unittest.TestCase):
-    index = Index.from_name("ig", 26, "5yr",
-                            trade_date = datetime.date(2016, 7, 1))
-    index.notional = 50e6
-    index.spread = 75
-    exercise_date = datetime.date(2016, 8, 19)
+class TestPutCallParity(unittest.TestCase):
+    index = Index.from_name("ig", 27, "5yr",
+                            trade_date = datetime.date(2016, 10, 25))
+    index.spread = 74
+    exercise_date = datetime.date(2016, 12, 21)
+    strike = 82.5
 
-    def test_strike(self):
-        """ check if strike price is the same as computing the pv
-        with the expected forward yield curve."""
-        strike = g(self.index, self.index.spread, self.exercise_date, False) * self.index.notional
-        old_yc = self.index._yc
-        self.index.trade_date = self.exercise_date
-        self.index._yc = old_yc.expected_forward_curve(self.exercise_date)
-        self.index.spread = 75
-        self.assertAlmostEqual(self.index.clean_pv, strike)
-
-    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)
-        self.index.notional = 1
-        self.index.spread = 70
-        self.assertAlmostEqual(self.index.clean_pv, r[0])
-        self.index.spread = 75
-        self.assertAlmostEqual(self.index.clean_pv, r[1])
+    def test_parity(self):
+        payer = Swaption(self.index, self.exercise_date, self.strike)
+        receiver = Swaption(self.index, self.exercise_date, self.strike, "receiver")
+        payer.sigma = 0.416
+        receiver.sigma = 0.416
+        df = self.index._yc.discount_factor(payer.exercise_date_settle)
+        self.assertAlmostEqual(payer.pv - receiver.pv,
+                               df * (self.index.forward_pv(self.exercise_date)/self.index.notional -
+                                     g(self.index, self.strike, self.exercise_date)))
 
 if __name__=="__main__":
     unittest.main()