1 files changed, 42 insertions, 0 deletions
diff --git a/python/tests/test_swaption.py b/python/tests/test_swaption.py
new file mode 100644
index 00000000..1ff2f5ec
--- /dev/null
+++ b/python/tests/test_swaption.py
@@ -0,0 +1,42 @@
+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 swaption import Index, g
+
+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)
+
+    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)
+        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])
+
+if __name__=="__main__":
+    unittest.main()