diff options
Diffstat (limited to 'python/tests/test_upfront_cds.py')
| -rw-r--r-- | python/tests/test_upfront_cds.py | 12 |
1 files changed, 6 insertions, 6 deletions
diff --git a/python/tests/test_upfront_cds.py b/python/tests/test_upfront_cds.py index ebc5cddb..1ad88ccd 100644 --- a/python/tests/test_upfront_cds.py +++ b/python/tests/test_upfront_cds.py @@ -11,7 +11,7 @@ from quantlib.time.api import ( Following, Unadjusted, Schedule, - Rule, + DateGeneration, ) from quantlib.instruments.api import CreditDefaultSwap, Side from quantlib.pricingengines.credit.isda_cds_engine import ( @@ -45,7 +45,7 @@ def snac_pv(spread, term_date, fixed_coupon=0.01, recovery=0.4, ts=YC()): calendar, Quarterly, Following, - Rule.CDS, + DateGeneration.CDS, Actual360(), recovery, ts, @@ -79,10 +79,10 @@ def snac_pv(spread, term_date, fixed_coupon=0.01, recovery=0.4, ts=YC()): calendar, Following, Unadjusted, - Rule.CDS, + DateGeneration.CDS, ) cds_trade = CreditDefaultSwap( - Side.BUYER, + Side.Buyer, 100, fixed_coupon, cds_schedule, @@ -142,10 +142,10 @@ if __name__ == "__main__": WeekendsOnly(), Following, Unadjusted, - Rule.CDS, + DateGeneration.CDS, ) cds_trade = CreditDefaultSwap.from_upfront( - Side.BUYER, + Side.Buyer, 10000000, 0.0, 0.01, |