diff options
Diffstat (limited to 'python/tests')
| -rw-r--r-- | python/tests/test_swaption.py | 22 |
1 files changed, 22 insertions, 0 deletions
diff --git a/python/tests/test_swaption.py b/python/tests/test_swaption.py index 84cbc6ba..b51e048b 100644 --- a/python/tests/test_swaption.py +++ b/python/tests/test_swaption.py @@ -103,5 +103,27 @@ class TestMoveForward(unittest.TestCase): self.assertAlmostEqual(trade.pv, trade2.pv) +class TestDifferentVersion(unittest.TestCase): + trade = BlackSwaption.from_tradeid(342) + + def test_build_from_scratch(self): + self.trade.value_date = datetime.date(2022, 10, 12) + index = CreditIndex( + redcode="2I65BRZG8", + maturity=datetime.date(2027, 6, 20), + notional=25_000_000, + value_date=datetime.date(2022, 10, 12), + ) + new_trade = BlackSwaption( + index, datetime.date(2022, 11, 16), 94.0, "payer", "Short" + ) + new_trade.notional = 25_000_000 + self.assertAlmostEqual(self.trade._G, new_trade._G) + self.assertAlmostEqual(self.trade._strike, new_trade._strike) + self.trade.mark() + new_trade.mark() + self.assertAlmostEqual(self.trade.pv, new_trade.pv) + + if __name__ == "__main__": unittest.main() |