diff options
Diffstat (limited to 'python/tests')
| -rw-r--r-- | python/tests/test_upfront_cds.py | 20 |
1 files changed, 6 insertions, 14 deletions
diff --git a/python/tests/test_upfront_cds.py b/python/tests/test_upfront_cds.py index 66a2f122..ebc5cddb 100644 --- a/python/tests/test_upfront_cds.py +++ b/python/tests/test_upfront_cds.py @@ -11,7 +11,6 @@ from quantlib.time.api import ( Following, Unadjusted, Schedule, - pydate_from_qldate, Rule, ) from quantlib.instruments.api import CreditDefaultSwap, Side @@ -21,26 +20,19 @@ from quantlib.pricingengines.credit.isda_cds_engine import ( NumericalFix, AccrualBias, ) -from quantlib.termstructures.default_term_structure import ( - DefaultProbabilityTermStructure, -) from quantlib.termstructures.credit.api import ( - UpfrontCdsHelper, SpreadCdsHelper, PiecewiseDefaultCurve, FlatHazardRate, ) from quantlib.settings import Settings -from serenitas.analytics.yieldcurve import YC, rate_helpers, getMarkitIRData -import pandas as pd -from pyisda.curve import YieldCurve, SpreadCurve +from serenitas.analytics.yieldcurve import YC, rate_helpers +from pyisda.curve import SpreadCurve from pyisda.utils import build_yc -from pyisda.cdsone import upfront_charge from pyisda.legs import ContingentLeg, FeeLeg import datetime import array import math -import numpy as np def snac_pv(spread, term_date, fixed_coupon=0.01, recovery=0.4, ts=YC()): @@ -90,7 +82,7 @@ def snac_pv(spread, term_date, fixed_coupon=0.01, recovery=0.4, ts=YC()): Rule.CDS, ) cds_trade = CreditDefaultSwap( - BUYER, + Side.BUYER, 100, fixed_coupon, cds_schedule, @@ -150,10 +142,10 @@ if __name__ == "__main__": WeekendsOnly(), Following, Unadjusted, - CDS, + Rule.CDS, ) cds_trade = CreditDefaultSwap.from_upfront( - BUYER, + Side.BUYER, 10000000, 0.0, 0.01, @@ -174,7 +166,7 @@ if __name__ == "__main__": cds_trade.set_pricing_engine(isda_pricer) cds_trade2 = CreditDefaultSwap( - BUYER, + Side.BUYER, 10000000, spread, cds_schedule, |