diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/tests/test_upfront_cds.py | 13 |
1 files changed, 7 insertions, 6 deletions
diff --git a/python/tests/test_upfront_cds.py b/python/tests/test_upfront_cds.py index 1ad88ccd..6c6deae0 100644 --- a/python/tests/test_upfront_cds.py +++ b/python/tests/test_upfront_cds.py @@ -13,7 +13,7 @@ from quantlib.time.api import ( Schedule, DateGeneration, ) -from quantlib.instruments.api import CreditDefaultSwap, Side +from quantlib.instruments.api import CreditDefaultSwap, Protection from quantlib.pricingengines.credit.isda_cds_engine import ( IsdaCdsEngine, ForwardsInCouponPeriod, @@ -82,7 +82,7 @@ def snac_pv(spread, term_date, fixed_coupon=0.01, recovery=0.4, ts=YC()): DateGeneration.CDS, ) cds_trade = CreditDefaultSwap( - Side.Buyer, + Protection.Buyer, 100, fixed_coupon, cds_schedule, @@ -115,6 +115,7 @@ def jpmorgan_curves(trade_date, value_date, start_date, end_date, spread, recove if __name__ == "__main__": + breakpoint() settings = Settings() settings.evaluation_date = Date(21, 5, 2009) yield_helpers = rate_helpers() @@ -145,7 +146,7 @@ if __name__ == "__main__": DateGeneration.CDS, ) cds_trade = CreditDefaultSwap.from_upfront( - Side.Buyer, + Protection.Buyer, 10000000, 0.0, 0.01, @@ -166,7 +167,7 @@ if __name__ == "__main__": cds_trade.set_pricing_engine(isda_pricer) cds_trade2 = CreditDefaultSwap( - Side.BUYER, + Protection.Buyer, 10000000, spread, cds_schedule, @@ -184,11 +185,11 @@ if __name__ == "__main__": # hazard_rate = 0.12649393489974806 # cds_trade.set_pricing_engine(isda_pricer) - # cds_trade2 = CreditDefaultSwap.from_upfront(BUYER, 10000000, 0., 0.01, cds_schedule, + # cds_trade2 = CreditDefaultSwap.from_upfront(Buyer, 10000000, 0., 0.01, cds_schedule, # Following, Actual360(), # protection_start = Date.from_datetime(trade_date) + 1, # last_period_day_counter = Actual360(True)) - # cds_trade3 = CreditDefaultSwap(BUYER, 10000000, 0.05, cds_schedule, + # cds_trade3 = CreditDefaultSwap(Buyer, 10000000, 0.05, cds_schedule, # Following, Actual360(), # protection_start = Date.from_datetime(trade_date) + 1, # last_period_day_counter = Actual360(True)) |