diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/tests/test_cds.py | 34 |
1 files changed, 33 insertions, 1 deletions
diff --git a/python/tests/test_cds.py b/python/tests/test_cds.py index defafd64..264e1075 100644 --- a/python/tests/test_cds.py +++ b/python/tests/test_cds.py @@ -1,13 +1,17 @@ import unittest from pyisda.cdsone import upfront_charge +from pyisda.curve import SpreadCurve +from pyisda.legs import ContingentLeg, FeeLeg +from pyisda.date import roll_date import datetime +import numpy as np from quantlib.settings import Settings from quantlib.time.api import Date import sys sys.path.append('..') from analytics import Index -from yieldcurve import YC, ql_to_jp +from yieldcurve import YC, ql_to_jp, get_curve class TestUpfront(unittest.TestCase): index = Index.from_name("ig", 26, "5yr", @@ -44,5 +48,33 @@ class TestUpfront(unittest.TestCase): self.index.notional * self.index.risky_annuity * (self.index.fixed_rate - self.index.spread)*1e-4) +class TestSpreadCurve(unittest.TestCase): + + def test_upfront_curves(self): + upfront_curve = 1e-2 * np.array( + [-2.502394, -4.871879, -9.329793, -12.98734, -15.833254, + -17.622571, -20.505054, -24.314297]) + spread_curve = 1e-4 * np.array([500, 500, 500, 500, 500, 500, 500, 500]) + recovery_curve = np.full(8, 0.3) + + trade_date = datetime.date(2018, 6, 18) + step_in_date = datetime.date(2018, 6, 19) + cash_settle_date = datetime.date(2018, 6, 21) + + yc = get_curve(trade_date, "USD") + tenors = np.array((0.5, 1, 2, 3, 4, 5, 7, 10)) + sc = SpreadCurve(trade_date, yc, None, None, None, + tenors, spread_curve, upfront_curve, recovery_curve, ticker="AES") + maturities = [roll_date(trade_date, t) for t in tenors] + for m, upf in zip(maturities, upfront_curve): + pl = ContingentLeg(datetime.date(2017, 9, 20), m, 1) + cl = FeeLeg(datetime.date(2017, 9, 20), m, True, 1, 0.05) + a = pl.pv(trade_date, step_in_date, cash_settle_date, yc, sc, 0.3) + b = cl.pv(trade_date, step_in_date, cash_settle_date, yc, sc, True) + if m == datetime.date(2023, 6, 20): + print(a, b) + print(b /0.05) + self.assertAlmostEqual(a - b, upf) + if __name__=="__main__": unittest.main() |