diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/tests/test_cds.py | 105 |
1 files changed, 80 insertions, 25 deletions
diff --git a/python/tests/test_cds.py b/python/tests/test_cds.py index a01fbe16..bdaf6db6 100644 --- a/python/tests/test_cds.py +++ b/python/tests/test_cds.py @@ -9,13 +9,14 @@ from quantlib.settings import Settings from quantlib.time.api import Date import sys -sys.path.append('..') + +sys.path.append("..") from analytics import CreditIndex from yieldcurve import YC, ql_to_jp, get_curve + class TestUpfront(unittest.TestCase): - index = CreditIndex("ig", 26, "5yr", - value_date=datetime.date(2016, 9, 21)) + index = CreditIndex("ig", 26, "5yr", value_date=datetime.date(2016, 9, 21)) index.notional = 50e6 index.spread = 70 @@ -25,33 +26,62 @@ class TestUpfront(unittest.TestCase): def test_cdsone(self): jp_yc = get_curve(self.index.value_date) fee_dirty = self.index.notional * ( - upfront_charge(self.index.value_date, self.index._cash_settle_date, - self.index.start_date, - self.index._step_in_date, self.index.start_date, - self.index.end_date, self.index.fixed_rate*1e-4, - jp_yc, 70e-4, self.index.recovery, - False)) + upfront_charge( + self.index.value_date, + self.index._cash_settle_date, + self.index.start_date, + self.index._step_in_date, + self.index.start_date, + self.index.end_date, + self.index.fixed_rate * 1e-4, + jp_yc, + 70e-4, + self.index.recovery, + False, + ) + ) fee_clean = self.index.notional * ( - upfront_charge(self.index.value_date, self.index._cash_settle_date, - self.index.start_date, - self.index._step_in_date, self.index.start_date, - self.index.end_date, self.index.fixed_rate*1e-4, - jp_yc, 70e-4, self.index.recovery, - True)) + upfront_charge( + self.index.value_date, + self.index._cash_settle_date, + self.index.start_date, + self.index._step_in_date, + self.index.start_date, + self.index.end_date, + self.index.fixed_rate * 1e-4, + jp_yc, + 70e-4, + self.index.recovery, + True, + ) + ) self.assertAlmostEqual(-fee_dirty, 685292.81, 2) self.assertAlmostEqual(fee_clean, self.index.clean_pv) def test_annuity(self): - self.assertAlmostEqual(-self.index.clean_pv, - self.index.notional * self.index.risky_annuity * - (self.index.fixed_rate - self.index.spread)*1e-4) + self.assertAlmostEqual( + -self.index.clean_pv, + self.index.notional + * self.index.risky_annuity + * (self.index.fixed_rate - self.index.spread) + * 1e-4, + ) -class TestSpreadCurve(unittest.TestCase): +class TestSpreadCurve(unittest.TestCase): def setUp(self): self.upfront_curve = 1e-2 * np.array( - [-2.502394, -4.871879, -9.329793, -12.98734, -15.833254, - -17.622571, -20.505054, -24.314297]) + [ + -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) @@ -61,8 +91,18 @@ class TestSpreadCurve(unittest.TestCase): self.yc = get_curve(self.trade_date, "USD") self.tenors = np.array((0.5, 1, 2, 3, 4, 5, 7, 10)) - self.sc = SpreadCurve(self.trade_date, self.yc, None, None, None, - self.tenors, spread_curve, self.upfront_curve, recovery_curve, ticker="AES") + self.sc = SpreadCurve( + self.trade_date, + self.yc, + None, + None, + None, + self.tenors, + spread_curve, + self.upfront_curve, + recovery_curve, + ticker="AES", + ) def test_upfront_curves(self): @@ -70,8 +110,22 @@ class TestSpreadCurve(unittest.TestCase): for m, upf in zip(maturities, self.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(self.trade_date, self.step_in_date, self.cash_settle_date, self.yc, self.sc, 0.3) - b = cl.pv(self.trade_date, self.step_in_date, self.cash_settle_date, self.yc, self.sc, True) + a = pl.pv( + self.trade_date, + self.step_in_date, + self.cash_settle_date, + self.yc, + self.sc, + 0.3, + ) + b = cl.pv( + self.trade_date, + self.step_in_date, + self.cash_settle_date, + self.yc, + self.sc, + True, + ) self.assertAlmostEqual(a - b, upf) def test_roundtrip(self): @@ -82,5 +136,6 @@ class TestSpreadCurve(unittest.TestCase): self.assertEqual(sc_copy.inspect(), self.sc.inspect()) self.assertEqual(sc_copy.full_ticker, self.sc.full_ticker) + if __name__ == "__main__": unittest.main() |