1 files changed, 41 insertions, 0 deletions
diff --git a/python/tests/test_cds.py b/python/tests/test_cds.py
new file mode 100644
index 00000000..f2cef225
--- /dev/null
+++ b/python/tests/test_cds.py
@@ -0,0 +1,41 @@
+import unittest
+from pyisda.cdsone import upfront_charge
+from pyisda.utils import build_yc
+import datetime
+
+import sys
+sys.path.append('..')
+from swaption import Index
+
+class TestUpfront(unittest.TestCase):
+    index = Index.from_name("ig", 26, "5yr",
+                            trade_date = datetime.date(2016, 9, 21))
+    index.notional = 50e6
+    index.spread = 70
+    yc = build_yc(index.trade_date, True)
+
+    def test_upfront(self):
+        self.assertAlmostEqual(-self.index.pv, 685292.81, 2)
+
+    def test_cdsone(self):
+
+        fee_dirty = self.index.notional * (
+            upfront_charge(self.index.trade_date, self.index._value_date,
+                           self.index.start_date,
+                           self.index._step_in_date, self.index.start_date,
+                           self.index.end_date, self.index.fixed_rate,
+                           self.index._yc, 70e-4, self.index.recovery,
+                           False))
+        fee_clean = self.index.notional * (
+            upfront_charge(self.index.trade_date, self.index._value_date,
+                           self.index.start_date,
+                           self.index._step_in_date, self.index.start_date,
+                           self.index.end_date, self.index.fixed_rate,
+                           self.index._yc, 70e-4, self.index.recovery,
+                           True))
+        self.assertAlmostEqual(-fee_dirty, 685292.81, 2)
+        self.assertAlmostEqual(fee_clean, self.index.clean_pv)
+
+
+if __name__=="__main__":
+    unittest.main()