import unittest
from pyisda.cdsone import upfront_charge
import datetime
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

class TestUpfront(unittest.TestCase):
    index = Index.from_name("ig", 26, "5yr",
                            value_date=datetime.date(2016, 9, 21))
    index.notional = 50e6
    index.spread = 70

    def test_upfront(self):
        self.assertAlmostEqual(-self.index.pv, 685292.81, 2)

    def test_cdsone(self):
        Settings().evaluation_date = Date.from_datetime(self.index.value_date)
        yc = YC()
        jp_yc = ql_to_jp(yc)
        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))
        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))
        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)

if __name__=="__main__":
    unittest.main()