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()