import unittest
import datetime
import numpy as np

from pyisda.cdsone import upfront_charge
from pyisda.utils import build_yc
from pyisda.flat_hazard import strike_vec

from analytics import Index
from analytics.index import g

class TestStrike(unittest.TestCase):
    index = Index.from_name("ig", 26, "5yr",
                            trade_date = datetime.date(2016, 7, 1))
    index.notional = 50e6
    index.spread = 75
    exercise_date = datetime.date(2016, 8, 19)

    def test_strike(self):
        """strike price equals clean_pv using expected forward yield curve"""
        strike = g(self.index, self.index.spread, self.exercise_date, False) * self.index.notional
        old_yc = self.index._yc
        self.index.trade_date = self.exercise_date
        self.index._yc = old_yc.expected_forward_curve(self.exercise_date)
        self.index.spread = 75
        self.assertAlmostEqual(self.index.clean_pv, strike)

    def test_strike_vec(self):
        self.index.trade_date = datetime.date(2016, 8, 19)
        a, b = strike_vec(np.array([70, 75])*1e-4, self.index._yc, self.index.trade_date,
                          self.index._value_date, self.index.start_date, self.index.end_date,
                          self.index.recovery)
        r = (a - self.index.fixed_rate*1e-4 * b)
        self.index.notional = 1
        self.index.spread = 70
        self.assertAlmostEqual(self.index.clean_pv, r[0])
        self.index.spread = 75
        self.assertAlmostEqual(self.index.clean_pv, r[1])

    def test_forward_pv(self):
        """default adjusted forward price for trade_date equals clean pv """
        self.assertAlmostEqual(self.index.forward_pv(self.index.trade_date),
                               self.index.clean_pv)

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