import unittest
import datetime
import numpy as np

from pyisda.cdsone import upfront_charge
from pyisda.flat_hazard import pv_vec

from analytics import Index, ForwardIndex
from analytics.index import g
import pickle

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

    def test_pickle(self):
        a = pickle.loads(pickle.dumps(self.index))
        self.assertTrue(hash(a) == hash(self.index))

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_pv(self):
        self.assertAlmostEqual(self.index.clean_pv,
                               g(self.index, self.index.spread, self.index.trade_date) *
                               self.index.notional)

    def test_strike(self):
        """strike price equals clean_pv using expected forward yield curve"""
        strike = g(self.index, self.index.spread, self.exercise_date) * 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._update()
        self.assertAlmostEqual(self.index.clean_pv, strike)

    def test_strike_vec(self):
        self.index.trade_date = datetime.date(2016, 8, 19)
        r = pv_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, self.index.fixed_rate * 1e-4)
        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_price_setting(self):
        self.index.price = self.index.price
        self.assertAlmostEqual(self.index.spread, 75)

class TestForwardIndex(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)
    fi = ForwardIndex(index, exercise_date)

    def test_forward_pv(self):
        """default adjusted forward spread and forward annuity match"""
        self.assertAlmostEqual(self.fi.forward_pv,
                               self.fi.forward_annuity *
                               (self.fi.index.fixed_rate - self.forward_spread) * 1e-4)

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

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