import unittest
import datetime

import sys
sys.path.append('..')
from analytics.index import g
from analytics import Index, Swaption

class TestPutCallParity(unittest.TestCase):
    index = Index.from_name("ig", 27, "5yr",
                            trade_date = datetime.date(2016, 10, 25))
    index.spread = 74
    exercise_date = datetime.date(2017, 3, 15)
    strike = 82.5

    def test_parity(self):
        payer = Swaption(self.index, self.exercise_date, self.strike)
        receiver = Swaption(self.index, self.exercise_date, self.strike, "receiver")
        payer.sigma = 0.416
        receiver.sigma = 0.416
        df = self.index._yc.discount_factor(payer.exercise_date_settle)
        self.assertAlmostEqual(payer.pv - receiver.pv,
                               df * (payer.forward_pv -
                                     g(self.index, self.strike, self.exercise_date, payer._forward_yc)))

    def test_parity_pvblack(self):
        payer = Swaption(self.index, self.exercise_date, self.strike)
        receiver = Swaption(self.index, self.exercise_date, self.strike, "receiver")
        payer.sigma = 0.416
        receiver.sigma = 0.416
        df = self.index._yc.discount_factor(payer.exercise_date_settle)
        self.assertAlmostEqual(payer.pv_black - receiver.pv_black,
                               df * (payer.forward_pv -
                                     g(self.index, self.strike, self.exercise_date, payer._forward_yc)))

    def test_calibration(self):
        payer = Swaption(self.index, self.exercise_date, self.strike)
        payer.sigma = 0.2
        pv = 30 * 1e-4
        payer.pv = pv
        self.assertAlmostEqual(payer.pv, payer.pv)
        self.assertAlmostEqual(payer.sigma, 0.3756828)

    def test_hy(self):
        index = Index.from_name("hy", 27, "5yr",
                                trade_date = datetime.date(2016, 11, 8))
        index.price = 103.875
        exercise_date = datetime.date(2017, 3, 15)
        strike = 102.5
        payer = Swaption(index, exercise_date, strike, strike_is_price = True)
        payer.pv = 1.948 * 1e-2
        self.assertAlmostEqual(payer.sigma, 0.4144886488)

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