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(2016, 12, 21)
    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 * (self.index.forward_pv(self.exercise_date)/self.index.notional -
                                     g(self.index, self.strike, self.exercise_date)))

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