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import unittest
from pyisda.cdsone import upfront_charge
from pyisda.curve import SpreadCurve
from pyisda.legs import ContingentLeg, FeeLeg
from pyisda.date import roll_date
import datetime
import numpy as np
from serenitas.analytics import CreditIndex
from serenitas.analytics.yieldcurve import get_curve
class TestUpfront(unittest.TestCase):
index = CreditIndex("ig", 26, "5yr", value_date=datetime.date(2016, 9, 21))
index.notional = 50e6
index.spread = 70
def test_upfront(self):
self.assertAlmostEqual(-self.index.pv, 685292.81, 2)
@staticmethod
def aux(index, yc, clean):
"""computes upfront fee from index using upfront_charge of pyisda"""
return index.notional * (
upfront_charge(
index.value_date,
index._cash_settle_date,
index.start_date,
index._step_in_date,
index.start_date,
index.end_date,
index.fixed_rate * 1e-4,
yc,
index.spread * 1e-4,
index.recovery,
clean,
)
)
def test_cdsone(self):
jp_yc = get_curve(self.index.value_date, "USD")
fee_dirty = self.aux(self.index, jp_yc, False)
fee_clean = self.aux(self.index, jp_yc, True)
self.assertAlmostEqual(-fee_dirty, 685292.81, 2)
self.assertAlmostEqual(fee_clean, self.index.clean_pv)
def test_ois(self):
index = CreditIndex("HY", 37, "5yr", value_date=datetime.date(2022, 2, 4))
index.notional = 100_000_000
index.spread = 1000
yc_ois = get_curve(index.value_date, "USD", True)
yc = get_curve(index.value_date, "USD")
fee_clean_ois = self.aux(index, yc_ois, True)
fee_clean = self.aux(index, yc, True)
self.assertAlmostEqual(17154197.82, fee_clean, 2) # bloomberg curve 260
self.assertAlmostEqual(17229522.44, fee_clean_ois, 2) # bloomberg curve 531
def test_annuity(self):
self.assertAlmostEqual(
-self.index.clean_pv,
self.index.notional
* self.index.risky_annuity
* (self.index.fixed_rate - self.index.spread)
* 1e-4,
)
class TestSpreadCurve(unittest.TestCase):
def setUp(self):
self.upfront_curve = 1e-2 * np.array(
[
-2.502394,
-4.871879,
-9.329793,
-12.98734,
-15.833254,
-17.622571,
-20.505054,
-24.314297,
]
)
spread_curve = 1e-4 * np.array([500, 500, 500, 500, 500, 500, 500, 500])
recovery_curve = np.full(8, 0.3)
self.trade_date = datetime.date(2018, 6, 18)
self.step_in_date = datetime.date(2018, 6, 19)
self.cash_settle_date = datetime.date(2018, 6, 21)
self.yc = get_curve(self.trade_date, "USD")
self.tenors = np.array((0.5, 1, 2, 3, 4, 5, 7, 10))
self.sc = SpreadCurve(
self.trade_date,
self.yc,
None,
None,
None,
self.tenors,
spread_curve,
self.upfront_curve,
recovery_curve,
ticker="AES",
)
def test_upfront_curves(self):
maturities = [roll_date(self.trade_date, t) for t in self.tenors]
for m, upf in zip(maturities, self.upfront_curve):
pl = ContingentLeg(datetime.date(2017, 9, 20), m, 1)
cl = FeeLeg(datetime.date(2017, 9, 20), m, True, 1, 0.05)
a = pl.pv(
self.trade_date,
self.step_in_date,
self.cash_settle_date,
self.yc,
self.sc,
0.3,
)
b = cl.pv(
self.trade_date,
self.step_in_date,
self.cash_settle_date,
self.yc,
self.sc,
True,
)
self.assertAlmostEqual(a - b, upf)
def test_roundtrip(self):
sc_copy = SpreadCurve.from_bytes(self.sc.as_buffer(True), True)
self.assertEqual(sc_copy.inspect(), self.sc.inspect())
self.assertEqual(sc_copy.full_ticker, self.sc.full_ticker)
sc_copy = SpreadCurve.from_bytes(self.sc.as_buffer(False), False)
self.assertEqual(sc_copy.inspect(), self.sc.inspect())
self.assertEqual(sc_copy.full_ticker, self.sc.full_ticker)
if __name__ == "__main__":
unittest.main()
|
