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import unittest
from pyisda.cdsone import upfront_charge
from pyisda.utils import build_yc
import datetime
import sys
sys.path.append('..')
from swaption import Index
class TestUpfront(unittest.TestCase):
index = Index.from_name("ig", 26, "5yr",
trade_date = datetime.date(2016, 9, 21))
index.notional = 50e6
index.spread = 70
yc = build_yc(index.trade_date, True)
def test_upfront(self):
self.assertAlmostEqual(-self.index.pv, 685292.81, 2)
def test_cdsone(self):
fee_dirty = self.index.notional * (
upfront_charge(self.index.trade_date, self.index._value_date,
self.index.start_date,
self.index._step_in_date, self.index.start_date,
self.index.end_date, self.index.fixed_rate,
self.index._yc, 70e-4, self.index.recovery,
False))
fee_clean = self.index.notional * (
upfront_charge(self.index.trade_date, self.index._value_date,
self.index.start_date,
self.index._step_in_date, self.index.start_date,
self.index.end_date, self.index.fixed_rate,
self.index._yc, 70e-4, self.index.recovery,
True))
self.assertAlmostEqual(-fee_dirty, 685292.81, 2)
self.assertAlmostEqual(fee_clean, self.index.clean_pv)
if __name__=="__main__":
unittest.main()
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