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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 quantlib.settings import Settings
from quantlib.time.api import Date
import sys
sys.path.append('..')
from analytics import CreditIndex
from yieldcurve import YC, ql_to_jp, 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)
def test_cdsone(self):
Settings().evaluation_date = Date.from_datetime(self.index.value_date)
yc = YC()
jp_yc = ql_to_jp(yc)
fee_dirty = self.index.notional * (
upfront_charge(self.index.value_date, self.index._cash_settle_date,
self.index.start_date,
self.index._step_in_date, self.index.start_date,
self.index.end_date, self.index.fixed_rate*1e-4,
jp_yc, 70e-4, self.index.recovery,
False))
fee_clean = self.index.notional * (
upfront_charge(self.index.value_date, self.index._cash_settle_date,
self.index.start_date,
self.index._step_in_date, self.index.start_date,
self.index.end_date, self.index.fixed_rate*1e-4,
jp_yc, 70e-4, self.index.recovery,
True))
self.assertAlmostEqual(-fee_dirty, 685292.81, 2)
self.assertAlmostEqual(fee_clean, self.index.clean_pv)
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 test_upfront_curves(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)
trade_date = datetime.date(2018, 6, 18)
step_in_date = datetime.date(2018, 6, 19)
cash_settle_date = datetime.date(2018, 6, 21)
yc = get_curve(trade_date, "USD")
tenors = np.array((0.5, 1, 2, 3, 4, 5, 7, 10))
sc = SpreadCurve(trade_date, yc, None, None, None,
tenors, spread_curve, upfront_curve, recovery_curve, ticker="AES")
maturities = [roll_date(trade_date, t) for t in tenors]
for m, upf in zip(maturities, 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(trade_date, step_in_date, cash_settle_date, yc, sc, 0.3)
b = cl.pv(trade_date, step_in_date, cash_settle_date, yc, sc, True)
self.assertAlmostEqual(a - b, upf)
if __name__ == "__main__":
unittest.main()
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