1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
|
import unittest
from pyisda.cdsone import upfront_charge
import datetime
from quantlib.settings import Settings
from quantlib.time.api import Date
import sys
sys.path.append('..')
from analytics import Index
from yieldcurve import YC, ql_to_jp
class TestUpfront(unittest.TestCase):
index = Index.from_name("ig", 26, "5yr",
trade_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 = Settings()
settings.evaluation_date = Date.from_datetime(self.index.trade_date)
yc = YC()
jp_yc = ql_to_jp(yc)
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*1e-4,
jp_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*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)
if __name__=="__main__":
unittest.main()
|
