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import unittest
import datetime
import numpy as np
from pyisda.cdsone import upfront_charge
from pyisda.utils import build_yc
from pyisda.flat_hazard import strike_vec
from analytics import Index
from analytics.index import g
class TestStrike(unittest.TestCase):
index = Index.from_name("ig", 26, "5yr",
trade_date = datetime.date(2016, 7, 1))
index.notional = 50e6
index.spread = 75
exercise_date = datetime.date(2016, 8, 19)
def test_strike(self):
"""strike price equals clean_pv using expected forward yield curve"""
strike = g(self.index, self.index.spread, self.exercise_date, False) * self.index.notional
old_yc = self.index._yc
self.index.trade_date = self.exercise_date
self.index._yc = old_yc.expected_forward_curve(self.exercise_date)
self.index.spread = 75
self.assertAlmostEqual(self.index.clean_pv, strike)
def test_strike_vec(self):
self.index.trade_date = datetime.date(2016, 8, 19)
a, b = strike_vec(np.array([70, 75])*1e-4, self.index._yc, self.index.trade_date,
self.index._value_date, self.index.start_date, self.index.end_date,
self.index.recovery)
r = (a - self.index.fixed_rate*1e-4 * b)
self.index.notional = 1
self.index.spread = 70
self.assertAlmostEqual(self.index.clean_pv, r[0])
self.index.spread = 75
self.assertAlmostEqual(self.index.clean_pv, r[1])
def test_forward_pv(self):
"""default adjusted forward price for trade_date equals clean pv """
self.assertAlmostEqual(self.index.forward_pv(self.index.trade_date),
self.index.clean_pv)
if __name__=="__main__":
unittest.main()
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