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import unittest
import datetime
from serenitas.analytics.index import CreditIndex, ForwardIndex
from serenitas.analytics.basket_index import BasketIndex
from serenitas.analytics.index import g
from serenitas.utils.db import dbconn
import pickle
class TestPickle(unittest.TestCase):
index = CreditIndex("ig", 26, "5yr", value_date=datetime.date(2016, 7, 1))
index.notional = 50e6
index.spread = 75
def test_pickle(self):
a = pickle.loads(pickle.dumps(self.index))
self.assertTrue(hash(a) == hash(self.index))
def test_pickle_basket(self):
a = BasketIndex("IG", 31, ["5yr"], value_date=datetime.date(2019, 2, 19))
self.assertTrue(hash(pickle.loads(pickle.dumps(a))), hash(a))
def test_from_tradeid(self):
ig28 = CreditIndex.from_tradeid(874)
self.assertTrue(ig28.spread, 68.0)
class TestStrike(unittest.TestCase):
index = CreditIndex("ig", 26, "5yr", value_date=datetime.date(2016, 7, 1))
index.notional = 50_000_000.0
index.spread = 75
exercise_date = datetime.date(2016, 8, 19)
def test_pv(self):
self.assertAlmostEqual(
self.index.clean_pv,
g(self.index, self.index.spread, self.index.value_date)
* self.index.notional,
)
def test_strike(self):
"""strike price equals clean_pv using expected forward yield curve"""
strike = (
g(self.index, self.index.spread, self.exercise_date) * self.index.notional
)
old_yc = self.index._yc
self.index.value_date = self.exercise_date
self.index._yc = old_yc.expected_forward_curve(self.exercise_date)
self.index._update_spread_curve()
self.index._update_pvs()
self.assertAlmostEqual(self.index.clean_pv, strike)
def test_price_setting(self):
self.index.price = self.index.price
self.assertAlmostEqual(self.index.spread, 75)
def test_pv_setting(self):
self.index.pv = self.index.pv
self.assertAlmostEqual(self.index.spread, 75)
self.index.direction = "Seller"
self.index.pv = self.index.pv
self.assertAlmostEqual(self.index.spread, 75)
class TestForwardIndex(unittest.TestCase):
index = CreditIndex("ig", 26, "5yr", value_date=datetime.date(2016, 7, 1))
index.notional = 50_000_000.0
index.spread = 75
exercise_date = datetime.date(2016, 8, 19)
fi = ForwardIndex(index, exercise_date)
def test_forward_annuity(self):
"""default adjusted forward spread and forward annuity match"""
# TODO: check what's going on
self.assertAlmostEqual(
self.fi.forward_pv,
self.fi.forward_annuity
* (self.fi.forward_spread - self.fi.index.fixed_rate)
* 1e-4,
4,
)
def test_forward_pv(self):
"""default adjusted forward price for trade_date equals clean pv"""
fi = ForwardIndex(self.index, self.index.value_date)
self.assertAlmostEqual(fi.forward_pv, self.index.clean_pv / self.index.notional)
class TestIndexTrade(unittest.TestCase):
def test_traded_level(self):
trade = CreditIndex.from_tradeid(3436)
with trade._trade_conn.cursor() as c:
c.execute("SELECT traded_level FROM cds WHERE id=%s", (3436,))
(spread,) = c.fetchone()
self.assertAlmostEqual(trade.spread, float(spread), 4)
def test_sofr_trade(self):
trade = CreditIndex.from_tradeid(3672)
with trade._trade_conn.cursor() as c:
c.execute("SELECT traded_level FROM cds WHERE id=%s", (3672,))
(spread,) = c.fetchone()
self.assertAlmostEqual(trade.spread, float(spread), 4)
if __name__ == "__main__":
unittest.main()
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