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import datetime
from serenitas.analytics.ir_swap import SofrSwap
import unittest
class TestOISSofrSwap(unittest.TestCase):
def test_creation(self):
trade = SofrSwap(
"5y",
fixed_rate=0.025926,
value_date=datetime.date(2022, 4, 26),
notional=25_000_000,
)
self.assertAlmostEqual(trade.pv, -83761.318, 5)
trade2 = SofrSwap(
"5y",
fixed_rate=trade.fair_rate,
value_date=datetime.date(2022, 4, 26),
notional=25_000_000,
)
self.assertAlmostEqual(trade2.pv, 0.0)
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