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import unittest
from quantlib.indexes.swap.usd_libor_swap import UsdLiborSwapIsdaFixAm
from quantlib.time.api import Date, Period, Years
from serenitas.analytics.yieldcurve import YC
class UsdLiborSwap(unittest.TestCase):
def test_creation(self):
yc = YC()
yc.extrapolation = True
USISDA30 = UsdLiborSwapIsdaFixAm(
Period(30, Years), forwarding=yc, discounting=yc
)
USISDA30.add_fixing(Date(25, 1, 2018), 0.02781)
USISDA02 = UsdLiborSwapIsdaFixAm(
Period(2, Years), forwarding=yc, discounting=yc
)
USISDA02.add_fixing(Date(25, 1, 2018), 0.02283)
USFS022 = USISDA02.underlying_swap(Date(27, 1, 2020))
USFS0230 = USISDA30.underlying_swap(Date(27, 1, 2020))
self.assertEqual(USFS022.fair_rate, USISDA02.fixing(Date(27, 1, 2020)))
self.assertEqual(USFS0230.fair_rate, USISDA30.fixing(Date(27, 1, 2020)))
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