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import unittest
import datetime
import sys
sys.path.append('..')
from analytics.index import g
from analytics import Index, Swaption
class TestPutCallParity(unittest.TestCase):
index = Index.from_name("ig", 27, "5yr",
trade_date = datetime.date(2016, 10, 25))
index.spread = 74
exercise_date = datetime.date(2016, 12, 21)
strike = 82.5
def test_parity(self):
payer = Swaption(self.index, self.exercise_date, self.strike)
receiver = Swaption(self.index, self.exercise_date, self.strike, "receiver")
payer.sigma = 0.416
receiver.sigma = 0.416
df = self.index._yc.discount_factor(payer.exercise_date_settle)
self.assertAlmostEqual(payer.pv - receiver.pv,
df * (self.index.forward_pv(self.exercise_date)/self.index.notional -
g(self.index, self.strike, self.exercise_date)))
if __name__=="__main__":
unittest.main()
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