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import unittest
import datetime
from serenitas.analytics import DualCorrTranche, TrancheBasket
import numpy as np
import pickle
class TestPickle(unittest.TestCase):
bozeman = DualCorrTranche.from_tradeid(1037)
def test_pickle(self):
a = pickle.loads(pickle.dumps(self.bozeman))
self.assertTrue(hash(a) == hash(self.bozeman))
def test_pv(self):
self.assertAlmostEqual(self.bozeman.upfront, 0.0)
class TestTopDown(unittest.TestCase):
eu30 = TrancheBasket("EU", 30, "5yr", value_date=datetime.date(2019, 8, 15))
market_quotes = eu30._accrued + eu30.tranche_quotes.quotes
def test_invariant(self):
hy35 = TrancheBasket("HY", 35, "5yr", value_date=datetime.date(2020, 10, 5))
hy35.tweak()
hy35.build_skew()
self.assertAlmostEqual(
hy35.index_pv(clean=True).bond_price,
(hy35.tranche_pvs().bond_price * np.diff(hy35.K)).sum(),
)
def test_bottomup(self):
self.eu30.build_skew()
upfronts = 1 - self.eu30.tranche_pvs().bond_price
self.assertTrue(np.allclose(upfronts[:-1], self.market_quotes[:-1]))
def test_topdown(self):
self.eu30.build_skew("topdown")
upfronts = 1 - self.eu30.tranche_pvs(complement=True).bond_price
self.assertTrue(np.allclose(upfronts[1:], self.market_quotes[1:]))
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