add basic example

1 files changed, 29 insertions, 0 deletions

diff --git a/example.py b/example.py
new file mode 100644
index 0000000..99d3bbe
--- /dev/null
+++ b/example.py
@@ -0,0 +1,29 @@
+from pyisda.zerocurve import ZeroCurve, BadDay
+import sys
+sys.path.append("/home/share/CorpCDOs/code/python")
+from yieldcurve import getMarkitIRData
+import datetime
+import array
+from pyisda.cdsone import upfront_charge, spread_from_upfront
+
+if __name__ == "__main__":
+    markit_data = getMarkitIRData()
+    date = datetime.date.today()
+    periods, rates = zip(*markit_data['deposits'])
+    periods = list(periods)
+    rates = list(rates)
+    periods_swaps, rates_swaps = zip(*markit_data['swaps'])
+    types = 'M' * len(periods) + 'S' * len(periods_swaps)
+    rates = array.array('d', rates)
+    periods.extend(periods_swaps)
+    rates.extend(rates_swaps)
+    zc = ZeroCurve(date, types, periods, rates, 'ACT/360', '6M',
+                   '3M', 'ACT/360', 'ACT/360', BadDay.MODIFIED)
+    upf = upfront_charge(date, date, date, datetime.date(2016, 6, 29),
+                         datetime.date(2016, 3, 21), datetime.date(2021, 6, 20),
+                         0.05, zc, 0.04368871, 0.3)
+    spread = spread_from_upfront(date, date, date, datetime.date(2016, 6, 29),
+                                 datetime.date(2016, 3, 21), datetime.date(2021, 6, 20),
+                                 0.05, zc, -0.02675, 0.3)
+    print(upf)
+    print(spread)