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from pyisda.curve import ZeroCurve, BadDay, SpreadCurve
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
from pyisda.legs import FeeLeg, ContingentLeg
if __name__ == "__main__":
# build zero coupon curve
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)
start_date = datetime.date(2016, 3, 21)
end_date = datetime.date(2021, 6, 20)
upfront_quote = -0.03063
spread = spread_from_upfront(date, date, date, date+datetime.timedelta(days=1),
start_date, end_date, 0.05, zc,
upfront_quote, 0.3)
upf = upfront_charge(date, date, date, date+datetime.timedelta(days=1),
start_date, end_date, 0.05, zc, spread, 0.3)
print(spread)
print(upf-upfront_quote)
coupon_leg = FeeLeg(start_date, end_date, True, 1000000, 0.05)
spread = array.array('d', [0.007725])
print("pomme")
step_in_date = date + datetime.timedelta(days=1)
sc = SpreadCurve(date, zc, start_date, step_in_date,
datetime.date(2016, 7, 6),
[end_date], spread, 0.4, 1)
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