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import unittest
import array
from pyisda.legs import ContingentLeg, FeeLeg
from pyisda.curve import SpreadCurve
from pickle import dumps, loads
import datetime
from pyisda.utils import build_yc
class TestPickle(unittest.TestCase):
trade_date = datetime.date(2016, 10, 6)
yc = build_yc(trade_date, ql_curve = True)
def assertListAlmostEqual(self, l1, l2):
if len(l1) != len(l2):
raise AssertionError
for a, b in zip(l1, l2):
self.assertAlmostEqual(a, b)
def test_yc(self):
orig_dfs = [self.yc.discount_factor(d) for d in self.yc.dates]
pickled_yc = loads(dumps(self.yc))
self.assertListAlmostEqual([pickled_yc.discount_factor(d) for d in pickled_yc.dates],
orig_dfs)
def test_legs(self):
start_date = datetime.date(2016, 3, 20)
end_date = datetime.date(2021, 12, 20)
step_in_date = datetime.date(2016, 10, 7)
value_date = datetime.date(2016, 10, 11)
cl = ContingentLeg(start_date, end_date, 1)
fl = FeeLeg(start_date, end_date, True, 1, 1)
sc = SpreadCurve(self.trade_date, self.yc, start_date,
step_in_date, value_date, [end_date], array.array('d', [75*1e-4]), 0.4)
sc_pickled = loads(dumps(sc))
self.assertListAlmostEqual([sc.survival_probability(d) for d in self.yc.dates],
[sc_pickled.survival_probability(d) for d in self.yc.dates])
cl_pickled = loads(dumps(cl))
fl_pickled = loads(dumps(fl))
self.assertEqual(cl_pickled.pv(self.trade_date, step_in_date, value_date, self.yc, sc, 0.4),
cl.pv(self.trade_date, step_in_date, value_date, self.yc, sc, 0.4))
self.assertEqual(fl.pv(self.trade_date, step_in_date, value_date, self.yc, sc, False),
fl_pickled.pv(self.trade_date, step_in_date, value_date, self.yc, sc, False))
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