def test_toDataFrameBig(self):
Input = CRIF.CrifUtil.read_csv(r'..\Testdatensatz1_CRIF.csv')
crifs = Crifs(Input)
crif = crifs.get(next(iter(crifs)))
imTree = StandardCalculation.calculate(crif)
df = imTree.toDataFrame()
imTree.printToCsv(r'..\ExampleTreeAsCsv.csv')
def test_sample_multiCrifImport(self):
csvLocation = 'test/UnitTest_CRIF.txt'
# Use the Crifs class to create a dictionary of crifs of different counterparties, directions and regulations:
crifs = Crifs(CRIF.CrifUtil.read_csv(csvLocation, sep='\t'))
# A Crifs object may be used as any other python Dictionary. The key is a concatenated String of the Form
# counterparty_direction_regulation and the values are the associated Crif Objects.
print('CRIFS: ' + str(crifs))
for crifkey, crif in crifs.items():
print('Selected CRIF: ' + str(crif))
asdf = 1
def test7(self):
Input = CrifUtil.read_csv(r'../Testdatensatz1_CRIF.csv')
crifs = Crifs(Input)
crif = crifs.values().__iter__().__next__()
leArray = crif.getAllScheduleNotionals()
value = leArray[0].getAmount().doubleValue()
self.assertEqual(value, 140002181.4934)
crif = crifs['CDS-10015292-18_collect_EMIR']
leArray = crif.getAllScheduleNotionals()
value = leArray[3].getAmountUSD().doubleValue()
self.assertEqual(value, 18000000)
def test8(self):
Input = CrifUtil.read_csv(r'../Testdatensatz1_CRIF.csv')
crifs = Crifs(Input)
crif = crifs['CDS-10015292-18_collect_EMIR']
leArray = crif.getAllSchedulePVs()
value = leArray[0].getAmountUSD().doubleValue()
self.assertEqual(value, 4831209.57108)
def test9(self):
Input = CrifUtil.read_csv(r'../Unittest_CRIF.txt', sep='\t')
crifs = Crifs(Input)
crif = crifs['testAN1_collect_EMIR']
notionals = crif.getAllAddonNotionals()
factors = crif.getAllAddOnNotionalFactors()
notionals = JavaArrayListToPythonList(notionals)
factors = JavaArrayListToPythonList(factors)
self.assertEqual(notionals[0].getNotional().doubleValue(), 10000000.0)
self.assertEqual(factors[0].getFactor().doubleValue(), 6.105)
def test_bumpSchedulePVs(self):
eps = 0.1
Input = CRIF.CrifUtil.read_csv(r'..\ScheduleTestSet.csv', sep=',')
crifs = Crifs(Input)
crif = crifs['Contract_1_collect_EMIR']
bumpedCrif = BumpedCrif(crif, 'trd1', eps)
origSchedulePVs = crif.getAllSchedulePVs()
schedulePVs = bumpedCrif.getAllSchedulePVs()
self.assertEqual(origSchedulePVs[0].getAmountUSD().doubleValue(), 2200)
self.assertEqual(origSchedulePVs[1].getAmount().doubleValue(), -4000)
self.assertEqual(schedulePVs[0].getAmountUSD().doubleValue(), 2420)
self.assertEqual(schedulePVs[1].getAmount().doubleValue(), -4000)
def test_bumpAddOnNotional(self):
eps = 0.1
tradeId = 'AN3'
Input = CRIF.CrifUtil.read_csv(r'..\Unittest_CRIF.txt', sep='\t')
crifs = Crifs(Input)
crif = crifs['testAN1_collect_EMIR']
bumpedCrif = BumpedCrif(crif, tradeId, eps)
notionals = bumpedCrif.getAllAddonNotionals()
notionals = JavaArrayListToPythonList(notionals)
origNotionals = crif.getAllAddonNotionals()
origNotionals = JavaArrayListToPythonList(origNotionals)
self.assertEqual(notionals[0].getNotionalUsd().doubleValue(), 11000000)
self.assertEqual(origNotionals[0].getNotionalUsd().doubleValue(),
10000000)
def test1(self):
Input = CrifUtil.read_csv(r'../Testdatensatz1_CRIF.csv')
crifs = Crifs(Input)
self.assertEqual('CDS-10005292-18_collect_EMIR', crifs.keys().__iter__().__next__())
def test2(self):
Input = CrifUtil.read_csv(r'../Testdatensatz1_CRIF.csv')
crifs = Crifs(Input)
self.assertEqual(crifs.__len__(), 8)
def test_ScheduleOnly(self):
df = CRIF.CrifUtil.read_csv('../ScheduleTestSet.csv')
crif = Crifs(df)['Contract_1_collect_EMIR']
imTree = StandardCalculation.calculate(crif)
self.assertEqual(round(imTree.get_node(0).data.ExposureAmount,0), 50400)
def testNettingsAsExpectedPv(self):
crifs = Crifs(CRIF.CrifUtil.read_csv('..\ScheduleTestSet.csv'))
crif = crifs['NettingsAsExpectedPv_collect_EMIR']
imTree = StandardCalculation.calculate(crif)
self.assertEqual(10, imTree.getMargin())
def testNettingAndAbsoluteNotional(self):
crifs = Crifs(CRIF.CrifUtil.read_csv('..\ScheduleTestSet.csv'))
crif = crifs['NettingAndAbsoluteNotional_collect_EMIR']
imTree = StandardCalculation.calculate(crif)
self.assertAlmostEquals(8, imTree.getMargin(), places=5)