1.0.7 Release Notes

1.0.7 Release

Release introduces several important bug fixes and enhancements as below.

• Important bug fixes applied to roll calculations
• Bug fix to the fast index pricer method.
• Enhancements to the unittests to ensure that a complete regression test can be more easily executed.
• Added enhanced Windows build scripts.

Testing 1.0.7

You can download and test release 1.0.7 using the simple step below.

$python -m venv test1
$cd test1
$Scripts\activate.bat
$cd test1
$pip install isda
python -m unittest discover -v -s  Lib\site-packages\isda\tests\

Should see example output below

test_buy_protection (TestCdsPricer.MyTestCase)
method to test buy protection single name CDS ... ok
test_sell_proptection_roll (TestCdsPricer.MyTestCase)
method to test sell protection single name CDS stressed clean roll pv ... ok
test_sell_protection (TestCdsPricer.MyTestCase)
method to test sell protection single name CDS ... ok
test_sell_protection_par_spread (TestCdsPricer.MyTestCase)
method to test sell protection single name CDS par spreads ... ok
test_buy_protection (TestCdsPricerExcludeInterestRateTenorDates.MyTestCase)
method to test buy protection single name CDS ... ok
test_roll (TestCdsPricerExcludeInterestRateTenorDates.MyTestCase) ... ok
test_sell_protection (TestCdsPricerExcludeInterestRateTenorDates.MyTestCase)
method to test sell protection single name CDS ... ok
test_sell_protection_index (TestCdsPricerIndex.MyTestCase)
method to specifically test performance to price an index cds with 125 names ... cob_date: 08/01/2018 pv_dirty: -2792.666875 pv_clean: -2797.527986 ai
cob_date: 08/01/2018 pv_dirty: -2792.666875 pv_clean: -2797.527986 ai: 4.861111 wall_time: 728.0 (ms)
cob_date: 08/01/2018 pv_dirty: -2792.666875 pv_clean: -2797.527986 ai: 4.861111 wall_time: 710.0 (ms)
cob_date: 08/01/2018 pv_dirty: -2792.666875 pv_clean: -2797.527986 ai: 4.861111 wall_time: 696.0 (ms)
cob_date: 08/01/2018 pv_dirty: -2792.666875 pv_clean: -2797.527986 ai: 4.861111 wall_time: 699.0 (ms)
cob_date: 08/01/2018 pv_dirty: -2792.666875 pv_clean: -2797.527986 ai: 4.861111 wall_time: 701.0 (ms)
cob_date: 08/01/2018 pv_dirty: -2792.666875 pv_clean: -2797.527986 ai: 4.861111 wall_time: 703.0 (ms)
cob_date: 08/01/2018 pv_dirty: -2792.666875 pv_clean: -2797.527986 ai: 4.861111 wall_time: 698.0 (ms)
cob_date: 08/01/2018 pv_dirty: -2792.666875 pv_clean: -2797.527986 ai: 4.861111 wall_time: 700.0 (ms)
cob_date: 08/01/2018 pv_dirty: -2792.666875 pv_clean: -2797.527986 ai: 4.861111 wall_time: 750.0 (ms)
cob_date: 08/01/2018 pv_dirty: -2792.666875 pv_clean: -2797.527986 ai: 4.861111 wall_time: 716.0 (ms)
cob_date: 08/01/2018 pv_dirty: -2792.666875 pv_clean: -2797.527986 ai: 4.861111 wall_time: 710.0 (ms)
cob_date: 08/01/2018 pv_dirty: -2792.666875 pv_clean: -2797.527986 ai: 4.861111 wall_time: 729.0 (ms)
cob_date: 08/01/2018 pv_dirty: -2792.666875 pv_clean: -2797.527986 ai: 4.861111 wall_time: 726.0 (ms)
cob_date: 08/01/2018 pv_dirty: -2792.666875 pv_clean: -2797.527986 ai: 4.861111 wall_time: 729.0 (ms)
cob_date: 08/01/2018 pv_dirty: -2792.666875 pv_clean: -2797.527986 ai: 4.861111 wall_time: 698.0 (ms)
cob_date: 08/01/2018 pv_dirty: -2792.666875 pv_clean: -2797.527986 ai: 4.861111 wall_time: 793.0 (ms)
cob_date: 08/01/2018 pv_dirty: -2792.666875 pv_clean: -2797.527986 ai: 4.861111 wall_time: 703.0 (ms)
cob_date: 08/01/2018 pv_dirty: -2792.666875 pv_clean: -2797.527986 ai: 4.861111 wall_time: 713.0 (ms)
cob_date: 08/01/2018 pv_dirty: -2792.666875 pv_clean: -2797.527986 ai: 4.861111 wall_time: 713.0 (ms)
average execution (717.05,)
ok
test_buy_protection (TestCdsPricerRR.MyTestCase) ... ok
test_roll (TestCdsPricerRR.MyTestCase) ... ok
test_sell_protection (TestCdsPricerRR.MyTestCase) ... ok
test_sell_protection_index (TestCdsPricerRR.MyTestCase)
method to specifically price an index cds ... ok
test_sell_protection_par_spread (TestCdsPricerRR.MyTestCase) ... ok
test_1day_roll_buy_protection_cds_shift (TestCdsPricerRoll.MyTestCase)
method to test roll simple 1 day clean roll pv ... ok
test_single_factor_shift (TestCdsPricerRoll.MyTestCase)
method to test roll and roll shocks ... ok
test_two_factor_shift (TestCdsPricerRoll.MyTestCase)
method to test roll and roll shocks generate a surface of pv change ... ok

----------------------------------------------------------------------
Ran 16 tests in 18.277s

OK