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updated values to match with custom covariance function

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This commit is contained in:
Gourav Kumar 2022-06-25 13:19:26 +05:30
parent 8c159062f5
commit 56baf83a77
1 changed files with 4 additions and 4 deletions
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8
tests/test_stats.py
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@ -169,7 +169,7 @@ class TestBeta:
sts = pft.TimeSeries(stock_data, "D")
mts = pft.TimeSeries(market_data, "D")
beta = pft.beta(sts, mts, frequency="D", return_period_unit="days", return_period_value=1)
assert round(beta, 4) == 1.6001
assert round(beta, 4) == 1.5997
def test_beta_daily_freq_daily_returns(self, create_test_data):
market_data = create_test_data(num=3600, frequency=pft.AllFrequencies.D)
@ -177,7 +177,7 @@ class TestBeta:
sts = pft.TimeSeries(stock_data, "D")
mts = pft.TimeSeries(market_data, "D")
beta = pft.beta(sts, mts)
assert round(beta, 4) == 1.6292
assert round(beta, 4) == 1.6287
def test_beta_monthly_freq(self, create_test_data):
market_data = create_test_data(num=3600, frequency=pft.AllFrequencies.D)
@ -185,7 +185,7 @@ class TestBeta:
sts = pft.TimeSeries(stock_data, "D")
mts = pft.TimeSeries(market_data, "D")
beta = pft.beta(sts, mts, frequency="M")
assert round(beta, 4) == 1.629
assert round(beta, 4) == 1.6137
def test_beta_monthly_freq_monthly_returns(self, create_test_data):
market_data = create_test_data(num=3600, frequency=pft.AllFrequencies.D)
@ -193,4 +193,4 @@ class TestBeta:
sts = pft.TimeSeries(stock_data, "D")
mts = pft.TimeSeries(market_data, "D")
beta = pft.beta(sts, mts, frequency="M", return_period_unit="months", return_period_value=1)
assert round(beta, 4) == 1.6023
assert round(beta, 4) == 1.5887