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formatting changed, volatility test

switch-to-decimal
Gourav Kumar 2 years ago
parent
793d5b1ad7
commit
d757479cca
1 changed files with 74 additions and 13 deletions
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  1. 87
      tests/test_fincal.py

87
tests/test_fincal.py
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@ -13,7 +13,7 @@ THIS_DIR = os.path.dirname(os.path.abspath(__file__))
sample_data_path = os.path.join(THIS_DIR, "data")
def create_test_data(
def create_random_test_data(
frequency: str,
eomonth: bool,
n: int,
@ -55,6 +55,30 @@ def create_test_data(
return data
def create_organised_test_data() -> dict:
"""Creates organised test data so that output is exactly same in each run"""
all_dates, all_values = [], []
prev_date, prev_number = datetime.datetime(2018, 1, 1), 1000
for i in range(1, 1000):
if i % 5 == 0:
prev_date += datetime.timedelta(days=3)
else:
prev_date += datetime.timedelta(days=1)
all_dates.append(prev_date)
for i in range(1, 1000):
rem = i % 7
if rem % 2:
prev_number -= rem
else:
prev_number += rem
all_values.append(prev_number)
return dict(zip(all_dates, all_values))
class TestDateSeries:
def test_daily(self):
start_date = datetime.datetime(2020, 1, 1)
@ -119,7 +143,9 @@ class TestDateSeries:
class TestFincalBasic:
def test_creation(self):
data = create_test_data(frequency="D", eomonth=False, n=50, gaps=0, month_position="start", date_as_str=True)
data = create_random_test_data(
frequency="D", eomonth=False, n=50, gaps=0, month_position="start", date_as_str=True
)
time_series = TimeSeries(data, frequency="D")
assert len(time_series) == 50
assert isinstance(time_series.frequency, Frequency)
@ -128,12 +154,16 @@ class TestFincalBasic:
ffill_data = time_series.ffill()
assert len(ffill_data) == 50
data = create_test_data(frequency="D", eomonth=False, n=500, gaps=0.1, month_position="start", date_as_str=True)
data = create_random_test_data(
frequency="D", eomonth=False, n=500, gaps=0.1, month_position="start", date_as_str=True
)
time_series = TimeSeries(data, frequency="D")
assert len(time_series) == 450
def test_fill(self):
data = create_test_data(frequency="D", eomonth=False, n=500, gaps=0.1, month_position="start", date_as_str=True)
data = create_random_test_data(
frequency="D", eomonth=False, n=500, gaps=0.1, month_position="start", date_as_str=True
)
time_series = TimeSeries(data, frequency="D")
ffill_data = time_series.ffill()
assert len(ffill_data) >= 498
@ -142,7 +172,9 @@ class TestFincalBasic:
assert ffill_data is None
assert len(time_series) >= 498
data = create_test_data(frequency="D", eomonth=False, n=500, gaps=0.1, month_position="start", date_as_str=True)
data = create_random_test_data(
frequency="D", eomonth=False, n=500, gaps=0.1, month_position="start", date_as_str=True
)
time_series = TimeSeries(data, frequency="D")
bfill_data = time_series.bfill()
assert len(bfill_data) >= 498
@ -160,7 +192,9 @@ class TestFincalBasic:
assert bf["2021-01-03"][1] == 240
def test_iloc_slicing(self):
data = create_test_data(frequency="D", eomonth=False, n=50, gaps=0, month_position="start", date_as_str=True)
data = create_random_test_data(
frequency="D", eomonth=False, n=50, gaps=0, month_position="start", date_as_str=True
)
time_series = TimeSeries(data, frequency="D")
assert time_series.iloc[0] is not None
assert time_series.iloc[:3] is not None
@ -170,7 +204,9 @@ class TestFincalBasic:
assert len(time_series.iloc[10:20]) == 10
def test_key_slicing(self):
data = create_test_data(frequency="D", eomonth=False, n=50, gaps=0, month_position="start", date_as_str=True)
data = create_random_test_data(
frequency="D", eomonth=False, n=50, gaps=0, month_position="start", date_as_str=True
)
time_series = TimeSeries(data, frequency="D")
available_date = time_series.iloc[5][0]
assert time_series[available_date] is not None
@ -199,17 +235,29 @@ class TestReturns:
def test_returns_calc(self):
ts = TimeSeries(self.data, frequency="M")
returns = ts.calculate_returns("2021-01-01", annual_compounded_returns=False, interval_type="years", interval_value=1)
returns = ts.calculate_returns(
"2021-01-01", annual_compounded_returns=False, interval_type="years", interval_value=1
)
assert returns[1] == 2.4
returns = ts.calculate_returns("2020-04-01", annual_compounded_returns=False, interval_type="months", interval_value=3)
returns = ts.calculate_returns(
"2020-04-01", annual_compounded_returns=False, interval_type="months", interval_value=3
)
assert round(returns[1], 4) == 0.6
returns = ts.calculate_returns("2020-04-01", annual_compounded_returns=True, interval_type="months", interval_value=3)
returns = ts.calculate_returns(
"2020-04-01", annual_compounded_returns=True, interval_type="months", interval_value=3
)
assert round(returns[1], 4) == 5.5536
returns = ts.calculate_returns("2020-04-01", annual_compounded_returns=False, interval_type="days", interval_value=90)
returns = ts.calculate_returns(
"2020-04-01", annual_compounded_returns=False, interval_type="days", interval_value=90
)
assert round(returns[1], 4) == 0.6
returns = ts.calculate_returns("2020-04-01", annual_compounded_returns=True, interval_type="days", interval_value=90)
returns = ts.calculate_returns(
"2020-04-01", annual_compounded_returns=True, interval_type="days", interval_value=90
)
assert round(returns[1], 4) == 5.727
returns = ts.calculate_returns("2020-04-10", annual_compounded_returns=True, interval_type="days", interval_value=90)
returns = ts.calculate_returns(
"2020-04-10", annual_compounded_returns=True, interval_type="days", interval_value=90
)
assert round(returns[1], 4) == 5.727
with pytest.raises(DateNotFoundError):
ts.calculate_returns("2020-04-10", interval_type="days", interval_value=90, as_on_match="exact")
@ -239,3 +287,16 @@ class TestReturns:
FincalOptions.date_format = "%Y-%m-%d"
with pytest.raises(DateNotFoundError):
ts.calculate_returns("2020-04-25", interval_type="days", interval_value=90, closest_max_days=10)
class TestVolatility:
data = create_organised_test_data()
def test_volatility_basic(self):
ts = TimeSeries(self.data, frequency="D")
sd = ts.volatility()
assert len(ts) == 999
assert round(sd, 6) == 0.057391
sd = ts.volatility(annualize_volatility=False)
assert round(sd, 6) == 0.003004

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