import datetime import math import random from typing import List import fincal as fc import pytest from dateutil.relativedelta import relativedelta def conf_add(n1, n2): return n1 + n2 @pytest.fixture def conf_fun(): return conf_add def create_prices(s0: float, mu: float, sigma: float, num_prices: int) -> list: """Generates a price following a geometric brownian motion process based on the input of the arguments. Since this function is used only to generate data for tests, the seed is fixed as 1234. Many of the tests rely on exact values generated using this seed. If the seed is changed, those tests will fail. Parameters: ------------ s0: float Asset inital price. mu: float Interest rate expressed annual terms. sigma: float Volatility expressed annual terms. num_prices: int number of prices to generate Returns: -------- Returns a list of values generated using GBM algorithm """ random.seed(1234) # WARNING! Changing the seed will cause most tests to fail all_values = [] for _ in range(num_prices): s0 *= math.exp( (mu - 0.5 * sigma**2) * (1.0 / 365.0) + sigma * math.sqrt(1.0 / 365.0) * random.gauss(mu=0, sigma=1) ) all_values.append(round(s0, 2)) return all_values def sample_data_generator( frequency: fc.Frequency, num: int = 1000, skip_weekends: bool = False, mu: float = 0.1, sigma: float = 0.05, eomonth: bool = False, ) -> List[tuple]: """Creates TimeSeries data Parameters: ----------- frequency: Frequency The frequency of the time series data to be generated. num: int Number of date: value pairs to be generated. skip_weekends: bool Whether weekends (saturday, sunday) should be skipped. Gets used only if the frequency is daily. mu: float Mean return for the values. sigma: float standard deviation of the values. Returns: -------- Returns a TimeSeries object """ start_date = datetime.datetime(2017, 1, 1) timedelta_dict = { frequency.freq_type: int( frequency.value * num * (7 / 5 if frequency == fc.AllFrequencies.D and skip_weekends else 1) ) } end_date = start_date + relativedelta(**timedelta_dict) dates = fc.create_date_series(start_date, end_date, frequency.symbol, skip_weekends=skip_weekends, eomonth=eomonth) values = create_prices(1000, mu, sigma, num) ts = list(zip(dates, values)) return ts @pytest.fixture def create_test_data(): return sample_data_generator