180 lines
6.5 KiB
Python
180 lines
6.5 KiB
Python
import datetime
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import math
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import random
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import pytest
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from dateutil.relativedelta import relativedelta
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from fincal.core import AllFrequencies, Frequency
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from fincal.exceptions import DateNotFoundError
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from fincal.fincal import TimeSeries, create_date_series
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from fincal.utils import FincalOptions
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def create_prices(s0: float, mu: float, sigma: float, num_prices: int) -> list:
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"""Generates a price following a geometric brownian motion process based on the input of the arguments.
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Since this function is used only to generate data for tests, the seed is fixed as 1234.
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Many of the tests rely on exact values generated using this seed.
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If the seed is changed, those tests will fail.
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Parameters:
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------------
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s0: float
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Asset inital price.
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mu: float
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Interest rate expressed annual terms.
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sigma: float
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Volatility expressed annual terms.
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num_prices: int
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number of prices to generate
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Returns:
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--------
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Returns a list of values generated using GBM algorithm
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"""
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random.seed(1234) # WARNING! Changing the seed will cause most tests to fail
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all_values = []
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for _ in range(num_prices):
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s0 *= math.exp(
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(mu - 0.5 * sigma**2) * (1.0 / 365.0) + sigma * math.sqrt(1.0 / 365.0) * random.gauss(mu=0, sigma=1)
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)
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all_values.append(round(s0, 2))
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return all_values
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def create_test_timeseries(
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frequency: Frequency, num: int = 1000, skip_weekends: bool = False, mu: float = 0.1, sigma: float = 0.05
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) -> TimeSeries:
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"""Creates TimeSeries data
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Parameters:
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-----------
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frequency: Frequency
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The frequency of the time series data to be generated.
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num: int
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Number of date: value pairs to be generated.
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skip_weekends: bool
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Whether weekends (saturday, sunday) should be skipped.
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Gets used only if the frequency is daily.
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mu: float
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Mean return for the values.
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sigma: float
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standard deviation of the values.
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Returns:
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--------
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Returns a TimeSeries object
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"""
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start_date = datetime.datetime(2017, 1, 1)
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timedelta_dict = {
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frequency.freq_type: int(frequency.value * num * (7 / 5 if frequency == "D" and skip_weekends else 1))
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}
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end_date = start_date + relativedelta(**timedelta_dict)
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dates = create_date_series(start_date, end_date, frequency.symbol, skip_weekends=skip_weekends)
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values = create_prices(1000, mu, sigma, num)
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ts = TimeSeries(dict(zip(dates, values)), frequency=frequency.symbol)
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return ts
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class TestReturns:
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def test_returns_calc(self):
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ts = create_test_timeseries()
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returns = ts.calculate_returns(
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"2020-01-01", annual_compounded_returns=False, return_period_unit="years", return_period_value=1
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)
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assert round(returns[1], 6) == 0.112913
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returns = ts.calculate_returns(
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"2020-04-01", annual_compounded_returns=False, return_period_unit="months", return_period_value=3
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)
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assert round(returns[1], 6) == 0.015908
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returns = ts.calculate_returns(
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"2020-04-01", annual_compounded_returns=True, return_period_unit="months", return_period_value=3
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)
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assert round(returns[1], 6) == 0.065167
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returns = ts.calculate_returns(
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"2020-04-01", annual_compounded_returns=False, return_period_unit="days", return_period_value=90
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)
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assert round(returns[1], 6) == 0.017673
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returns = ts.calculate_returns(
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"2020-04-01", annual_compounded_returns=True, return_period_unit="days", return_period_value=90
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)
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assert round(returns[1], 6) == 0.073632
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with pytest.raises(DateNotFoundError):
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ts.calculate_returns("2020-04-04", return_period_unit="days", return_period_value=90, as_on_match="exact")
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with pytest.raises(DateNotFoundError):
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ts.calculate_returns("2020-04-04", return_period_unit="months", return_period_value=3, prior_match="exact")
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def test_date_formats(self):
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ts = create_test_timeseries()
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FincalOptions.date_format = "%d-%m-%Y"
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with pytest.raises(ValueError):
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ts.calculate_returns(
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"2020-04-10", annual_compounded_returns=True, return_period_unit="days", return_period_value=90
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)
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returns1 = ts.calculate_returns(
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"2020-04-01", return_period_unit="days", return_period_value=90, date_format="%Y-%m-%d"
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)
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returns2 = ts.calculate_returns("01-04-2020", return_period_unit="days", return_period_value=90)
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assert round(returns1[1], 6) == round(returns2[1], 6) == 0.073632
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FincalOptions.date_format = "%m-%d-%Y"
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with pytest.raises(ValueError):
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ts.calculate_returns(
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"2020-04-01", annual_compounded_returns=True, return_period_unit="days", return_period_value=90
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)
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returns1 = ts.calculate_returns(
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"2020-04-01", return_period_unit="days", return_period_value=90, date_format="%Y-%m-%d"
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)
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returns2 = ts.calculate_returns("04-01-2020", return_period_unit="days", return_period_value=90)
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assert round(returns1[1], 6) == round(returns2[1], 6) == 0.073632
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def test_limits(self):
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FincalOptions.date_format = "%Y-%m-%d"
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ts = create_test_timeseries()
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with pytest.raises(DateNotFoundError):
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ts.calculate_returns("2020-11-25", return_period_unit="days", return_period_value=90, closest_max_days=10)
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class TestVolatility:
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def test_daily_ts(self):
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ts = create_test_timeseries(AllFrequencies.D)
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assert len(ts) == 1000
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sd = ts.volatility(annualize_volatility=False)
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assert round(sd, 6) == 0.002622
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sd = ts.volatility()
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assert round(sd, 6) == 0.050098
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sd = ts.volatility(annual_compounded_returns=True)
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assert round(sd, 4) == 37.9329
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sd = ts.volatility(return_period_unit="months", annual_compounded_returns=True)
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assert round(sd, 4) == 0.6778
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sd = ts.volatility(return_period_unit="years")
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assert round(sd, 6) == 0.023164
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sd = ts.volatility(from_date="2017-10-01", to_date="2019-08-31", annualize_volatility=True)
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assert round(sd, 6) == 0.050559
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sd = ts.volatility(from_date="2017-02-01", frequency="M", return_period_unit="months")
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assert round(sd, 6) == 0.050884
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sd = ts.volatility(
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frequency="M",
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return_period_unit="months",
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return_period_value=3,
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annualize_volatility=False,
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)
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assert round(sd, 6) == 0.020547
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