def test_error_raised_when_redundant_contracts_allow_redundancy_default_false(
self):
input_contracts = [
(month(2019, 1), 68.64),
(month(2019, 2), 59.01),
(month(2019, 3), 55.48),
(quarter(2019, 1), 62.64),
]
with self.assertRaises(
ArgumentException): # TODO assert against exception message
bootstrap_results = bootstrap_contracts(input_contracts, freq='M')
def test_bootstrap_contracts_averages_back_to_inputs_monthly(self):
input_contracts = [(month(2019, 1), 12.35), (month(2019, 2), 13.20),
(quarter(2019, 1), 12.85)]
piecewise_curve, bootstrapped_contracts = bootstrap_contracts(
input_contracts, freq='M')
for input_contract in input_contracts:
(period, contract_price) = deconstruct_contract(input_contract)
output_weighted_average_price = weighted_average_slice_curve(
piecewise_curve, 'D', period)
self.assertAlmostEqual(output_weighted_average_price,
contract_price,
delta=1E-10)
def test_error_not_raised_when_redundant_contracts_allow_redundancy_default_false(
self):
input_contracts = [
(month(2019, 1), 68.64),
(month(2019, 2), 59.01),
(month(2019, 3), 55.48),
(quarter(2019, 1), 62.64),
]
piecewise_curve, bootstrapped_contracts = bootstrap_contracts(
input_contracts, freq='M', allow_redundancy=True)
self.assertEqual(len(piecewise_curve), 3)
self.assertEqual(len(bootstrapped_contracts), 3)
def test_average_weight_called_as_expected(self):
input_contracts = [(month(2019, 1), 58.64), (month(2019, 2), 58.64),
(month(2019, 3), 58.64)]
weight_arg_values = []
def average_weight(period):
weight_arg_values.append(period)
return 1.0
bootstrap_results = bootstrap_contracts(input_contracts,
freq='D',
average_weight=average_weight)
expected_first_arg = pd.Period(year=2019, month=1, day=1, freq='D')
expected_arg_values = [expected_first_arg + i
for i in range(0, 90)] * 2
self.assertListEqual(expected_arg_values, weight_arg_values)
def test_bootstrap_contracts_averages_back_to_inputs_halfhourly(self):
input_contracts = [
(pd.Period('2019-06-07 00:00', freq='30min'), 47.854),
(datetime(2019, 6, 7, hour=0, minute=30), 47.705),
(datetime(2019, 6, 7, hour=0,
minute=30), datetime(2019, 6, 7, hour=1,
minute=30), 46.625),
]
piecewise_curve, bootstrapped_contracts = bootstrap_contracts(
input_contracts, freq='30min')
for input_contract in input_contracts:
(period, contract_price) = deconstruct_contract(input_contract)
output_weighted_average_price = weighted_average_slice_curve(
piecewise_curve, '30min', period)
self.assertAlmostEqual(output_weighted_average_price,
contract_price,
delta=1E-10)
def test_bootstrap_contracts_averages_back_to_inputs_daily(self):
input_contracts = [
((date(2019, 1,
1), date(2019, 1,
2)), 32.7), # manually specified contract period
((date(2019, 1, 1), date(2019, 1, 7)),
29.3), # manually specified contract period as nested tuple
(quarter(2019, 1), 22.1),
(datetime(2019, 1, 1), datetime(2019, 1,
31), 25.5), # January 2019
(month(2019, 2), 23.3),
(quarter(2019, 2), 18.3),
(quarter(2019, 3), 17.1),
(quarter(2019, 4), 20.1),
(winter(2019), 22.4),
(summer(2020), 19.9),
(winter(2020), 21.8),
(gas_year(2020), 20.01)
]
ratios = [(quarter(2021, 1), quarter(2020, 4), 1.09),
(quarter(2020, 3), quarter(2020, 2), 1.005)]
spreads = [
(month(2020, 1), month(2020, 2), 0.5),
]
def peakload_weight(period):
if period.dayofweek < 5:
return 1.0
else:
return 0.0
piecewise_curve, bootstrapped_contracts = bootstrap_contracts(
input_contracts,
freq='D',
shaping_ratios=ratios,
shaping_spreads=spreads,
average_weight=peakload_weight)
self.assertEqual(16, len(bootstrapped_contracts))
self.assertEqual(1004, len(piecewise_curve))
for input_contract in input_contracts:
(period,
input_contract_price) = deconstruct_contract(input_contract)
output_weighted_average_price = weighted_average_slice_curve(
piecewise_curve, 'D', period, peakload_weight)
self.assertAlmostEqual(output_weighted_average_price,
input_contract_price,
delta=1E-10)
for bootstrapped_contract in bootstrapped_contracts:
output_weighted_average_price = weighted_average_slice_curve(
piecewise_curve, 'D',
(bootstrapped_contract.start, bootstrapped_contract.end),
peakload_weight)
self.assertAlmostEqual(output_weighted_average_price,
bootstrapped_contract.price,
delta=1E-10)