def test_rmr_epsilon_error(self):
"""
Tests ValueError if epsilon is greater than 1.
"""
# Initialize RMR.
rmr1 = RMR(epsilon=0.5, n_iteration=10, window=3, tau=0.001)
with self.assertRaises(ValueError):
# Running allocate will raise ValueError.
rmr1.allocate(self.data)
def test_rmr_norm2_0_mu(self):
"""
Tests edge case for norm2 = 0 in _transform method.
"""
# Initialize RMR.
rmr8 = RMR(epsilon=2, n_iteration=2, window=2, tau=0.9)
# Make the data all ones.
new_data = self.data
new_data[:] = 1
# Calculate edge case.
rmr8.allocate(new_data, resample_by='M')
def test_rmr_transform_non_mu(self):
"""
Tests edge case for _transform non_mu edge case.
"""
# pylint: disable=protected-access
# pylint: disable=no-self-use
# Initialize RMR.
rmr7 = RMR(epsilon=1.1, n_iteration=10, window=3, tau=0.9)
# Make an empty array.
empty = np.zeros((1, 2))
# Calculate edge case.
rmr7._transform(empty, empty)
def test_rmr_break_solution(self):
"""
Test the calculation of RMR with the break case in _calc_median.
"""
# Initialize RMR.
rmr6 = RMR(epsilon=1.1, n_iteration=10, window=3, tau=0.9)
# Allocates asset prices to RMR.
rmr6.allocate(self.data, resample_by='M')
# Create np.array of all_weights.
all_weights = np.array(rmr6.all_weights)
# Check if all weights sum to 1.
for i in range(all_weights.shape[0]):
weights = all_weights[i]
assert (weights >= 0).all()
assert len(weights) == self.data.shape[1]
np.testing.assert_almost_equal(np.sum(weights), 1)
def test_rmr_window_error(self):
"""
Tests ValueError if window is not an integer or less than 2.
"""
# Initialize RMR.
rmr4 = RMR(epsilon=1.2, n_iteration=4, window=3.5, tau=0.001)
with self.assertRaises(ValueError):
# Running allocate will raise ValueError.
rmr4.allocate(self.data)
# Initialize RMR.
rmr5 = RMR(epsilon=1.2, n_iteration=4, window=1, tau=0.001)
with self.assertRaises(ValueError):
# Running allocate will raise ValueError.
rmr5.allocate(self.data)
def test_rmr_n_iteration_error(self):
"""
Tests ValueError if n_iteration is not an integer or less than 2.
"""
# Initialize RMR.
rmr2 = RMR(epsilon=1.2, n_iteration=1.5, window=3, tau=0.001)
with self.assertRaises(ValueError):
# Running allocate will raise ValueError.
rmr2.allocate(self.data)
# Initialize RMR.
rmr3 = RMR(epsilon=1.2, n_iteration=1, window=3, tau=0.001)
with self.assertRaises(ValueError):
# Running allocate will raise ValueError.
rmr3.allocate(self.data)
def test_rmr_tau_error(self):
"""
Tests ValueError if tau is less than 0 or greater than or equal to 1.
"""
# Initialize RMR.
rmr9 = RMR(epsilon=2, n_iteration=2, window=2, tau=1)
with self.assertRaises(ValueError):
# Running allocate will raise ValueError.
rmr9.allocate(self.data)
# Initialize RMR.
rmr10 = RMR(epsilon=2, n_iteration=2, window=2, tau=-1)
with self.assertRaises(ValueError):
# Running allocate will raise ValueError.
rmr10.allocate(self.data)