Python corr_to_cov Examples

Example #1

def test_corr_to_cov():
    df = get_data()
    rets = risk_models.returns_from_prices(df).dropna()
    test_corr = risk_models.cov_to_corr(rets.cov())
    new_cov = risk_models.corr_to_cov(test_corr, rets.std())
    pd.testing.assert_frame_equal(new_cov, rets.cov())

    with pytest.warns(RuntimeWarning) as w:
        cov_numpy = risk_models.corr_to_cov(test_corr.to_numpy(), rets.std())
        assert len(w) == 1
        assert str(w[0].message) == "corr_matrix is not a dataframe"
        assert isinstance(cov_numpy, pd.DataFrame)
        np.testing.assert_equal(cov_numpy.to_numpy(), new_cov.to_numpy())

Example #2

def test_corr_to_cov():
    df = get_data()
    rets = risk_models.returns_from_prices(df).dropna()
    test_corr = risk_models.cov_to_corr(rets.cov())
    new_cov = risk_models.corr_to_cov(test_corr, rets.std())
    pd.testing.assert_frame_equal(new_cov, rets.cov())