def testTransformationReversals(): testInfo = utl_Tst.create_test_data_correlated_returns(numDims=1, n=100) data = testInfo['data'][:,0] dt = testInfo['dt'] hndl_Srs_Original = EMF_TestSeries_Handle() hndl_Srs_Original.set_series_dates(dt) hndl_Srs_Original.set_series_values(data) # utl_Tst.plot_data_series(hndl_Srs_Original) # testTransformationReversal_None(data, dt) # testTransformationReversal_Past_Lvl(data, dt, hndl_Srs_Original) testTransformationReversal_Past_FoD(data, dt, hndl_Srs_Original) testTransformationReversal_Future_FoD(data, dt, hndl_Srs_Original)
def testTransformationReversal_Future_FoD(data, dt, hndl_Srs_Original):
trnsKwargs={FIRST_ORDER_DIFF_TIME: 10}
hndl_Trns = EMF_Transformation_Handle('Futr_Change', trnsKwargs=trnsKwargs)
dt_trns = hndl_Trns.transform_time(dt)
data_trns = hndl_Trns.transform_data(data)
hndl_Srs_Trns = EMF_TestSeries_Handle()
hndl_Srs_Trns.set_series_dates(dt_trns)
hndl_Srs_Trns.set_series_values(data_trns)
# utl_Tst.plot_data_series(hndl_Srs_Original, hndl_Srs_Trns)
assert np.all(dt_trns == dt[:-10])
assert data_trns[0] == data[10] - data[00]
dt_rvrs = hndl_Trns.reverse_transform_time(dt_trns)
data_rvrs = hndl_Trns.reverse_transform_data(data[:-10], predictionDelta=data_trns)
hndl_Srs_Rvrs = EMF_TestSeries_Handle()
hndl_Srs_Rvrs.set_series_dates(dt_rvrs)
hndl_Srs_Rvrs.set_series_values(data_rvrs)
utl_Tst.plot_data_series(hndl_Srs_Original, hndl_Srs_Rvrs)
assert np.all(dt_rvrs == dt[10:])
def testTransformationReversal_Past_Lvl(data, dt, hndl_Srs_Original):
trnsKwargs={'PeriodDiff': 10}
hndl_Trns = EMF_Transformation_Handle('Past_Lvl', trnsKwargs=trnsKwargs)
dt_trns = hndl_Trns.transform_time(dt)
data_trns = hndl_Trns.transform_data(data)
hndl_Srs_Trns = EMF_TestSeries_Handle()
hndl_Srs_Trns.set_series_dates(dt_trns)
hndl_Srs_Trns.set_series_values(data_trns)
# utl_Tst.plot_data_series(hndl_Srs_Original, hndl_Srs_Trns)
assert np.all(dt_trns == dt[10:])
dt_rvrs = hndl_Trns.reverse_transform_time(dt_trns)
data_rvrs = hndl_Trns.reverse_transform_data(data_trns)
hndl_Srs_Rvrs = EMF_TestSeries_Handle()
hndl_Srs_Rvrs.set_series_dates(dt_rvrs)
hndl_Srs_Rvrs.set_series_values(data_rvrs)
utl_Tst.plot_data_series(hndl_Srs_Original, hndl_Srs_Rvrs)
assert np.all(dt_rvrs == dt[:-10])
assert np.all(data_rvrs == data[:-10])
