def testBizDayNormalizer(self):
normalizer = Normalizer(NormalizingType.BizDay)
for ret, date in zip(self.rets, self.dates):
# as the dates are generated from SSE calendar
# the biz days between should always be 1
normalizedReturn = normalizer.normalizeOneDayReturn(date, ret)
self.assertAlmostEqual(normalizedReturn, ret, 10, "Expected return {0:f} is not equal to normalized {1:f}"
.format(ret, normalizedReturn))
def testNullNormalizer(self):
normalizer = Normalizer(NormalizingType.Null)
for ret, date in zip(self.rets, self.dates):
normalizedReturn = normalizer.normalizeOneDayReturn(date, ret)
self.assertAlmostEqual(
normalizedReturn, ret, 10,
"Expected return {0:f} is not equal to normalized {1:f}".
format(ret, normalizedReturn))
def testBizDayNormalizer(self):
normalizer = Normalizer(NormalizingType.BizDay)
for ret, date in zip(self.rets, self.dates):
# as the dates are generated from SSE calendar
# the biz days between should always be 1
normalizedReturn = normalizer.normalizeOneDayReturn(date, ret)
self.assertAlmostEqual(
normalizedReturn, ret, 10,
"Expected return {0:f} is not equal to normalized {1:f}".
format(ret, normalizedReturn))
def testCalendarDayNormalizer(self):
normalizer = Normalizer(NormalizingType.CalendarDay)
for i, (ret, date) in enumerate(zip(self.rets, self.dates)):
normalizedReturn = normalizer.normalizeOneDayReturn(date, ret)
if i != 0:
daysBetween = date - self.previous
else:
daysBetween = 1
self.assertAlmostEqual(normalizedReturn, ret / daysBetween, 10,
"Expected return {0:f} is not equal to normalized {1:f}"
.format(ret / daysBetween, normalizedReturn))
self.previous = date
def testCalendarDayNormalizer(self):
normalizer = Normalizer(NormalizingType.CalendarDay)
for i, (ret, date) in enumerate(zip(self.rets, self.dates)):
normalizedReturn = normalizer.normalizeOneDayReturn(date, ret)
if i != 0:
daysBetween = date - self.previous
else:
daysBetween = 1
self.assertAlmostEqual(
normalizedReturn, ret / daysBetween, 10,
"Expected return {0:f} is not equal to normalized {1:f}".
format(ret / daysBetween, normalizedReturn))
self.previous = date
def testNullNormalizer(self):
normalizer = Normalizer(NormalizingType.Null)
for ret, date in zip(self.rets, self.dates):
normalizedReturn = normalizer.normalizeOneDayReturn(date, ret)
self.assertAlmostEqual(normalizedReturn, ret, 10, "Expected return {0:f} is not equal to normalized {1:f}"
.format(ret, normalizedReturn))
