def test_spread_combination(self):
dirname, filename = os.path.split(os.path.abspath(__file__))
cl = pd.read_csv(os.path.join(dirname, 'test_cl.csv'),
index_col=0,
parse_dates=True,
dayfirst=True)
contracts = cl.rename(
columns={
x: pd.to_datetime(forwards.convert_contract_to_date(x))
for x in cl.columns
})
res = forwards.spread_combination(contracts, 'calendar')
self.assertIsNotNone(res)
res = forwards.spread_combination(contracts, 'calendar spread')
self.assertIsNotNone(res)
res = forwards.spread_combination(contracts, 'q1')
self.assertIsNotNone(res)
res = forwards.spread_combination(contracts, 'q1-q2')
self.assertIsNotNone(res)
res = forwards.spread_combination(contracts, 'jan')
self.assertIsNotNone(res)
res = forwards.spread_combination(contracts, 'janfeb')
self.assertIsNotNone(res)
res = forwards.spread_combination(contracts, 'janfebmar')
self.assertIsNotNone(res)
res = forwards.spread_combination(contracts, 'q4q1q2')
self.assertIsNotNone(res)
def test_reindex_zscore(self):
dirname, filename = os.path.split(os.path.abspath(__file__))
cl = pd.read_csv(os.path.join(dirname, 'test_cl.csv'),
index_col=0,
parse_dates=True,
dayfirst=True)
contracts = cl.rename(
columns={
x: pd.to_datetime(forwards.convert_contract_to_date(x))
for x in cl.columns
})
q = forwards.quarterly_contracts(contracts)
q = q[[x for x in q.columns if 'Q1' in x]]
res = stats.reindex_zscore(q)
self.assertIsNotNone(res)
def test_reindex_year_line_plot(self):
dirname, filename = os.path.split(os.path.abspath(__file__))
cl = pd.read_csv(os.path.join(dirname, 'test_cl.csv'),
index_col=0,
parse_dates=True,
dayfirst=True)
cl = cl.dropna(how='all', axis=1)
cl = cl.rename(
columns={
x: pd.to_datetime(forwards.convert_contract_to_date(x))
for x in cl.columns
})
sp = forwards.time_spreads(cl, 12, 12)
res = commodplot.reindex_year_line_plot(sp)
self.assertTrue(isinstance(res, go.Figure))
def test_fly_quarterly(self):
dirname, filename = os.path.split(os.path.abspath(__file__))
cl = pd.read_csv(os.path.join(dirname, 'test_cl.csv'),
index_col=0,
parse_dates=True,
dayfirst=True)
contracts = cl.rename(
columns={
x: pd.to_datetime(forwards.convert_contract_to_date(x))
for x in cl.columns
})
contracts = forwards.quarterly_contracts(contracts)
res = forwards.fly_quarterly(contracts, x=1, y=2, z=3)
self.assertAlmostEqual(
res['Q1Q2Q3 2020'].loc[pd.to_datetime('2019-01-03')], -0.073, 3)
self.assertAlmostEqual(
res['Q1Q2Q3 2021'].loc[pd.to_datetime('2019-05-21')], 0.11, 2)
def test_fly2(self):
dirname, filename = os.path.split(os.path.abspath(__file__))
cl = pd.read_csv(os.path.join(dirname, 'test_cl.csv'),
index_col=0,
parse_dates=True,
dayfirst=True)
contracts = cl.rename(
columns={
x: pd.to_datetime(forwards.convert_contract_to_date(x))
for x in cl.columns
})
res = forwards.fly(contracts, m1=12, m2=1, m3=3)
self.assertAlmostEqual(res[2020].loc[pd.to_datetime('2019-01-03')],
0.06, 2)
self.assertAlmostEqual(res[2021].loc[pd.to_datetime('2019-05-21')],
-0.14, 2)
def test_mergets(self):
dirname, filename = os.path.split(os.path.abspath(__file__))
cl = pd.read_csv(os.path.join(dirname, 'test_cl.csv'),
index_col=0,
parse_dates=True,
dayfirst=True)
contracts = cl.rename(
columns={
x: pd.to_datetime(forwards.convert_contract_to_date(x))
for x in cl.columns
})
res = pandasutil.mergets(contracts['2020-01-01'],
contracts['2020-02-01'],
leftl='Test1',
rightl='Test2')
self.assertIn('Test1', res.columns)
self.assertIn('Test2', res.columns)
def test_curve_zscore(self):
dirname, filename = os.path.split(os.path.abspath(__file__))
cl = pd.read_csv(os.path.join(dirname, 'test_cl.csv'),
index_col=0,
parse_dates=True,
dayfirst=True)
contracts = cl.rename(
columns={
x: pd.to_datetime(forwards.convert_contract_to_date(x))
for x in cl.columns
})
hist = contracts[['2020-01-01']].dropna()
fwd = contracts[['2020-01-01']]
res = stats.curve_seasonal_zscore(hist, fwd)
self.assertAlmostEqual(res['zscore']['2019-01-02'], 0.92, 2)
def test_spread_combinations(self):
dirname, filename = os.path.split(os.path.abspath(__file__))
cl = pd.read_csv(os.path.join(dirname, 'test_cl.csv'),
index_col=0,
parse_dates=True,
dayfirst=True)
contracts = cl.rename(
columns={
x: pd.to_datetime(forwards.convert_contract_to_date(x))
for x in cl.columns
})
res = forwards.spread_combinations(contracts)
self.assertIn('Q1', res)
self.assertIn('Q1-Q2', res)
self.assertIn('Calendar', res)
self.assertIn('JanFeb', res)
self.assertIn('JanFebMar', res)
def test_quarterly_contracts(self):
dirname, filename = os.path.split(os.path.abspath(__file__))
cl = pd.read_csv(os.path.join(dirname, 'test_cl.csv'),
index_col=0,
parse_dates=True,
dayfirst=True)
contracts = cl.rename(
columns={
x: pd.to_datetime(forwards.convert_contract_to_date(x))
for x in cl.columns
})
res = forwards.quarterly_contracts(contracts)
self.assertAlmostEqual(
res['Q2 2019'].loc[pd.to_datetime('2019-03-20')], 60.18, 2)
self.assertAlmostEqual(
res['Q3 2019'].loc[pd.to_datetime('2019-06-20')], 56.95, 2)
self.assertAlmostEqual(
res['Q4 2019'].loc[pd.to_datetime('2019-09-20')], 58.01, 2)
self.assertAlmostEqual(
res['Q1 2020'].loc[pd.to_datetime('2019-12-19')], 61.09, 2)
self.assertAlmostEqual(
res['Q2 2020'].loc[pd.to_datetime('2020-03-20')], 23.14, 2)
res_qs = forwards.quarterly_spreads(res)
self.assertAlmostEqual(
res_qs['Q1-Q2 2020'].loc[pd.to_datetime('2019-12-19')], 1.14, 2)
self.assertAlmostEqual(
res_qs['Q2-Q3 2019'].loc[pd.to_datetime('2019-03-20')], -0.73, 2)
self.assertAlmostEqual(
res_qs['Q3-Q4 2019'].loc[pd.to_datetime('2019-06-20')], 0.07, 2)
self.assertAlmostEqual(
res_qs['Q4-Q1 2020'].loc[pd.to_datetime('2019-09-20')], 1.12, 2)
res_qf = forwards.quarterly_flys(res)
self.assertAlmostEqual(
res_qf['Q1Q2Q3 2020'].loc[pd.to_datetime('2019-12-19')], -0.53, 2)
self.assertAlmostEqual(
res_qf['Q2Q3Q4 2019'].loc[pd.to_datetime('2019-03-20')], -0.66, 2)
self.assertAlmostEqual(
res_qf['Q3Q4Q1 2019'].loc[pd.to_datetime('2019-06-20')], -0.58, 2)
self.assertAlmostEqual(
res_qf['Q4Q1Q2 2020'].loc[pd.to_datetime('2019-09-20')], 0.21, 2)
def test_reindex_year(self):
"""
Test reindex with cal spread (eg Cal 20-21, Cal 21-22)
:return:
"""
dirname, filename = os.path.split(os.path.abspath(__file__))
cl = pd.read_csv(os.path.join(dirname, 'test_cl.csv'),
index_col=0,
parse_dates=True,
dayfirst=True)
contracts = cl.rename(
columns={
x: pd.to_datetime(forwards.convert_contract_to_date(x))
for x in cl.columns
})
qorig = forwards.cal_contracts(contracts)
cal_sp = forwards.cal_spreads(qorig)
res = transforms.reindex_year(cal_sp)
self.assertAlmostEqual(
-1.04, res['CAL 2020-2021']['%s-01-02' % (dates.curyear - 1)], 2)
self.assertAlmostEqual(
2.32, res['CAL 2021-2022']['%s-01-02' % (dates.curyear - 1)], 2)
def test_timespreads(self):
dirname, filename = os.path.split(os.path.abspath(__file__))
cl = pd.read_csv(os.path.join(dirname, 'test_cl.csv'),
index_col=0,
parse_dates=True,
dayfirst=True)
contracts = cl.rename(
columns={
x: pd.to_datetime(forwards.convert_contract_to_date(x))
for x in cl.columns
})
res = forwards.time_spreads(contracts, m1=6, m2=12)
self.assertAlmostEqual(res[2019].loc[pd.to_datetime('2019-01-02')],
-1.51, 2)
self.assertAlmostEqual(res[2019].loc[pd.to_datetime('2019-05-21')],
0.37, 2)
res = forwards.time_spreads(contracts, m1=12, m2=12)
self.assertAlmostEqual(res[2019].loc[pd.to_datetime('2019-11-20')],
3.56, 2)
self.assertAlmostEqual(res[2020].loc[pd.to_datetime('2019-03-20')],
2.11, 2)
def test_cal_contracts(self):
dirname, filename = os.path.split(os.path.abspath(__file__))
cl = pd.read_csv(os.path.join(dirname, 'test_cl.csv'),
index_col=0,
parse_dates=True,
dayfirst=True)
contracts = cl.rename(
columns={
x: pd.to_datetime(forwards.convert_contract_to_date(x))
for x in cl.columns
})
res = forwards.cal_contracts(contracts)
self.assertAlmostEqual(
res['CAL 2020'].loc[pd.to_datetime('2019-03-20')], 59.53, 2)
self.assertAlmostEqual(
res['CAL 2021'].loc[pd.to_datetime('2019-03-20')], 57.19, 2)
res = forwards.cal_spreads(res)
self.assertAlmostEqual(
res['CAL 2020-2021'].loc[pd.to_datetime('2019-12-19')], 4.77, 2)
self.assertAlmostEqual(
res['CAL 2021-2022'].loc[pd.to_datetime('2019-03-20')], 1.77, 2)
def test_timespreads2(self):
dirname, filename = os.path.split(os.path.abspath(__file__))
cl = pd.read_csv(os.path.join(dirname, 'test_cl.csv'),
index_col=0,
parse_dates=True,
dayfirst=True)
contracts = cl.rename(
columns={
x: pd.to_datetime(forwards.convert_contract_to_date(x))
for x in cl.columns
})
res = forwards.time_spreads(contracts, m1='Q1', m2='Q2')
self.assertAlmostEqual(res[2020].loc[pd.to_datetime('2019-01-02')],
-0.33, 2)
self.assertAlmostEqual(res[2020].loc[pd.to_datetime('2019-05-21')],
1.05, 2)
res = forwards.time_spreads(contracts, m1='Q4', m2='Q1')
self.assertAlmostEqual(res[2020].loc[pd.to_datetime('2019-01-02')],
-0.25, 2)
self.assertAlmostEqual(res[2020].loc[pd.to_datetime('2019-05-21')],
0.91, 2)
def test_conv_factor(self):
res = forwards.convert_contract_to_date('2020F')
self.assertEqual(res, '2020-1-1')