def test_arima_model():
'''
unit test for arima
'''
import cs_data_analysis as cs
import cs_logger as cslog
import logging
log = setlogfile(cslog.arima_model_log)
try:
import nb_credit_spread as cslibrary
cslib = cslibrary.creditspread()
srcfile = r'src/YTW-All-Values.xlsx'
df = cslib.get_ytw_from_date_delta(srcfile=srcfile, start='2009-01-31')
return
log.info('**** AR(1) ****')
cs.print_full(cs.arima_model(df), log)
log.info('**** AR(1) diff period 1 ****')
cs_df = cs.get_ytw_from_date(
'1989-12-31') # fetch month before 31 Jan 1990
cs_df = cs_df.diff(periods=1) # diff with previous period
cs_df = cs_df[
'1990-01-31':] # get only records from 31 Jan 1990; this avoids NaN in first row
cs.print_full(cs.arima_model(cs_df), log) # get AR(1) coefficients
assert True
except:
import sys
message = f"Unexpected error: {sys.exc_info()[0]} {sys.exc_info()[1]}"
log.error(message)
raise
def test_load_source_values():
df = get_ytw_test()
log = setlogfile('test.load.source.values', logging.INFO)
from statsmodels.tsa.stattools import adfuller
# adf_tstat, pvalue, tstat, results = adfuller(df['CS-Aaa-3MO'].values) # , maxlag=40, regression='ct', autolag='BIC', regresults=True)
# print(adf_tstat)
#print(pvalue)
#print(tstat)
#print(results)
adf = adfuller(
df['CS-Aaa-3MO'].values
) # , maxlag=40, regression='ct', autolag='BIC', regresults=True)
print(adf)
from arch.unitroot import ADF
adf = ADF(y=df['CS-Aaa-3MO'].values) #, lags=40, trend='ct', method='BIC')
print(adf.pvalue)
import cs_data_analysis as cs
cs.print_full(df, log)
pass
'''
def test_summary_stats_full():
'''
unit test for summary stats
'''
import cs_data_analysis as cs
import cs_logger as cslog
import logging
log = setlogfile(cslog.summary_stats_full_log)
try:
import nb_credit_spread as cslibrary
cslib = cslibrary.creditspread()
srcfile = r'src/YTW-All-Values.xlsx'
ytw_df = cslib.get_ytw_from_date_delta(srcfile=srcfile,
start='2014-01-31')
cs_stats, cs_stats_p1 = cs.summary_stats_full(ytw_df)
log.info('**** cs stats ****')
cs.print_full(cs_stats, log)
log.info('**** cs stats p1 diff ****')
cs.print_full(cs_stats_p1, log)
assert True
except:
import sys
log.error(f"Unexpected error:", sys.exc_info()[0], sys.exc_info()[1])
raise
def test_summary_stats():
'''
unit test for summary stats
'''
import cs_data_analysis as cs
import cs_logger as cslog
import logging
import nb_credit_spread as cslibrary
cslib = cslibrary.creditspread()
srcfile = r'src/YTW-All-Values.xlsx'
ytw_df = cslib.get_ytw_from_date_delta(srcfile=srcfile, start='2014-01-31')
cs.print_full(cs.summary_stats(ytw_df),
setlogfile(cslog.summary_stats_log))
assert True
def test_causation():
'''
'''
import cs_data_analysis as cs
import cs_logger as cslog
log = setlogfile(cslog.causation_log)
try:
import nb_credit_spread as cslibrary
cslib = cslibrary.creditspread()
srcfile = r'src/YTW-All-Values.xlsx'
ytw_df = cslib.get_ytw_from_date_delta(srcfile=srcfile,
start='2009-01-31')
cs.print_full(cs.causation(ytw_df), log)
assert True
except:
import sys
log.error(f"Unexpected error:", sys.exc_info()[0], sys.exc_info()[1])
raise
def test_causation_cs_pce():
import cs_data_analysis as cs
import cs_logger as cslog
log = setlogfile(cslog.causation_log)
try:
import nb_credit_spread as cslibrary
cslib = cslibrary.creditspread()
srcfile = r'src/YTW-All-Values.xlsx'
ytw_df = cslib.get_ytw_from_date_delta(srcfile=srcfile,
start='2009-01-31')
df = ytw_df[['CS-Aaa-3MO', 'Econ-PCE']]
from cs_causation import grangers_causation
r = grangers_causation(df)
# print(r)
cs.print_full(r, log)
assert True
except:
import sys
log.error(f"Unexpected error:", sys.exc_info()[0], sys.exc_info()[1])
raise