def test_point_tweak(self):
market = get_file("market1")
preTweak = market.fx.usd_eur.Rate['2010-5-14']
preTweakJPY = market.fx.usd_jpy.Rate['2010-5-14']
tweakedMarket = point_tweak(market, 'fx.usd_eur.Rate', '2010-5-14', mul, 1.1)
postTweak = tweakedMarket.fx.usd_eur.Rate['2010-5-14']
postTweakJPY = tweakedMarket.fx.usd_jpy.Rate['2010-5-14']
self.assertAlmostEqual(preTweak * 1.1, postTweak)
self.assertAlmostEqual(preTweakJPY, postTweakJPY)
def test_step_tweak(self):
market = get_file("market1")
preTweak = market.fx.usd_eur.Rate['2011-5-13']
preTweakBefore = market.fx.usd_eur.Rate['2011-5-11']
preTweakAfter = market.fx.usd_eur.Rate['2011-5-24']
preTweakJPY = market.fx.usd_jpy.Rate['2011-5-13']
tweakedMarket = step_tweak(market, 'fx.usd_eur.Rate', '2011-5-12', '2011-5-24', mul, 1.05)
postTweak = tweakedMarket.fx.usd_eur.Rate['2011-5-13']
postTweakBefore = market.fx.usd_eur.Rate['2011-5-11']
postTweakAfter = market.fx.usd_eur.Rate['2011-5-24']
postTweakJPY = tweakedMarket.fx.usd_jpy.Rate['2011-5-13']
self.assertAlmostEqual(preTweak * 1.05, postTweak)
self.assertAlmostEqual(preTweakJPY, postTweakJPY)
self.assertAlmostEqual(preTweakBefore, postTweakBefore)
self.assertAlmostEqual(preTweakAfter, postTweakAfter)
from portfolio import PortfoliosHolder from quandl_streams import get_live from simple_files import FileHolder __author__ = 'Andy Fundinger - [email protected]' if __name__ == '__main__': logging.basicConfig(level=logging.INFO) cob_date = sys.argv[1] portfolios = PortfoliosHolder('portfolio') funds = FundsHolder('funds') model = FileHolder('model') results = FileHolder('results') market = get_live(get_file("sys"), model) risk_by_fund = DataFrame( ((fund.name, fund.price(market, model, cob_date), fund.hVar(market, model, cob_date)) for fund in funds), columns=['fund_name', 'price', 'hVar']) risk_by_fund['normalized_hVar'] = risk_by_fund['hVar'] / risk_by_fund['price'] results['risk_by_fund'] = risk_by_fund risk_by_portfolio = DataFrame(((portfolio.name, portfolio.price(funds, market, model, cob_date), portfolio.hVar(funds, market, model, cob_date)) for portfolio in portfolios), columns=['portfolio_name', 'price', 'hVar']) risk_by_portfolio['normalized_hVar'] = risk_by_portfolio['hVar'] / risk_by_portfolio['price'] results['risk_by_portfolio'] = risk_by_portfolio
def test_market(self):
live_coll = get_live(get_file("sys"), FileHolder('model'))
usdEurAsset = live_coll.fx['usd_eur']
assert isinstance(usdEurAsset, QuandlAsset)
assert len(usdEurAsset)
assert live_coll.fx.usd_eur is usdEurAsset
def setUp(self):
self.portfolios = PortfoliosHolder('portfolio')
self.funds = FundsHolder('funds')
self.model = FileHolder('model')
self.market = get_live(get_file("sys"), self.model)
from data_access import get_file
from transform import make_ccy_matrix
__author__ = 'maku-8qlabs'
market = get_file('market1')
model = get_file('model')
ccy_matrix=make_ccy_matrix(market, model)
