def test_sharpe_ratio():
file = os.path.join(os.path.dirname(__file__), '..', 'resources',
'MIDASER_SPX_USD.csv')
price_df = pd.read_csv(file)
price_df.index = pd.to_datetime(price_df['Date'])
file = os.path.join(os.path.dirname(__file__), '..', 'resources',
'Sharpe_SPX_0175.csv')
er_df = pd.read_csv(file)
er_df.index = pd.to_datetime(er_df['Date'])
replace = Replacer()
er = replace('gs_quant.timeseries.econometrics.excess_returns', Mock())
er.return_value = er_df['ER']
actual = _get_ratio(price_df['SPX'],
0.0175,
0,
day_count_convention=DayCountConvention.ACTUAL_360)
numpy.testing.assert_almost_equal(actual.values,
er_df['SR'].values,
decimal=5)
actual = sharpe_ratio(price_df['SPX'], RiskFreeRateCurrency.USD)
numpy.testing.assert_almost_equal(actual.values,
er_df['SR'].values,
decimal=5)
actual = sharpe_ratio(price_df['SPX'][:], RiskFreeRateCurrency.USD, '1m')
expected = pd.Series([np.nan, np.nan, np.nan, 8.266434, 6.731811],
index=pd.date_range(datetime.date(2019, 2, 4),
periods=5))
numpy.testing.assert_almost_equal(actual[:5].values,
expected.values,
decimal=5)
with pytest.raises(MqValueError):
actual = sharpe_ratio(price_df['SPX'][:],
RiskFreeRateCurrency.USD,
22,
method=Interpolate.INTERSECT)
replace.restore()
actual = _get_ratio(price_df['SPX'],
0.0175,
10,
day_count_convention=DayCountConvention.ACTUAL_360)
numpy.testing.assert_almost_equal(actual.values,
er_df['SR10'].values[10:],
decimal=5)
actual = _get_ratio(er_df['ER'],
0.0175,
0,
day_count_convention=DayCountConvention.ACTUAL_360,
curve_type=CurveType.EXCESS_RETURNS)
numpy.testing.assert_almost_equal(actual.values,
er_df['SR'].values,
decimal=5)
def test_sharpe_ratio():
file = os.path.join(os.path.dirname(__file__), '..', 'resources',
'MIDASER_SPX_USD.csv')
price_df = pd.read_csv(file)
price_df.index = pd.to_datetime(price_df['Date'])
file = os.path.join(os.path.dirname(__file__), '..', 'resources',
'Sharpe_SPX_0175.csv')
er_df = pd.read_csv(file)
er_df.index = pd.to_datetime(er_df['Date'])
replace = Replacer()
er = replace('gs_quant.timeseries.econometrics.excess_returns', Mock())
er.return_value = er_df['ER']
actual = _get_ratio(price_df['SPX'],
0.0175,
0,
day_count_convention=DayCountConvention.ACTUAL_360)
numpy.testing.assert_almost_equal(actual.values,
er_df['SR'].values,
decimal=5)
actual = sharpe_ratio(price_df['SPX'], RiskFreeRateCurrency.USD)
numpy.testing.assert_almost_equal(actual.values,
er_df['SR'].values,
decimal=5)
replace.restore()
actual = _get_ratio(price_df['SPX'],
0.0175,
10,
day_count_convention=DayCountConvention.ACTUAL_360)
numpy.testing.assert_almost_equal(actual.values,
er_df['SR10'].values[10:],
decimal=5)
actual = _get_ratio(er_df['ER'],
0.0175,
0,
day_count_convention=DayCountConvention.ACTUAL_360,
curve_type=CurveType.EXCESS_RETURNS)
numpy.testing.assert_almost_equal(actual.values,
er_df['SR'].values,
decimal=5)