def test_robust_vol_calc_min_period(self):
prices = pd_readcsv_frompackage(
"syscore.tests.pricetestdata_min_period.csv")
returns = prices.diff()
vol = robust_vol_calc(returns, min_periods=9)
self.assertAlmostEqual(vol.iloc[-1, 0], 0.45829858614978286)
vol = robust_vol_calc(returns, min_periods=10)
self.assertTrue(np.isnan(vol.iloc[-1][0]))
def get_data(path):
'''
returns: DataFrame or Series if 1 col
'''
df = pd_readcsv_frompackage(path)
if len(df.columns) == 1:
return df[df.columns[0]]
return df
def test_robust_vol_calc_min_period(self):
prices = pd_readcsv_frompackage(
"syscore.tests.pricetestdata_min_period.csv")
returns = prices.diff()
vol = robust_vol_calc(returns, min_periods=9)
self.assertAlmostEqual(vol.iloc[-1][0], 0.45829858614978286)
vol = robust_vol_calc(returns, min_periods=10)
self.assertTrue(np.isnan(vol.iloc[-1][0]))
def test_robust_vol_calc(self):
prices = pd_readcsv_frompackage(
"syscore", "pricetestdata.csv", ["tests"])
returns = prices.diff()
vol = robust_vol_calc(returns, days=35)
self.assertAlmostEqual(vol.iloc[-1, 0], 0.41905275480464305)
vol = robust_vol_calc(returns, days=100)
self.assertAlmostEqual(vol.iloc[-1, 0], 0.43906619578902956)
def test_robust_vol_calc(self):
prices = pd_readcsv_frompackage("syscore.tests.pricetestdata.csv")
returns = prices.diff()
vol = robust_vol_calc(returns, days=35)
self.assertAlmostEqual(vol.iloc[-1, 0], 0.41905275480464305)
vol = robust_vol_calc(returns, days=100)
self.assertAlmostEqual(vol.iloc[-1, 0], 0.43906619578902956)
def test_robust_vol_calc_floor(self):
prices = pd_readcsv_frompackage(
"syscore.tests.pricetestdata_vol_floor.csv")
returns = prices.diff()
vol = robust_vol_calc(returns)
self.assertAlmostEqual(vol.iloc[-1, 0], 0.54492982003602064)
vol = robust_vol_calc(returns, vol_floor=False)
self.assertAlmostEqual(vol.iloc[-1, 0], 0.42134038479240132)
vol = robust_vol_calc(returns, floor_min_quant=.5)
self.assertAlmostEqual(vol.iloc[-1, 0], 1.6582199589924964)
vol = robust_vol_calc(returns, floor_min_periods=500)
self.assertAlmostEqual(vol.iloc[-1, 0], 0.42134038479240132)
vol = robust_vol_calc(returns, floor_days=10, floor_min_periods=5)
self.assertAlmostEqual(vol.iloc[-1, 0], 0.42134038479240132)
def test_robust_vol_calc_floor(self):
prices = pd_readcsv_frompackage(
"syscore.tests.pricetestdata_vol_floor.csv")
returns = prices.diff()
vol = robust_vol_calc(returns)
self.assertAlmostEqual(vol.iloc[-1, 0], 0.54492982003602064)
vol = robust_vol_calc(returns, vol_floor=False)
self.assertAlmostEqual(vol.iloc[-1, 0], 0.42134038479240132)
vol = robust_vol_calc(returns, floor_min_quant=.5)
self.assertAlmostEqual(vol.iloc[-1, 0], 1.6582199589924964)
vol = robust_vol_calc(returns, floor_min_periods=500)
self.assertAlmostEqual(vol.iloc[-1, 0], 0.42134038479240132)
vol = robust_vol_calc(returns, floor_days=10, floor_min_periods=5)
self.assertAlmostEqual(vol.iloc[-1, 0], 0.42134038479240132)
def test_robust_vol_calc_min_value(self):
prices = pd_readcsv_frompackage(
"syscore.tests.pricetestdata_zero_vol.csv")
returns = prices.diff()
vol = robust_vol_calc(returns, vol_abs_min=0.01)
self.assertEqual(vol.iloc[-1, 0], 0.01)
def test_robust_vol_calc_min_value(self):
prices = pd_readcsv_frompackage(
"syscore.tests.pricetestdata_zero_vol.csv")
returns = prices.diff()
vol = robust_vol_calc(returns, vol_abs_min=0.01)
self.assertEqual(vol.iloc[-1][0], 0.01)
def get_us_long_data():
us_long_data = pd_readcsv_frompackage(
"examples.vix.US_monthly_returns.csv")
return us_long_data
def get_vix_data():
vix_spot = pd_readcsv_frompackage("examples.vix.VIX.csv")
return pd.Series([process_row(x) for x in vix_spot.values],
vix_spot.index).ffill()
