def test_compute_compute_curr_leverage(self):
assets = {
'XXX': Asset(1, 20, 1.5, 'XXX'),
'YYY': Asset(4, 20, 1.5, 'yyy')
}
fund = Fund('F1', {'XXX': 10, 'YYY': 10}, 5, 2, 3)
self.assertEqual(0.25, fund.compute_curr_leverage(assets))
def test_run_intraday_simulation_goal_leverage_reached(self):
a0 = Asset(price=1, daily_volume=40, volatility=1.5, symbol='a0')
a1 = Asset(price=2, daily_volume=40, volatility=1.5, symbol='a1')
f0 = Fund('f0', {'a0': 10},
initial_capital=2,
initial_leverage=8,
tolerance=2)
f1 = Fund('f1', {
'a0': 10,
'a1': 1
},
initial_capital=1,
initial_leverage=1,
tolerance=3)
assets = {'a0': a0, 'a1': a1}
network = AssetFundsNetwork({
'f0': f0,
'f1': f1
}, assets, MockMarketImpactTestCalculator())
network.run_intraday_simulation(2, 0.8)
self.assertTrue(f0.compute_curr_leverage(assets) <= 0.8)
self.assertTrue(f1.compute_curr_leverage(assets) <= 0.8)