def testBizDayNormalizer(self): normalizer = Normalizer(NormalizingType.BizDay) for ret, date in zip(self.rets, self.dates): # as the dates are generated from SSE calendar # the biz days between should always be 1 normalizedReturn = normalizer.normalizeOneDayReturn(date, ret) self.assertAlmostEqual(normalizedReturn, ret, 10, "Expected return {0:f} is not equal to normalized {1:f}" .format(ret, normalizedReturn))
def testNullNormalizer(self): normalizer = Normalizer(NormalizingType.Null) for ret, date in zip(self.rets, self.dates): normalizedReturn = normalizer.normalizeOneDayReturn(date, ret) self.assertAlmostEqual( normalizedReturn, ret, 10, "Expected return {0:f} is not equal to normalized {1:f}". format(ret, normalizedReturn))
def testBizDayNormalizer(self): normalizer = Normalizer(NormalizingType.BizDay) for ret, date in zip(self.rets, self.dates): # as the dates are generated from SSE calendar # the biz days between should always be 1 normalizedReturn = normalizer.normalizeOneDayReturn(date, ret) self.assertAlmostEqual( normalizedReturn, ret, 10, "Expected return {0:f} is not equal to normalized {1:f}". format(ret, normalizedReturn))
def testCalendarDayNormalizer(self): normalizer = Normalizer(NormalizingType.CalendarDay) for i, (ret, date) in enumerate(zip(self.rets, self.dates)): normalizedReturn = normalizer.normalizeOneDayReturn(date, ret) if i != 0: daysBetween = date - self.previous else: daysBetween = 1 self.assertAlmostEqual(normalizedReturn, ret / daysBetween, 10, "Expected return {0:f} is not equal to normalized {1:f}" .format(ret / daysBetween, normalizedReturn)) self.previous = date
def testCalendarDayNormalizer(self): normalizer = Normalizer(NormalizingType.CalendarDay) for i, (ret, date) in enumerate(zip(self.rets, self.dates)): normalizedReturn = normalizer.normalizeOneDayReturn(date, ret) if i != 0: daysBetween = date - self.previous else: daysBetween = 1 self.assertAlmostEqual( normalizedReturn, ret / daysBetween, 10, "Expected return {0:f} is not equal to normalized {1:f}". format(ret / daysBetween, normalizedReturn)) self.previous = date
def testNullNormalizer(self): normalizer = Normalizer(NormalizingType.Null) for ret, date in zip(self.rets, self.dates): normalizedReturn = normalizer.normalizeOneDayReturn(date, ret) self.assertAlmostEqual(normalizedReturn, ret, 10, "Expected return {0:f} is not equal to normalized {1:f}" .format(ret, normalizedReturn))