def read_fwd_curve():
fwd_periods = []
fwd_prices = []
fwd_row = 0
while fwd_input_sheet[fwd_row, 0].value != '':
fwd_periods.append(
pd.Period(fwd_input_sheet[fwd_row, 0].value, freq=freq))
fwd_prices.append(fwd_input_sheet[fwd_row, 1].value)
fwd_row += 1
if smooth_curve_wgt.value:
p1, p2 = itertools.tee(fwd_periods)
next(p2, None)
contracts = []
for start, end, price in zip(p1, p2, fwd_prices):
contracts.append((start, end - 1, price))
weekend_adjust = None
if apply_wkend_shaping_wgt.value:
wkend_factor = wkend_factor_wgt.value
weekend_adjust = adjustments.dayofweek(default=1.0,
saturday=wkend_factor,
sunday=wkend_factor)
return max_smooth_interp(contracts,
freq=freq,
mult_season_adjust=weekend_adjust)
else:
return pd.Series(
fwd_prices,
pd.PeriodIndex(fwd_periods)).resample(freq).fillna('pad')
def test_max_smooth_interp_add_season_adjust_called_as_expected(self):
adjust_arg_values = []
def add_season_adjust(period):
adjust_arg_values.append(period)
return 1.0
curve = max_smooth_interp(self.daily_contracts,
freq='D',
add_season_adjust=add_season_adjust)
expected_first_arg = pd.Period('2019-5-14', freq='D')
expected_arg_values = [expected_first_arg + i for i in range(0, 5)] * 2
self.assertListEqual(expected_arg_values, adjust_arg_values)
def test_max_smooth_interp_average_weight_called_as_expected(self):
weight_arg_values = []
def average_weight(period):
weight_arg_values.append(period)
return 1.0
curve = max_smooth_interp(self.daily_contracts,
freq='D',
average_weight=average_weight)
expected_first_arg = pd.Period('2019-5-14', freq='D')
expected_arg_values = [expected_first_arg + i for i in range(0, 5)]
self.assertListEqual(expected_arg_values, weight_arg_values)
def test_max_smooth_interp_averages_back_to_inputs(self):
for test_data in self.test_case_data:
interp_curve = max_smooth_interp(**test_data)
average_weight = test_data[
'average_weight'] if 'average_weight' in test_data else lambda x: 1.0
test_contracts = test_data['contracts']
if isinstance(test_contracts, pd.Series):
for period, contract_price in test_contracts.items():
curve_average_price = weighted_average_slice_curve(
interp_curve, test_data['freq'], period,
average_weight)
self.assertAlmostEqual(curve_average_price,
contract_price,
delta=1E-10)
else:
for contract in test_contracts:
(period, contract_price) = deconstruct_contract(contract)
curve_average_price = weighted_average_slice_curve(
interp_curve, test_data['freq'], period,
average_weight)
self.assertAlmostEqual(curve_average_price,
contract_price,
delta=1E-10)