def test_yahoo(self):
""" Yahoo data test """
try:
yahoo = YahooDataProvider(
tickers=["AEO", "ABBY"],
start=datetime.datetime(2018, 1, 1),
end=datetime.datetime(2018, 12, 31)
)
yahoo.run()
similarity = np.array([
[1.00000000e+00, 8.44268222e-05],
[8.44268222e-05, 1.00000000e+00]
])
covariance = np.array(
[[7.035e+00, -1.653e-04],
[-1.653e-04, 1.199e-06]])
with self.subTest('test YahooDataProvider get_covariance_matrix'):
np.testing.assert_array_almost_equal(yahoo.get_covariance_matrix(),
covariance, decimal=3)
with self.subTest('test YahooDataProvider get_similarity_matrix'):
np.testing.assert_array_almost_equal(yahoo.get_similarity_matrix(),
similarity, decimal=3)
except NameError as ex:
self.skipTest(str(ex))
except QiskitFinanceError as ex:
self.skipTest("Test of YahooDataProvider skipped {}".format(str(ex)))
def test_yahoo_wrong_use(self):
""" Yahoo! wrong use test """
try:
yahoo = YahooDataProvider(tickers=["AEO", "ABBY"],
start=datetime.datetime(2018, 1, 1),
end=datetime.datetime(2018, 12, 31))
# Now, the .run() method is expected, which does the actual data loading
with self.subTest('test YahooDataProvider get_covariance_matrix'):
self.assertRaises(QiskitFinanceError,
yahoo.get_covariance_matrix)
with self.subTest('test YahooDataProvider get_similarity_matrix'):
self.assertRaises(QiskitFinanceError,
yahoo.get_similarity_matrix)
except MissingOptionalLibraryError as ex:
self.skipTest(str(ex))
def generate_values(stock_tickers, start_date, end_date):
"""
Given a list of stocks, generates the Yahoo Finance prices DataFrame prices_df. Every price series is a stored in a column. The prices df is resampled on month for the time being, and has the latest monthly datapoint as value.
:param stock_tickers: list, list of stock names.
:start_date: datetime.date or datetime.datetime
:end_date: datetime.date or datetime.datetime
:return: prices, returns mean, returns covariance
"""
data = YahooDataProvider(tickers=stock_tickers,
start=start_date,
end=end_date)
data.run()
prices = np.array([s.iloc[-1] for s in data._data])
return prices, data.get_period_return_mean_vector(
), data.get_period_return_covariance_matrix()
def test_yahoo(self, tickers, covariance, similarity):
""" Yahoo data test """
try:
yahoo = YahooDataProvider(
tickers=tickers,
start=datetime.datetime(2018, 1, 1),
end=datetime.datetime(2018, 12, 31),
)
yahoo.run()
with self.subTest("test YahooDataProvider get_covariance_matrix"):
np.testing.assert_array_almost_equal(
yahoo.get_covariance_matrix(),
np.array(covariance),
decimal=0)
with self.subTest("test YahooDataProvider get_similarity_matrix"):
np.testing.assert_array_almost_equal(
yahoo.get_similarity_matrix(),
np.array(similarity),
decimal=1)
except MissingOptionalLibraryError as ex:
self.skipTest(str(ex))
except QiskitFinanceError as ex:
self.skipTest("Test of YahooDataProvider skipped {}".format(
str(ex)))