def testAverageRating(self):
positions = getPortfolioPositions('19437', '20200429', 'test')
blpData = getBlpData('20200429', 'test')
securitiesWithRatings = compose(
list
, partial(map, lambda p: (getAverageRatingScore(blpData, p), p))
, partial(map, lambda t: t[1])
, partial(filter, lambda t: ratingsApplicable(t[0]))
, lambda blpData, positions: \
map(lambda p: (getAssetType(blpData, p), p), positions)
)(blpData, positions)
# There are 154 bonds (155 bonds, but one with special case override)
self.assertEqual(154, len(securitiesWithRatings))
# Has 3 credit ratings
self.assertEqual(11, firstOf( lambda t: t[1]['InvestID'] == 'XS2114413565'
, securitiesWithRatings)[0])
# Has 2 credit ratings
self.assertEqual(11, firstOf( lambda t: t[1]['InvestID'] == 'USY70902AB04'
, securitiesWithRatings)[0])
# Has 1 credit ratings
self.assertEqual(13, firstOf( lambda t: t[1]['InvestID'] == 'XS2127809528'
, securitiesWithRatings)[0])
# Has no credit ratings
self.assertEqual(0, firstOf( lambda t: t[1]['InvestID'] == 'XS2021226985'
, securitiesWithRatings)[0])
def testDIFAssetType(self):
positions = list(getPortfolioPositions('19437', '20200429', 'test'))
blpData = getBlpData('20200429', 'test')
# USD cash on hand position
isUSDCash = lambda x: \
x['InvestID'] == 'USD' and int(x['Quantity']) == 8183675
self.assertEqual( ('Cash', )
, getAssetType(blpData, firstOf(isUSDCash, positions)))
# Cash payable position
isHKDCashPayable = lambda x: \
x['InvestID'] == 'HKD' and int(x['Quantity']) == -1804761
self.assertEqual( ('Cash', )
, getAssetType(blpData, firstOf(isHKDCashPayable, positions)))
# Equity position
isEquityPosition = lambda x: x['InvestID'] == '1299 HK'
self.assertEqual( ('Equity', 'Listed Equities')
, getAssetType(blpData, firstOf(isEquityPosition, positions)))
# The bond: T V2.875 PERP B
isBondPosition = lambda x: x['InvestID'] == 'XS2114413565'
self.assertEqual( ('Fixed Income', 'Corporate')
, getAssetType(blpData, firstOf(isBondPosition, positions)))
# The bond: POSABK V4.5 PERP, the special case, treated as equity in 19437
isBondPosition2 = lambda x: x['InvestID'] == 'XS1684793018 Perfshs'
self.assertEqual( ('Equity', 'Listed equities')
, getAssetType(blpData, firstOf(isBondPosition2, positions)))
# The callable bond: BCHINA V3.6 PERP
isCallableBondPosition = lambda x: x['InvestID'] == 'XS2125922349'
self.assertEqual( ('Fixed Income', 'Additional Tier 1, Contingent Convertibles')
, getAssetType(blpData, firstOf(isCallableBondPosition, positions)))
# The iShares A50 China ETF
isA50Fund = lambda x: x['InvestID'] == '2823 HK'
self.assertEqual( ('Fund', 'Exchange Traded Funds')
, getAssetType(blpData, firstOf(isA50Fund, positions)))
# The LINK REIT (823 HK is treated as special case)
isREITFund = lambda x: x['InvestID'] == '823 HK'
self.assertEqual( ('Equity', 'Listed equities')
, getAssetType(blpData, firstOf(isREITFund, positions)))
def testSum(self):
FX = getFX('20200429', 'USD')['HKD']
blpData = getBlpData('20200429', 'test')
positions = list(getPortfolioPositions('19437', '20200429', 'test'))
# Now we test by different country groups
self.assertAlmostEqual( 394165723.69
, compose(
lambda x: x / FX
, sum
, partial(map, getGenevaMarketValue)
, byCountryFilter(blpData, 'China - Mainland')
)(positions)
, 2
)
self.assertAlmostEqual( 46753980.08
, compose(
lambda x: x / FX
, sum
, partial(map, getGenevaMarketValue)
, byCountryFilter(blpData, 'China - Hong Kong')
)(positions)
, 2
)
self.assertAlmostEqual( 10019205.48
, compose(
lambda x: x / FX
, sum
, partial(map, getGenevaMarketValue)
, byCountryFilter(blpData, 'China - Macau')
)(positions)
, 2
)
self.assertAlmostEqual( 15742145.41
, compose(
lambda x: x / FX
, sum
, partial(map, getGenevaMarketValue)
, byCountryFilter(blpData, 'Singapore')
)(positions)
, 2
)
self.assertAlmostEqual( 1419901.34
, compose(
lambda x: x / FX
, sum
, partial(map, getGenevaMarketValue)
, byCountryFilter(blpData, 'America - others (1)')
)(positions)
, 2
)
# Purposedly made wrong, since there are no "XXX" country.
self.assertAlmostEqual( 0
, compose(
lambda x: x / FX
, sum
, partial(map, getGenevaMarketValue)
, byCountryFilter(blpData, 'XXX')
)(positions)
, 2
)
# Now test different asset types
"""
def testSum2(self):
blpData = getBlpData('20200429', 'test')
positions = list(getPortfolioPositions('19437', '20200429', 'test'))
self.assertAlmostEqual( 12513933.62
, getTotalMarketValueFromCountrynAssetType(
'20200429'
, positions
, blpData
, 'USD'
, 'China - Mainland'
, 'Fixed Income'
, 'Additional Tier 1, Contingent Convertibles'
)
, 2
)
self.assertAlmostEqual( 17208645.91
, getTotalMarketValueFromCountrynAssetType(
'20200429'
, positions
, blpData
, 'USD'
, 'China - Hong Kong'
, 'Fixed Income'
, 'Corporate'
, 'Investment Grade'
, 'Financial Institution'
)
, 2
)
self.assertAlmostEqual( 5020919.30
, getTotalMarketValueFromCountrynAssetType(
'20200429'
, positions
, blpData
, 'USD'
, 'China - Macau'
, 'Fixed Income'
, 'Corporate'
, 'Non-Investment Grade'
, 'Non-Financial Institution'
)
, 2
)
self.assertAlmostEqual( 2029888.56
, getTotalMarketValueFromCountrynAssetType(
'20200429'
, positions
, blpData
, 'USD'
, 'Asia - others (1)'
, 'Fixed Income'
, 'Government / Municipal'
)
, 2
)
self.assertAlmostEqual( 26308960.40
, getTotalMarketValueFromCountrynAssetType(
'20200429'
, positions
, blpData
, 'USD'
, 'Asia - others (1)'
, 'Fixed Income'
, 'Corporate'
)
, 2
)
# Purposely made wrong, since there are no such thing as
# 'Fixed Income', 'Government', 'Financial'
self.assertAlmostEqual( 0
, getTotalMarketValueFromCountrynAssetType(
'20200429'
, positions
, blpData
, 'USD'
, 'Asia - others (1)'
, 'Fixed Income'
, 'Government / Municipal'
, 'Financial'
)
, 2
)
def testGetPortfolioPositions2(self):
# Test Bloomberg positions
positions = compose(list, partial(filterfalse, isGenevaPosition))(
getPortfolioPositions('ALL', '20200131', 'test'))
self.assertEqual(97, len(positions))
self.verifyBlpPosition(positions[2])
def testGetPortfolioPositions(self):
# Test Geneva positions
positions = list(getPortfolioPositions('19437', '20200429', 'test'))
self.assertEqual(192, len(positions))
self.verifyInvestmentPosition(positions[3])