def test_not_in_roll_one_generic_static_roller(dates):
dt = dates.iloc[0]
contract_dates = dates.iloc[0:2]
sd, ed = (dt + BDay(-8), dt + BDay(-7))
timestamps = pd.date_range(sd, ed, freq='b')
cols = pd.MultiIndex.from_product([[0], ['front', 'back']])
idx = [-2, -1, 0]
trans = pd.DataFrame([[1.0, 0.0], [0.5, 0.5], [0.0, 1.0]],
index=idx,
columns=cols)
midx = pd.MultiIndex.from_product([timestamps, ['CLX16']])
midx.names = ['date', 'contract']
cols = pd.Index([0], name='generic')
wts_exp = pd.DataFrame([1.0, 1.0], index=midx, columns=cols)
# with DatetimeIndex
wts = mappings.roller(timestamps,
contract_dates,
mappings.static_transition,
transition=trans)
assert_frame_equal(wts, wts_exp)
# with tuple
wts = mappings.roller(tuple(timestamps),
contract_dates,
mappings.static_transition,
transition=trans)
assert_frame_equal(wts, wts_exp)
def test_roll_to_roll_two_generics():
contract_dates = pd.Series([
TS('2016-10-10'),
TS('2016-10-13'),
TS('2016-10-17'),
TS('2016-10-20')
],
index=['A', 'B', 'C', 'D'])
timestamps = pd.date_range(contract_dates.iloc[0] + BDay(-2),
contract_dates.iloc[1],
freq='b')
cols = pd.MultiIndex.from_product([[0, 1], ['front', 'back']])
idx = [-2, -1, 0]
trans = pd.DataFrame([[1, 0, 1, 0], [0.5, 0.5, 0.5, 0.5], [0, 1, 0, 1]],
index=idx,
columns=cols)
wts = mappings.roller(timestamps,
contract_dates,
mappings.static_transition,
transition=trans)
midx = pd.MultiIndex.from_tuples([
(timestamps[0], 'A'), (timestamps[0], 'B'), (timestamps[1], 'A'),
(timestamps[1], 'B'), (timestamps[1], 'C'), (timestamps[2], 'B'),
(timestamps[2], 'C'), (timestamps[3], 'B'), (timestamps[3], 'C'),
(timestamps[4], 'B'), (timestamps[4], 'C'), (timestamps[4], 'D'),
(timestamps[5], 'C'), (timestamps[5], 'D')
])
midx.names = ['date', 'contract']
cols = pd.Index([0, 1], name='generic')
vals = [[1, 0], [0, 1], [0.5, 0], [0.5, 0.5], [0, 0.5], [1, 0], [0, 1],
[1, 0], [0, 1], [0.5, 0], [0.5, 0.5], [0, 0.5], [1, 0], [0, 1]]
wts_exp = pd.DataFrame(vals, index=midx, columns=cols)
assert_frame_equal(wts, wts_exp)
def test_whole_roll_roll_two_generics_static_roller(dates):
dt = dates.iloc[0]
contract_dates = dates
timestamps = pd.DatetimeIndex([dt + BDay(-2), dt + BDay(-1), dt])
cols = pd.MultiIndex.from_product([[0, 1], ['front', 'back']])
idx = [-2, -1, 0]
trans = pd.DataFrame([[1, 0, 1, 0], [0.5, 0.5, 0.5, 0.5], [0, 1, 0, 1]],
index=idx,
columns=cols)
wts = mappings.roller(timestamps,
contract_dates,
mappings.static_transition,
transition=trans)
midx = pd.MultiIndex.from_tuples([(timestamps[0], 'CLX16'),
(timestamps[0], 'CLZ16'),
(timestamps[1], 'CLF17'),
(timestamps[1], 'CLX16'),
(timestamps[1], 'CLZ16'),
(timestamps[2], 'CLF17'),
(timestamps[2], 'CLZ16')])
midx.names = ['date', 'contract']
cols = pd.Index([0, 1], name='generic')
wts_exp = pd.DataFrame(
[[1, 0], [0, 1], [0, 0.5], [0.5, 0], [0.5, 0.5], [0, 1], [1, 0]],
index=midx,
columns=cols)
assert_frame_equal(wts, wts_exp)
def test_invalid_contract_dates():
ts = [pd.Timestamp("2016-10-19")]
cols = pd.MultiIndex.from_product([[0, 1], ['front', 'back']])
idx = [-1, 0]
trans = pd.DataFrame([[1.0, 0.0, 1.0, 0.0], [0.0, 1.0, 0.0, 1.0]],
index=idx,
columns=cols)
non_unique_index = pd.Series(
[pd.Timestamp('2016-10-20'),
pd.Timestamp('2016-11-21')],
index=['instr1', 'instr1'])
with pytest.raises(ValueError):
mappings.roller(ts,
non_unique_index,
mappings.static_transition,
transition=trans)
non_unique_vals = pd.Series(
[pd.Timestamp('2016-10-20'),
pd.Timestamp('2016-10-20')],
index=['instr1', 'instr2'])
with pytest.raises(ValueError):
mappings.roller(ts,
non_unique_vals,
mappings.static_transition,
transition=trans)
non_monotonic_vals = pd.Series(
[pd.Timestamp('2016-10-20'),
pd.Timestamp('2016-10-19')],
index=['instr1', 'instr2'])
with pytest.raises(ValueError):
mappings.static_transition(ts[0], non_monotonic_vals, transition=trans)
not_enough_vals = pd.Series([pd.Timestamp('2016-10-19')], index=['instr1'])
with pytest.raises(IndexError):
mappings.static_transition(ts[0], not_enough_vals, transition=trans)