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 testFile(self):
"""
Randomly check a bond's purchase cost and yield at cost
"""
dataFile = join(get_current_path(), 'samples', 'test_historical'
, 'CLO Holdings 2019.06.28.xlsx')
historicalData = toDictionary(getRawPositions(fileToLines(dataFile)))
file = join(get_current_path(), 'samples', 'test_historical'
, '12229 tax lot 201906.xlsx')
rows = list(fileToTSCF(historicalData, file))
self.assertEqual(154, len(rows)) # 12229 has 77 positions
# therefore generates 2 x 77 rows
bond1_cost = lambda L: True if L[0]=='CD022' and L[2]=='HK0000226404' else False
bond1_yield = lambda L: True if L[0]=='CD021' and L[2]=='HK0000226404' else False
item = firstOf(bond1_cost, rows)
self.assertTrue(item != None)
self.assertEqual(item[3], '12229')
self.assertAlmostEqual(item[4], 99.027)
item = firstOf(bond1_yield, rows)
self.assertTrue(item != None)
self.assertEqual(item[3], '12229')
self.assertAlmostEqual(item[4], 6.2)
def groupToTicket(group):
"""
[List] group of tickets => [Dictionary] ticket
"""
isActiveTicket = lambda g: \
g[0]['Repo Sta'] == 'Active'
getMrcTicket = lambda g: \
firstOf(lambda el: el['Type'] == 'MRC', g)
getRtTicket = lambda g: \
firstOf(lambda el: el['Type'] == 'RT', g)
getKmrTicket = lambda g: \
firstOf(lambda el: el['Type'] == 'KMR', g)
getCrTicket = lambda g: \
firstOf(lambda el: el['Type'] == 'CR', g)
return \
mergeDictionary(getRtTicket(group), {'Tkt #': getMrcTicket(group)['Tkt #']}) \
if isActiveTicket(group) else \
mergeDictionary(getCrTicket(group), {'Orig Tkt': getKmrTicket(group)['Orig Tkt']})
def cashEntry(lineItems):
"""
[List] lineItems => [Tuple] (currency, amount)
"""
isFloat = lambda x: True if isinstance(x, float) else False
isCurrencyString = lambda x: True if isinstance(x, str) \
and len(x) > 6 and x[0] == '(' \
and x[6] == ')' \
else False
amount = firstOf(isFloat, lineItems)
currencyString = firstOf(isCurrencyString, lineItems)
if amount == None or currencyString == None:
raise ValueError('cashEntry(): cannot parse cash entry: {0}'.format(lineItems))
return (currencyString.strip()[2:5], amount)
def getPosition(lines):
"""
[Iterable] lines => [Iterable] positions
lines: from the Excel worksheet containing the holdings
Return an iterable object on the list of holding positions. Each position
is a dictionary.
"""
nonEmptyString = lambda s: s != ''
position = lambda headers, values: dict(zip(headers, values))
nonEmptyLine = lambda L: False if len(L) == 0 else nonEmptyString(L[0])
headerLine = lambda L: L[0] == 'Trader Name' if len(L) > 0 else False
nomuraOnly = lambda p: p['Trader Name'] == '40017-B'
toDateString = lambda f: fromExcelOrdinal(f).strftime('%d%m%Y')
def updateValue(p):
p['As of Date'] = toDateString(p['As of Date'])
p['Settlement Date'] = toDateString(p['Settlement Date'])
return p
headers = list(takewhile(nonEmptyString, firstOf(headerLine, lines)))
return map(
updateValue,
filter(nomuraOnly,
map(partial(position, headers), takewhile(nonEmptyLine,
lines))))
def testRawPosition(self):
inputFile = join(getCurrentDirectory(), 'samples',
'Holding _22102019.xlsx')
dt, positions = (lambda t: (t[0], list(t[1])))(getPositions(inputFile))
self.assertEqual('2019-10-22', dt)
self.assertEqual(48, len(positions))
self.verifyRawPosition(firstOf( lambda p: p['Security Name'] == 'EASY TACTIC LTD 9.125% 28/07/2022'\
, positions))
def testGetCashFromBalancenActivityFiles(self):
activityFile = join(getCurrentDirectory(), 'samples', 'Cash Stt _21042020_activity.xlsx')
balanceFile = join(getCurrentDirectory(), 'samples', 'Cash Stt _21042020.xlsx')
date, positions = getCashFromBalancenActivityFiles(balanceFile, activityFile)
self.assertEqual('2020-04-21', date)
positions = list(positions)
self.assertEqual(3, len(positions))
usd = firstOf(lambda p: p['currency'] == 'USD', positions)
self.assertEqual('JIC INTERNATIONAL LIMITED - CLFAMC', usd['portfolio'])
self.assertEqual('2020-04-21', usd['date'])
self.assertAlmostEqual(207111.65, usd['balance'])
hkd = firstOf(lambda p: p['currency'] == 'HKD', positions)
self.assertAlmostEqual(579, hkd['balance'])
eur = firstOf(lambda p: p['currency'] == 'EUR', positions)
self.assertAlmostEqual(0, eur['balance'])
def testOutputData2(self):
inputFile = join(getCurrentDirectory(), 'samples',
'Holding _24102019.xlsx')
postfix, data = (lambda t: (t[0], list(t[1])))(toOutputData(inputFile))
self.assertEqual('_nomura_2019-10-24_position', postfix)
self.assertEqual(49, len(data))
self.assertEqual(getHoldingHeaders(), data[0])
self.verifyOutputLine2(firstOf( lambda line: line[4] == ''\
, map(list, data)))
def testFolder(self):
"""
Read a folder and pick another position to test.
"""
rows = list(folderToTSCF(join(get_current_path()
, 'samples', 'test_historical')))
self.assertEqual(240, len(rows)) # 12229 has 77 bond positions,
# 12366 has 43 bond positions,
# so total 120 positions and 240 rows
bond2_cost = lambda L: True if L[0]=='CD022' and L[2]=='US06428YAA47' and L[3]=='12366' else False
bond2_yield = lambda L: True if L[0]=='CD021' and L[2]=='US06428YAA47' and L[3]=='12366' else False
item = firstOf(bond2_cost, rows)
self.assertTrue(item != None)
self.assertAlmostEqual(item[4], 100)
item = firstOf(bond2_yield, rows)
self.assertTrue(item != None)
self.assertAlmostEqual(item[4], 5.9)
def testAllFiles(self):
files = \
[ '01 cash only.xls'
, '02 cash multiple bond.xls'
, '03 cash equity.xls'
, '04 cash usd bond.xls'
, '05 cash multiple bond.xls'
, '06 multiple cash multiple bond.xls'
, '07 multiple cash multiple bond.xls'
]
countHTMPositions = partial(countPositions,
lambda p: p['AssetType'] == 'HTMBond')
countAllHTMPositions = lambda files: compose(
list, partial(map, countHTMPositions), partial(map, readFile),
partial(map, lambda f: join(getCurrentDirectory(), 'samples', f)))(
files)
self.assertEqual([0, 11, 0, 11, 51, 75, 74],
countAllHTMPositions(files))
htmPositions = compose(
list, getHTMPositionsFromFiles,
partial(
map,
lambda f: join(getCurrentDirectory(), 'samples', f)))(files)
self.assertEqual(222, len(htmPositions))
# Test consolidated position
self.verifyUSDHTMBondPosition2(
firstOf(
lambda p: p['Portfolio'] == '12630' and p['ISIN'] ==
'US55608KAD72', htmPositions))
# Test ISIN code swap
self.verifyUSDHTMBondPosition3(
firstOf(
lambda p: p['Portfolio'] == '12734' and p['Description'] ==
'DBANFB12014 Dragon Days Ltd 6.0%', htmPositions))
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 currencyFromName(name):
"""
Extract the currency from the security name
[String] name => [String] currency
security name looks like:
HUI XIAN REAL ESTATE INVESTMENT TRUST REIT CNY
PICC PROPERTY & CASUALTY CO LTD COMMON STOCK HKD 1
1MDB ENERGY LTD NOTES FIXED 5.99% 11/MAY/2022 USD 100000
"""
isCurrency = lambda x: x in ['HKD', 'USD', 'CNY', 'SGD', 'JPY', 'EUR']
return firstOf(isCurrency, name.split()[-2:])
def testConsolidate(self): inputFile = join(getCurrentDirectory(), 'samples', 'poll_result.xlsx') records = compose( list , consolidate , getRawHoldingPositions )(inputFile) self.assertEqual(44, len(records)) self.assertEqual(1, len(list(filter( lambda p: p['Email'] == '*****@*****.**' , records)))) self.assertEqual(1, len(list(filter( lambda p: p['Email'] == '*****@*****.**' , records)))) self.assertEqual( 'Surface laptop (Intel i5/8GB RAM/128GB SSD)' , firstOf( lambda p: p['Email'] == '*****@*****.**' , records)['Item'])
def getPositionsFromLines(lines):
"""
[Iterator] lines => [Iterator] positions
"""
getHeaderLine = lambda lines: \
firstOf(lambda line: len(line) > 0 and line[0] == 'Trader Name', lines)
getHeaderFromLine = compose(list, partial(takewhile, lambda s: s != ''))
toPosition = lambda headers, line: \
dict(zip(headers, line))
return compose(
lambda t: map(partial(toPosition, getHeaderFromLine(t[0])), t[1])
, lambda t: lognRaise('getPositionsFromLines(): failed to get header line') \
if t[0] == None else t
, lambda lines: (getHeaderLine(lines), lines)
)(lines)
def folderToTSCF(folder):
"""
[String] folder => [Iterable] TSCF rows
folder: a folder containing the historical data file and all the Geneva
tax lot appraisal report files (Excel).
"""
isHistoricalDataFile = lambda f: f.split('\\')[-1].startswith(
'CLO Holdings')
dataFile = firstOf(isHistoricalDataFile, getExcelFiles(folder))
if (dataFile == None):
print('folderToTSCF(): data file not found')
raise ValueError
else:
print('folderToTSCF(): data file: {0}'.format(dataFile))
historicalData = toDictionary(getRawPositions(fileToLines(dataFile)))
glueTogether = lambda L: reduce(chain, L, [])
return glueTogether(
map(partial(fileToTSCF, historicalData),
filterfalse(isHistoricalDataFile, getExcelFiles(folder))))
# coding=utf-8 # import unittest2 from risk_report.lqa import createLqaPositions from risk_report.data import getPositionDate from risk_report.utility import getCurrentDirectory from functools import partial from utils.iter import firstOf from toolz.functoolz import compose from os.path import join findById = lambda id, positions: \ firstOf(lambda p: p['Id'] == id, positions) findByName = lambda name, positions: \ firstOf(lambda p: p['Name'] == name, positions) class TestLqa(unittest2.TestCase): def __init__(self, *args, **kwargs): super(TestLqa, self).__init__(*args, **kwargs)
