def setup_banks1():
simInfo = SimulationInfo()
parameterDefs = simulator.define_parameters()
eParams = Parameters(parameterDefs)
banks = []
econ = Economy(simInfo, "Economy1", eParams)
for i in range(5):
params = Parameters(parameterDefs, econ.params)
banks.append(Bank(simInfo, "bank%s" % i, econ, params))
econ.params.set('fireSaleFactor', 0.0)
inv1 = econ.create_investment()
inv2 = econ.create_investment()
inv3 = econ.create_investment()
inv1.buy(50, banks[0])
inv2.buy(10, banks[1])
inv2.buy(20, banks[2])
inv2.buy(40, banks[4])
inv3.buy(10, banks[1])
inv3.buy(20, banks[2])
inv3.buy(30, banks[3])
inv3.buy(40, banks[4])
# total investments: 0 50, 1 20, 2 40, 3 30, 4 80
banks[0].add_loan(banks[1], amount=1)
banks[0].add_loan(banks[2], amount=2)
banks[0].add_loan(banks[3], amount=3)
banks[0].add_loan(banks[4], amount=4)
banks[1].add_loan(banks[0], amount=10)
banks[2].add_loan(banks[0], amount=20)
banks[3].add_loan(banks[0], amount=30)
banks[4].add_loan(banks[0], amount=40)
# lending: 0 10, 1 10, 2 20, 3 30, 4 40
# borrowing: 0 100, 1 1, 2 2, 3 3, 4 4
# matrix: 0 1 2 3 4
# 10 0 0 0 0
# 20 0 0 0 0
# 30 0 0 0 0
# 40 0 0 0 0
banks[0].deposits = 10
banks[1].deposits = 20
banks[2].deposits = 30
banks[3].deposits = 40
banks[4].deposits = 50
# liabilities: 0 110, 1 21, 2 32, 3 43, 4 54
banks[0].cash = 50
banks[1].cash = 20
banks[2].cash = 15
banks[3].cash = 10
banks[4].cash = 5
# assets: 0 110, 1 50, 2 75, 3 70, 4 125
# capital: 0 0, 1 29, 2 43, 3 27, 4 71
return banks, econ, simInfo
def test_investments_buy2(self):
parameterDefs = simulator.define_parameters()
eParams = Parameters(parameterDefs)
econ = Economy(self.simInfo, "Economy1", eParams)
newI = econ.create_investment()
econ.params.set('fireSaleFactor', 0.0)
self.simInfo.updateCount = 1
newI.set_price(2)
q, v = newI.buy(3, "buyer1")
eq_(q, 3, "expected quantity 3 but got %r (1)" % q)
eq_(v, 6, "expected consideration 6 but got %r (1)" % v)
check_asset_network(self.simInfo, nodes=2, edges=1, tag="buy3")
check_asset_holding(newI, "buyer1", quantity=3, value=6, tag="buy3")
check_asset_totals(self.simInfo, newI, 3, 2, tag="buy3")
self.simInfo.updateCount = 2
q, v = newI.buy(4, "buyer2")
eq_(q, 4, "expected quantity 4 but got %r (2)" % q)
eq_(v, 8, "expected consideration 8 but got %r (2)" % v)
check_asset_network(self.simInfo, nodes=3, edges=2, tag="buy4")
check_asset_holding(newI, "buyer1", quantity=3, value=6, tag="buy4")
check_asset_holding(newI, "buyer2", quantity=4, value=8, tag="buy4")
check_asset_totals(self.simInfo, newI, 7, 2, tag="buy4")
self.simInfo.updateCount = 3
q, v = newI.buy(2, "buyer3")
eq_(q, 2, "expected quantity 2 but got %r (3)" % q)
eq_(v, 4, "expected consideration 4 but got %r (3)" % v)
check_asset_network(self.simInfo, nodes=4, edges=3, tag="buy5")
check_asset_holding(newI, "buyer1", quantity=3, value=6, tag="buy5")
check_asset_holding(newI, "buyer2", quantity=4, value=8, tag="buy5")
check_asset_holding(newI, "buyer3", quantity=2, value=4, tag="buy5")
check_asset_totals(self.simInfo, newI, 9, 2, tag="buy3")
self.simInfo.updateCount = 4
q, v = newI.sell(5, "buyer2")
eq_(q, 4, "expected quantity 4 but got %r (4)" % q)
eq_(v, 8, "expected consideration 8 but got %r (4)" % v)
check_asset_network(self.simInfo, nodes=4, edges=2, tag="buy5")
check_asset_holding(newI, "buyer1", quantity=3, value=6, tag="buy5")
check_asset_holding(newI, "buyer2", quantity=0, value=0, tag="buy5")
check_asset_holding(newI, "buyer3", quantity=2, value=4, tag="buy5")
check_asset_totals(self.simInfo, newI, 5, 2, tag="buy3")
def test_firesale(self):
parameterDefs = simulator.define_parameters()
eParams = Parameters(parameterDefs)
simInfo = SimulationInfo()
econ = Economy(simInfo, "Economy1", eParams)
inv = []
holders = []
for i in range(5):
inv.append(econ.create_investment())
holders.append("holder%s" % i)
econ.params.set('fireSaleFactor', 1.0) # price is affected by sales
simInfo.updateCount = 1
for i in range(5):
inv[0].buy(5, holders[i])
inv[1].buy(5, holders[i])
# one holder sells a bit of the investment
simInfo.updateCount = 2
q, v = inv[0].sell(1, holders[0])
assert v < 1, "expected consideration < 1 but is %f" % v
eq_(v, inv[0].currentPrice,
"expected consideration equal to price but they are %f, %f" % (v, inv[0].currentPrice))
check_asset_holding(inv[0], holders[0], quantity=4, value=4 * v, tag="fs1")
check_asset_holding(inv[0], holders[1], quantity=5, value=5 * v, tag="fs1")
price1 = inv[0].currentPrice
simInfo.updateCount = 3
q, v = inv[0].sell(3, holders[2]) # a total of 4 has now been sold
price2 = inv[0].currentPrice
assert price2 < price1, "expected price < %f but is %f (fs2)" % (price1, price2)
assert approx_equal(v, price2 * q, 0.00001), "expected consideration %f but is %f (fs2)" % (price2 * q, v)
simInfo.updateCount = 4
inv[1].sell(4, holders[3]) # sell 4, so price should be same as inv0
price3 = inv[1].currentPrice
assert approx_equal(price2, price3, 0.00001), "expected price to be %f but is %f (fs3)" % (price2, price3)
pHistory = inv[1].priceHistory
when, price = pHistory[-1]
eq_(4, when, "expected last item in price history to be at time 4 but got %r" % when)
eq_(price3, price, "expected last item in price history to be price %f but got %f" % (price3, price))
def test_investment_shock(self):
parameterDefs = simulator.define_parameters()
eParams = Parameters(parameterDefs)
econ1 = Economy(self.simInfo, "Economy1", eParams)
eParams = Parameters(parameterDefs)
econ2 = Economy(self.simInfo, "Economy2", eParams)
inv = []
for i in range(10):
inv.append(econ1.create_investment())
inv.append(econ2.create_investment())
econ1.params.set('investmentShockFactor', .5)
econ1.params.set('investmentShockProportion', .8)
self.simInfo.updateCount = 2
victims = econ1.do_investment_shock()
eq_(len(victims), 8, "expected 8 investments to be affected but got %r" % len(victims))
for victim in victims:
eq_(victim.currentPrice, 0.5,
"expected price of %s to be .5 but got %f" % (victim.id_, victim.currentPrice))
econ2.params.set('investmentShockFactor', .25)
econ2.params.set('investmentShockProportion', .1)
victims = econ2.do_investment_shock()
eq_(len(victims), 1, "expected 1 investments to be affected but got %r" % len(victims))
for victim in victims:
eq_(victim.currentPrice, 0.75,
"expected price of %s to be .75 but got %f" % (victim.id_, victim.currentPrice))
def setUp(self):
self.simInfo = SimulationInfo()
parameterDefs = simulator.define_parameters()
eParams = Parameters(parameterDefs)
self.simInfo.theParameters = eParams
self.econ = Economy(self.simInfo, "Economy1", eParams)
self.banks = []
self.investments = []
for i in range(5):
params = Parameters(parameterDefs, self.econ.params)
self.banks.append(Bank(self.simInfo, "bank%s" % i, self.econ, params))
self.investments.append(self.econ.create_investment())
random.seed(1234)
def test_investment_create(self):
econ = Economy(self.simInfo, "Economy1")
newI = econ.create_investment()
eq_(newI.id_, "Economy1-inv0", "Expected investment to have name %r but is %r" % ("Economy1-inv0", newI.id_))
eq_(1, len(econ.investments), "expected one investment but got %r" % len(econ.investments))
inv = econ.investments[0]
eq_(newI, inv, "expected the same investment")
eq_(econ, inv.economy, "should be in this economy")
check_asset_network(self.simInfo, 1, 0, "inv1")
self.simInfo.updateCount = 1
econ.create_investment()
check_asset_network(self.simInfo, 2, 0, "inv2")
eq_(2, len(econ.investments), "expected 2 investments but got %r" % len(econ.investments))
self.simInfo.updateCount = 2
econ.create_investments(5)
eq_(7, len(econ.investments), "expected 7 investments but got %r" % len(econ.investments))
check_asset_network(self.simInfo, 7, 0, "inv3")
def test_revalue(self):
econ1 = Economy(self.simInfo, "Economy1")
econ2 = Economy(self.simInfo, "Economy2")
inv = []
for i in range(5):
inv.append(econ1.create_investment())
inv.append(econ2.create_investment())
self.simInfo.updateCount = 1
econ1.revalue_investments(1.5)
for i in range(5):
eq_(1.5, inv[i * 2].currentPrice,
"expected current price to be 1.5 but was %f for %r" % (inv[i * 2].currentPrice, i * 2))
eq_(1, inv[i * 2 + 1].currentPrice,
"expected current price to be 1.0 but was %f for %r" % (inv[i * 2 + 1].currentPrice, i * 2 + 1))
self.simInfo.updateCount = 2
inv[1].set_price(20)
econ2.revalue_investments(.1)
eq_(2, inv[1].currentPrice, "expected current price to be 2, but was %f" % inv[1].currentPrice)
pHistory = inv[1].priceHistory
when, price = pHistory[-1]
eq_(2, when, "expected last item in price history to be at time 2 but got %r" % when)
eq_(2, price, "expected last item in price history to be price 2 but got %f" % price)
def test_investments_buy1(self):
parameterDefs = simulator.define_parameters()
eParams = Parameters(parameterDefs)
econ = Economy(self.simInfo, "Economy1", eParams)
newI = econ.create_investment()
hLen = len(newI.priceHistory)
self.simInfo.updateCount = 1
newI.set_price(1.0)
hLen1 = len(newI.priceHistory)
eq_(hLen + 1, hLen1, "expected %r items in price history but got %r" % (hLen + 1, hLen1))
when, price = newI.priceHistory[hLen1 - 1]
eq_(1, when, "expected last item in price history to be at time 0 but was %r" % when)
eq_(1.0, price, "expected last price in price history to be 1.0 but was %r" % price)
self.simInfo.updateCount = 2
q, v = newI.buy(1, "buyer1")
eq_(q, 1, "expected quantity 1 but got %r (1)" % q)
eq_(v, 1, "expected consideration 1 but got %r (1)" % v)
check_asset_network(self.simInfo, nodes=2, edges=1, tag="buy1")
check_asset_holding(newI, "buyer1", 1, 1.0, tag="buy1")
check_asset_totals(self.simInfo, newI, 1, 1.0, "buy1")
hHistory = newI.holdingHistory["buyer1"]
eq_(1, len(hHistory), "expected 1 item in holding history but got %r" % len(hHistory))
when, amount = hHistory[-1]
eq_(2, when, "expected last item in holding history to be at time 1 but got %r" % when)
eq_(1, amount, "expected last item in holding history to be amount 1 but got %r" % amount)
self.simInfo.updateCount = 3
newI.set_price(2.0)
q, v = newI.buy(3, "buyer1")
eq_(q, 3, "expected quantity 3 but got %r (2)" % q)
eq_(v, 6, "expected consideration 6 but got %r (2)" % v)
check_asset_network(self.simInfo, nodes=2, edges=1, tag="buy1")
check_asset_holding(newI, "buyer1", 4, 8.0, tag="buy2")
check_asset_totals(self.simInfo, newI, 4, 2.0, tag="buy2")
eq_(newI.value("buyer2"), 0, "expected buyer2 value to be 0 but is %r" % newI.value("buyer2"))
eq_(newI.quantity("buyer2"), 0, "expected buyer2 quantity to be 0 but is %r" % newI.quantity("buyer2"))
# now sell some
self.simInfo.updateCount = 4
newI.set_price(5.0)
econ.params.set('fireSaleFactor', 0.0) # selling has no effect on price
q, v = newI.sell(3, "buyer1")
eq_(q, 3, "expected quantity 3 but got %r (4)" % q)
eq_(v, 15, "expected consideration 15 but got %r (4)" % v)
check_asset_network(self.simInfo, nodes=2, edges=1, tag="sell1")
check_asset_holding(newI, "buyer1", 1, 5.0, "sell1")
check_asset_totals(self.simInfo, newI, 1, 5.0, "sell1")
self.simInfo.updateCount = 5
q, v = newI.sell(1, "buyer2")
eq_(q, 0, "expected quantity 0 but got %r" % q)
eq_(v, 0, "expected consideration 0 but got %r" % v)
check_asset_network(self.simInfo, nodes=2, edges=1, tag="sell2")
check_asset_holding(newI, "buyer1", 1, 5.0, "sell2")
check_asset_totals(self.simInfo, newI, 1, 5.0, "sell2")
self.simInfo.updateCount = 6
q, v = newI.sell(-6, "buyer1")
eq_(q, 0, "expected quantity 0 but got %r (4.5)" % q)
eq_(v, 0, "expected consideration 0 but got %r (4.5)" % v)
check_asset_network(self.simInfo, nodes=2, edges=1, tag="sell3")
check_asset_holding(newI, "buyer1", 1, 5.0, "sell3")
check_asset_totals(self.simInfo, newI, 1, 5.0, "sell3")
pHistory = newI.priceHistory
when, price = pHistory[-1]
eq_(4, when, "expected last item in price history to be at time 4 but got %r" % when)
eq_(5.0, price, "expected last item in price history to be price 5 but got %r" % price)
self.simInfo.updateCount = 7
newI.set_price(3)
q, v = newI.sell(5, "buyer1")
eq_(q, 1, "expected quantity 1 but got %r (5)" % q)
eq_(v, 3, "expected consideration 3 but got %r (5)" % v)
check_asset_network(self.simInfo, nodes=2, edges=0, tag="sell4")
check_asset_holding(newI, "buyer1", 0, 0, "sell4")
check_asset_totals(self.simInfo, newI, 0, 3, "sell4")
self.simInfo.updateCount = 8
q, v = newI.buy(-6, "buyer1")
eq_(q, 0, "expected quantity 0 but got %r (6)" % q)
eq_(v, 0, "expected consideration 0 but got %r (6)" % v)
hHistory = newI.holdingHistory["buyer1"]
when, amount = hHistory[-1]
eq_(7, when, "expected last item in holding history to be at time 7 but got %r" % when)
eq_(0.0, amount, "expected last item in holding history to be amount 0 but got %r" % amount)
pHistory = newI.priceHistory
when, price = pHistory[-1]
eq_(7, when, "expected last item in price history to be at time 7 but got %r" % when)
eq_(3.0, price, "expected last item in price history to be price 3 but got %r" % price)
class TestUpdate:
def setUp(self):
self.simInfo = SimulationInfo()
parameterDefs = simulator.define_parameters()
eParams = Parameters(parameterDefs)
self.simInfo.theParameters = eParams
self.econ = Economy(self.simInfo, "Economy1", eParams)
self.banks = []
self.investments = []
for i in range(5):
params = Parameters(parameterDefs, self.econ.params)
self.banks.append(Bank(self.simInfo, "bank%s" % i, self.econ, params))
self.investments.append(self.econ.create_investment())
random.seed(1234)
def test_loan_default(self):
for i in range(4):
# a chain of banks
loanAmount = 5 * (i + 1)
self.simInfo.loanNetwork.add_edge(self.banks[i + 1], self.banks[i], amount=loanAmount)
self.banks[i].cash = 6
self.banks[0].deposits = 2
self.banks[4].deposits = 19
# at the outset, bank has capital -1, 1-4 have capital 1,
for b, cap in zip(range(5), [-1, 1, 1, 1, 1]):
bc = self.banks[b].equity_value()
eq_(cap, bc, "Expected bank %s to have capital %r but has %r" % (b, cap, bc))
simulator.do_updates(self.simInfo)
bankHistories = results.collect_bank_histories(self.simInfo)
# they should all have gone bust
for b in range(5):
assert self.banks[b].totalDefault < 1.0, "expected bank %s to have defaulted but it has not" % b
eq_(5, len(bankHistories.defaults), "5 banks should be bust but there are %r" % len(bankHistories.defaults))
# and they should be in order
for b in range(5):
eq_(bankHistories.defaults[b][1], self.banks[b].id_,
"expected %r to go bust would be %r but it is %r" % (b, self.banks[b], bankHistories.defaults[b][1]))
def test_investment_default1(self):
self.simInfo.theParameters.set('assetSalesFactor', 1.2) # fudge factor
self.simInfo.theParameters.set('targetCashProportion', 0.0)
self.econ.params.set('fireSaleFactor', 5.0) # large fire sale effect
for i in range(4):
# a chain of banks
self.investments[i].buy(10, self.banks[i])
self.investments[i].buy(10, self.banks[i + 1])
self.banks[i + 1].deposits = 15
self.investments[0].buy(10, self.banks[0])
self.investments[3].buy(10, self.banks[4])
self.banks[0].cash = -15
# at the outset, they all have capital 5
for b, cap in zip(range(5), [5, 5, 5, 5, 5]):
bc = self.banks[b].equity_value()
eq_(cap, bc, "Expected bank %s to have capital %r but has %r" % (b, cap, bc))
# bank 0 is going to have to sell its investments
simulator.do_updates(self.simInfo)
# 2 should have gone bust. bank 0 will have sold a lot of investment 0, which will make bank 1 bust.
# but bank 1 has no reason to sell, so no other banks feel the effects.
assert self.banks[0].totalDefault < 1.0, "bank 0 should have defaulted but has not"
assert self.banks[1].totalDefault < 1.0, "bank 1 should have defaulted but has not"
balanceSheetHistories, borrowingHistories, defaultHistories = results.collect_bank_histories(self.simInfo)
investmentHistories = results.collect_investment_histories(self.simInfo)
eq_(2, len(defaultHistories), "Should be 2 default events but got %r" % len(defaultHistories))
# and they should be in order
for b in range(len(defaultHistories)):
eq_(defaultHistories[b][1], self.banks[b].id_,
"expected %r to go bust would be %r but it is %r" % (b, self.banks[b], defaultHistories[b][1]))
pHistories = investmentHistories.prices
eq_(6, len(pHistories), "expected 6 price records but got %r" % len(pHistories))
lastPrice = pHistories[-1]
eq_(2, lastPrice.when, "expected last price record to have time 2 but got %r" % lastPrice.when)
eq_(self.investments[0].id_, lastPrice.investmentId,
"expected last price record to be for %r but got %r" % (self.investments[0].id_, lastPrice.investmentId))
hHistories = investmentHistories.holdings
lastHolding = hHistories[-1]
eq_(2, lastHolding.when, "expected last holding change to be at time 2 but got %r" % lastHolding.when)
eq_(self.investments[0].id_, lastHolding.investmentId,
"expected last holding record to be for %r but got %r" % (self.investments[0].id_,
lastHolding.investmentId))
def test_investment_default2(self):
self.econ.params.set('fireSaleFactor', 5.0) # large fire sale effect
self.econ.params.set('assetSalesFactor', 1.2) # fudge factor
self.econ.params.set('targetCashProportion', 0.0) # non-negative cash
for i in range(5):
# disconnected banks
self.investments[i].buy(20, self.banks[i])
self.banks[i].deposits = 15
# at the outset, they all have capital 5
for b, cap in zip(range(5), [5, 5, 5, 5, 5]):
bc = self.banks[b].equity_value()
eq_(cap, bc, "Expected bank %s to have capital %r but has %r" % (b, cap, bc))
self.econ.do_deposit_withdrawals(.9)
simulator.do_updates(self.simInfo)
for b in range(5):
assert self.banks[b].totalDefault < 1.0, "expected bank %s to have defaulted but it has not" % b
