def test__usd_assets_that_is_older_than_rub():
p_usd = lib.portfolio(assets={'us/T': 1}, currency='usd')
assert p_usd.get_return().start_period == pd.Period('1983-12', freq='M')
p_rub = lib.portfolio(assets={'us/T': 1}, currency='rub')
assert p_rub.get_return().start_period == pd.Period('1992-08', freq='M')
assert p_usd.get_return().end_period == p_rub.get_return().end_period
def test__create_portfolio_with_default_values():
assets = {'micex/FXRU': 1., 'mut_ru/0890-94127385': 1.}
period_start = pd.Period('2014-1', freq='M')
period_now = pd.Period.now(freq='M')
assert period_now == pd.Period('2019-2', freq='M')
p1 = lib.portfolio(assets=assets, currency='rub')
assert_that(p1, not_none())
assert_that(p1.assets, has_length(2))
assert p1.get_return().start_period == period_start
assert p1.get_return().end_period == period_now - 1
sp2 = pd.Period('2017-1', freq='M')
p2 = lib.portfolio(assets=assets, start_period=str(sp2), currency='rub')
assert_that(p2, not_none())
assert_that(p2.assets, has_length(2))
assert p2.get_return().start_period == sp2 + 1
assert p2.get_return().end_period == period_now - 1
ep3 = pd.Period('2018-3', freq='M')
p3 = lib.portfolio(assets=assets, end_period=str(ep3), currency='rub')
assert_that(p3, not_none())
assert_that(p3.assets, has_length(2))
assert p3.get_return().start_period == period_start
assert p3.get_return().end_period == ep3
def portfolio():
asset_names = {'nlu/xxxx': 1, 'micex/FXRU': 2, 'micex/FXMM': 3}
portfolio = lib.portfolio(assets=asset_names,
start_period=str(_portfolio_period_start),
end_period=str(_portfolio_period_end),
currency='USD')
assert_that(portfolio.assets, has_length(2))
return portfolio
def test__default_periods():
asset = lib.portfolio_asset(name='micex/SBER')
assert asset.close().start_period >= pd.Period('1900-1', freq='M')
assert pd.Period.now(freq='M') >= asset.close().end_period
assert asset.currency.value == Currency.RUB
portfolio = lib.portfolio(assets={'micex/SBER': 1.}, currency='rub')
assert portfolio.get_return().start_period >= pd.Period('1900-1', freq='M')
assert pd.Period.now(freq='M') >= portfolio.get_return().end_period
def test__initial_data():
assert_that(_portfolio.assets, has_length(3))
p = lib.portfolio(assets=_asset_names,
start_period=str(_portfolio_period_start),
end_period=str(_portfolio_period_end),
currency='RUB')
assert_that(p.assets, has_length(3))
assert_that(
p.assets['mut_ru/0890-94127385'].close().values,
contains(*[
1055.64, 1094.14, 1080.76, 1074.51, 1091.37, 1151.83, 1103.9,
1147.5, 1193.69, 1175.64, 1199.64, 1233.88, 1252.67, 1302.46,
1268.7, 1269.31, 1334.93, 1351.45, 1357.41, 1366.64, 1444.08,
1535.61, 1525.6, 1403.08, 1375.97, 1390.39, 1314.96
]))
assert_that(
p.assets['micex/FXRU'].close().values,
contains(*[
5070., 4670., 4830., 5110., 5650., 6130., 6160., 6140., 6330.,
7020., 7230., 7250., 6720., 6540., 6710., 6630., 6760., 6770.,
6550., 6610., 6570., 6260., 6310., 6110., 5970., 6110., 6190.
]))
assert_that(
p.assets['micex/FXMM'].close().values,
contains(*[
1097.2, 1110., 1121.7, 1135.5, 1146.5, 1155.7, 1164.4, 1174.3,
1183.8, 1194.7, 1203.8, 1215.1, 1228.6, 1233.2, 1237.3, 1246.6,
1253.7, 1265.5, 1273.4, 1282.7, 1292.1, 1302.2, 1308.6, 1317.2,
1327.5, 1336.8, 1346.1
]))
assert_that(
np.round(_portfolio.get_return().values, 8).tolist(),
contains(*[
0.12229691, -0.01582228, -0.02737772, -0.01702011, -0.06406856,
-0.01160388, 0.04782469, 0.00100095, -0.06237734, -0.0103524,
0.01680251, 0.09387303, 0.06095007, -0.02852904, 0.02625182,
-0.01216933, 0.04138359, 0.02000188, 0.01177389, -0.00741344,
0.08587424, 0.00909396, -0.00811951, 0.01276804, 0.00324936,
-0.0100885
]))
assert_that(
np.round(_portfolio.get_return(real=True).values, 8).tolist(),
contains(*[
0.12001991, -0.0208132, -0.03077293, -0.01708596, -0.0627414,
-0.01006255, 0.04829642, 0.00311853, -0.05916249, -0.01198559,
0.01596637, 0.08918301, 0.05594384, -0.03244377, 0.02289264,
-0.01056843, 0.04042848, 0.01755568, 0.01051378, -0.00586757,
0.08551928, 0.00324703, -0.01123018, 0.01194533, 0.00028252,
-0.01093415
]))
def test__return_empty_list_or_none_if_symbol_doesnt_exist():
nonexisting_id = 'mut_ru/xxx'
asset = lib.portfolio_asset(name=nonexisting_id)
assert_that(asset, none())
assets = lib.portfolio_asset(names=[nonexisting_id])
assert_that(assets, empty())
assets = lib.portfolio_asset(names=['micex/FXRU', nonexisting_id])
assert_that(assets, has_length(1))
portfolio = lib.portfolio(assets={
'micex/FXRU': 1.,
nonexisting_id: 1.
},
currency='USD')
assert len(portfolio.assets) == 1
nonexisting_namespace = 'yyy/FXRU'
asset = lib.portfolio_asset(name=nonexisting_namespace)
assert_that(asset, none())
assets = lib.portfolio_asset(names=[nonexisting_namespace])
assert_that(assets, empty())
assets = lib.portfolio_asset(names=['micex/FXRU', nonexisting_namespace])
assert_that(assets, has_length(1))
portfolio = lib.portfolio(assets={
'micex/FXRU': 1.,
nonexisting_namespace: 1.
},
currency='USD')
assert_that(portfolio.assets, has_length(1))
def test__risk():
short_portfolio = lib.portfolio(assets=_asset_names,
start_period='2016-8',
end_period='2016-12',
currency='USD')
assert_that(
calling(short_portfolio.risk).with_args(period='year'),
raises(Exception))
assert _portfolio.risk().kind == TimeSeriesKind.REDUCED_VALUE
assert _portfolio.risk(period='year').kind == TimeSeriesKind.REDUCED_VALUE
assert _portfolio.risk(period='month').kind == TimeSeriesKind.REDUCED_VALUE
assert_that(_portfolio.risk(period='year').value, close_to(.1688, delta))
assert_that(_portfolio.risk(period='month').value, close_to(.0432, delta))
assert_that(_portfolio.risk().value, close_to(.1688, delta))
def test__normalize_weights():
assert_that(np.sum(_portfolio.weights), close_to(1., delta))
assert_that(_portfolio.assets['mut_ru/0890-94127385'].weight,
close_to(.4444, delta))
assert_that(_portfolio.assets['micex/FXRU'].weight, close_to(.3333, delta))
assert_that(_portfolio.assets['micex/FXMM'].weight, close_to(.2222, delta))
asset_names = {'mut_ru/xxxx-xxxxxxxx': 1, 'micex/FXRU': 2, 'micex/FXMM': 3}
portfolio_misprint = lib.portfolio(
assets=asset_names,
start_period=str(_portfolio_period_start),
end_period=str(_portfolio_period_end),
currency='USD')
assert_that(np.sum(portfolio_misprint.weights), close_to(1., delta))
assert_that(portfolio_misprint.assets['micex/FXRU'].weight,
close_to(.4, delta))
assert_that(portfolio_misprint.assets['micex/FXMM'].weight,
close_to(.6, delta))
def configure(self, bind):
bind('symbol_sources', to_class=TestSymbolSources)
obj_graph = pinject.new_object_graph(binding_specs=[BindingSpec()])
cifrum_instance = obj_graph.provide(lib.Cifrum)
return cifrum_instance
return CifrumInstanceFactory()
__portfolio = lib.portfolio(assets={
'mut_ru/0890-94127385': 1.,
'micex/FXRU': 1.,
'micex/FXMM': 1.,
'cbr/USD': 1.,
'cbr/EUR': 1.,
'cbr/RUB': 1.
},
start_period='2015-3',
end_period='2017-5',
currency='USD')
@pytest.mark.parametrize('unsupported_id',
['infl/RUB', 'infl/USD', 'infl/EUR', 'cbr/TOP_rates'])
def test__fail_if_asset_security_type_is_not_supported(unsupported_id):
foo = calling(lib.portfolio_asset).with_args(name=unsupported_id,
start_period='2011-3',
end_period='2015-5',
currency='USD')
assert_that(foo, raises(AssertionError))
def test__handle_assets_with_monthly_data_gaps(currency: Currency):
p = lib.portfolio(assets={'micex/KUBE': 1}, currency=currency.name)
assert_that(p, not_none())
assert_that(p.assets, has_length(1))
assert_that(p.get_return(), is_not(empty()))
def test__handle_portfolio_with_asset_with_dash_in_name(currency: Currency):
p = lib.portfolio(assets={'us/BRK-B': 1}, currency=currency.name)
assert_that(p, not_none())
assert_that(p.assets, has_length(1))
assert_that(p.get_return(), is_not(empty()))
import numpy as np
import pandas as pd
import pytest
from hamcrest import assert_that, has_length, contains, not_none, close_to, calling, raises, is_not, empty
import cifrum as lib
from conftest import delta, decimal_places
from cifrum.common.enums import Currency
from cifrum.common.time_series import TimeSeriesKind
_portfolio_period_start = pd.Period('2015-3', freq='M')
_portfolio_period_end = pd.Period('2017-5', freq='M')
_asset_names = {'mut_ru/0890-94127385': 4, 'micex/FXRU': 3, 'micex/FXMM': 2}
_portfolio = lib.portfolio(assets=_asset_names,
start_period=str(_portfolio_period_start),
end_period=str(_portfolio_period_end),
currency='USD')
def test__initial_data():
assert_that(_portfolio.assets, has_length(3))
p = lib.portfolio(assets=_asset_names,
start_period=str(_portfolio_period_start),
end_period=str(_portfolio_period_end),
currency='RUB')
assert_that(p.assets, has_length(3))
assert_that(
p.assets['mut_ru/0890-94127385'].close().values,
contains(*[