def test_finished_roll_pre_expiry_static_transition(dates):
contract_dates = dates.iloc[0:2]
ts = dates.iloc[0] + BDay(-2)
cols = pd.MultiIndex.from_product([[0], ['front', 'back']])
idx = [-9, -8]
transition = pd.DataFrame([[1.0, 0.0], [0.0, 1.0]],
index=idx,
columns=cols)
wts = mappings.static_transition(ts, contract_dates, transition)
wts_exp = [(0, 'CLZ16', 1.0, ts)]
assert wts == wts_exp
def test_non_numeric_column_static_transition(dates):
contract_dates = dates.iloc[0:2]
ts = dates.iloc[0] + BDay(-8)
cols = pd.MultiIndex.from_product([["CL1"], ['front', 'back']])
idx = [-2, -1, 0]
transition = pd.DataFrame([[1.0, 0.0], [0.5, 0.5], [0.0, 1.0]],
index=idx,
columns=cols)
wts = mappings.static_transition(ts, contract_dates, transition)
wts_exp = [("CL1", 'CLX16', 1.0, ts)]
assert wts == wts_exp
def test_static_bad_transitions(dates):
contract_dates = dates.iloc[[0]]
ts = dates.iloc[0] + BDay(-8)
# transition does not contain 'front' column
cols = pd.MultiIndex.from_product([[0], ['not_front', 'back']])
idx = [-2, -1, 0]
transition = pd.DataFrame([[1.0, 0.0], [0.5, 0.5], [0.0, 1.0]],
index=idx,
columns=cols)
with pytest.raises(ValueError):
mappings.static_transition(ts, contract_dates, transition)
# transition does not sum to one across rows
cols = pd.MultiIndex.from_product([[0], ['front', 'back']])
transition = pd.DataFrame([[1.0, 0.0], [0.5, 0.0], [0.0, 1.0]],
index=idx,
columns=cols)
with pytest.raises(ValueError):
mappings.static_transition(ts, contract_dates, transition)
# transition is not monotonic increasing in back
transition = pd.DataFrame([[0.7, 0.3], [0.8, 0.2], [0.0, 1.0]],
index=idx,
columns=cols)
with pytest.raises(ValueError):
mappings.static_transition(ts, contract_dates, transition)
def test_not_in_roll_one_generic_filtering_front_contracts_static_transition(
dates): # NOQA
contract_dates = dates.iloc[0:2]
ts = dates.iloc[1] + BDay(-8)
cols = pd.MultiIndex.from_product([[0], ['front', 'back']])
idx = [-2, -1, 0]
transition = pd.DataFrame([[1.0, 0.0], [0.5, 0.5], [0.0, 1.0]],
index=idx,
columns=cols)
wts = mappings.static_transition(ts, contract_dates, transition)
wts_exp = [(0, 'CLZ16', 1.0, ts)]
assert 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)
def test_no_roll_date_two_generics_static_transition(dates):
dt = dates.iloc[0]
contract_dates = dates
ts = dt + BDay(-8)
cols = pd.MultiIndex.from_product([[0, 1], ['front', 'back']])
idx = [-2, -1, 0]
transition = pd.DataFrame(
[[1.0, 0.0, 1.0, 0.0], [0.5, 0.5, 0.5, 0.5], [0.0, 1.0, 0.0, 1.0]],
index=idx,
columns=cols)
wts = mappings.static_transition(ts, contract_dates, transition)
wts_exp = [(0, 'CLX16', 1.0, ts), (1, 'CLZ16', 1.0, ts)]
assert wts == wts_exp
def test_roll_with_holiday(dates):
contract_dates = dates.iloc[-2:]
ts = pd.Timestamp("2016-11-17")
cols = pd.MultiIndex.from_product([[0], ['front', 'back']])
idx = [-2, -1, 0]
transition = pd.DataFrame([[1.0, 0.0], [0.5, 0.5], [0.0, 1.0]],
index=idx,
columns=cols)
holidays = [np.datetime64("2016-11-18")]
# the holiday moves the roll schedule up one day, since Friday is
# excluded as a day
wts = mappings.static_transition(ts, contract_dates, transition, holidays)
wts_exp = [(0, 'CLZ16', 0.5, ts), (0, 'CLF17', 0.5, ts)]
assert wts == wts_exp