def get_performance(resultset, from_date, to_date):
df = pd.DataFrame.from_records(
Performance(
mock_src.MockSource(resultset, filename='client-demo.xlsx'),
InMemoryBlockStore()).report(False, from_date, to_date, to_date))[[
'date', 'mv', 'flows', 'inception'
]]
return nicer(df)
def test_volatility_example():
# Test based upon the example here:
# http://invest-made-easy.blogspot.com/2013/03/understanding-volatility-and-sharpe.html
# The calculated standard deviation of the monthly returns should be 2.25%
vol_fields = [DAY, VOL_INC, ANN_VOL_INC]
df = pd.DataFrame.from_records(
Performance(entity_scope="test",
entity_code="test_5yr_vol",
src=mock_src.MockSource(
'VolEx1',
filename=Path(__file__).parent.parent.joinpath(
"test-data.xlsx")),
block_store=InMemoryBlockStore()).report(
False,
'2019-12-31',
'2020-01-11',
'2020-01-11',
fields=vol_fields))[['date', 'mv'] + vol_fields]
volatility = df[VOL_INC].values[-1]
assert volatility == pytest.approx(0.0225, abs=0.00005)
from pathlib import Path
import pytest
import uuid
from pds import PerformanceDataSet
from performance_sources import mock_src
from misc import *
from block_stores.block_store_in_memory import InMemoryBlockStore
from block_stores.block_store_structured_results import BlockStoreStructuredResults
from tests.utilities.environment import test_scope
from tests.utilities.api_factory import api_factory
from interfaces import IBlockStore
src = mock_src.MockSource('Set1', filename=Path(__file__).parent.parent.joinpath("test-data.xlsx"))
def add_block(entity_scope: str, entity_code: str, bs: InMemoryBlockStore, sd, ed, ad) -> None:
"""
Adds a block to a block store
:param str entity_scope: The scope of the entity to add
:param str entity_code: The code of the entity to add
:param InMemoryBlockStore bs: The block store to add the block to
:param sd: The effectiveAt start date
:param ed: The effectiveAt end date
:param ad: The asAt date
:return: None
"""