def test_is_liquidated(self):
fund = Fund('F1', {'XXX': 10, 'YYY': 10}, 5, 2, 3)
self.assertFalse(fund.is_in_margin_call())
fund.is_liquidating = True
self.assertTrue(fund.is_in_margin_call())
fund.is_liquidating = False
self.assertFalse(fund.is_in_margin_call())
def test_update_funds(self):
assets = {
'XXX': Asset(1, 20, 1.5, 'XXX'),
'YYY': Asset(1, 20, 1.5, 'yyy')
}
f1 = Fund('F1', {'XXX': 10, 'YYY': 10}, 5, 2, 0.25)
f2 = Fund('F1', {'XXX': 5, 'YYY': 4}, 5, 2, 0.25)
f3 = Fund('F1', {'XXX': 20, 'YYY': 4}, 5, 2, 4)
network = AssetFundsNetwork({
'f1': f1,
'f2': f2,
'f3': f3
}, assets, MockMarketImpactTestCalculator())
network.update_funds()
self.assertTrue(f1.is_in_margin_call())
self.assertFalse(f1.default())
self.assertTrue(f2.is_in_margin_call())
self.assertTrue(f2.default())
self.assertFalse(f3.is_in_margin_call())
self.assertFalse(f3.default())
"""a0 = Asset(price=1, daily_volume=40, volatility=1.5, symbol='a0')
def test_update_state_margin_only(self):
assets = {
'XXX': Asset(1, 20, 1.5, 'XXX'),
'YYY': Asset(1, 20, 1.5, 'yyy')
}
fund = Fund('F1', {'XXX': 10, 'YYY': 10}, 5, 2, 0.25)
fund.update_state(assets)
self.assertTrue(fund.is_in_margin_call())
self.assertFalse(fund.default())