def testTimeseries(self):
cal = Calendar('China.SSE')
dates = cal.bizDatesList(Date(2014, 1, 1), Date(2015, 7, 21))
values = [0.1 * i for i, _ in enumerate(dates)]
ts = Timeseries(dates, values)
self.assertEqual(ts.size(), len(dates))
firstDate = ts.firstDate()
lastDate = ts.lastDate()
self.assertEqual(
dates[0], firstDate,
"Expected first date {0} is not equal to ts's first date {1}".
format(dates[0], firstDate))
self.assertEqual(
dates[-1], lastDate,
"Expected last date {0} is not equal to ts's last date {1}".format(
dates[-1], lastDate))
for date, value in zip(dates, values):
self.assertEqual(
ts[date], value,
"Expected value at day {0} is not equal to expected {1:f}".
format(date, value))
def __init__(self, type=NormalizingType.Null):
self._previous = None
self._current = None
self._type = type
if self._type == NormalizingType.BizDay or self._type == NormalizingType.CalendarDay:
self._isFirst = True
if self._type == NormalizingType.BizDay:
self._cal = Calendar('China.SSE')
def testHolDatesList(self):
holDtList = holDatesList('China.SSE', self.fromDate, self.toDate)
fromDate = Date.fromDateTime(self.fromDate)
currentDate = fromDate.toDateTime()
cal = Calendar('China.SSE')
while currentDate <= self.toDate:
finpyDate = Date.fromDateTime(currentDate)
if not cal.isBizDay(finpyDate):
self.assertTrue(finpyDate.toDateTime() in holDtList,
"{0} is expected as a holiday in {1}".format(finpyDate, cal))
currentDate = (finpyDate + 1).toDateTime()
def testHolDatesList(self):
holDtList = holDatesList('China.SSE', self.fromDate, self.toDate)
fromDate = Date.fromDateTime(self.fromDate)
currentDate = fromDate.toDateTime()
cal = Calendar('China.SSE')
while currentDate <= self.toDate:
finpyDate = Date.fromDateTime(currentDate)
if not cal.isBizDay(finpyDate):
self.assertTrue(finpyDate.toDateTime() in holDtList,
"{0} is expected as a holiday in {1}".format(finpyDate, cal))
currentDate = (finpyDate + 1).toDateTime()
def testAdjustDateByCalendar(self):
referenceDate = Date(2014, 10, 1)
cal = Calendar('China.SSE')
expected = adjustDateByCalendar('China.SSE', referenceDate.toDateTime())
calculated = cal.adjustDate(referenceDate)
self.assertEqual(expected, calculated.toDateTime())
referenceDate = Date(2014, 10, 8)
expected = adjustDateByCalendar('China.SSE', referenceDate.toDateTime(), BizDayConventions.Preceding)
calculated = cal.adjustDate(referenceDate, BizDayConventions.Preceding)
self.assertEqual(expected, calculated.toDateTime())
def testAdjustDateByCalendar(self):
referenceDate = Date(2014, 10, 1)
cal = Calendar('China.SSE')
expected = adjustDateByCalendar('China.SSE', referenceDate.toDateTime())
calculated = cal.adjustDate(referenceDate)
self.assertEqual(expected, calculated.toDateTime())
referenceDate = Date(2014, 10, 8)
expected = adjustDateByCalendar('China.SSE', referenceDate.toDateTime(), BizDayConventions.Preceding)
calculated = cal.adjustDate(referenceDate, BizDayConventions.Preceding)
self.assertEqual(expected, calculated.toDateTime())
def __init__(self, type=NormalizingType.Null):
self._previous = None
self._current = None
self._type = type
if self._type == NormalizingType.BizDay or self._type == NormalizingType.CalendarDay:
self._isFirst = True
if self._type == NormalizingType.BizDay:
self._cal = Calendar("China.SSE")
def testAdvanceDateByCalendar(self):
referenceDate = Date(2014, 10, 1)
cal = Calendar('China.SSE')
expected = advanceDateByCalendar('China.SSE', referenceDate.toDateTime(), '2D')
calculated = cal.advanceDate(referenceDate, '2D')
self.assertEqual(expected, calculated.toDateTime())
expected = advanceDateByCalendar('China.SSE', referenceDate.toDateTime(), '2D')
calculated = cal.advanceDate(referenceDate, '2D')
self.assertEqual(expected, calculated.toDateTime())
expected = advanceDateByCalendar('China.SSE', referenceDate.toDateTime(), '2B')
calculated = cal.advanceDate(referenceDate, '2B')
self.assertEqual(expected, calculated.toDateTime())
expected = advanceDateByCalendar('China.SSE', referenceDate.toDateTime(), '1Y')
calculated = cal.advanceDate(referenceDate, '1Y')
self.assertEqual(expected, calculated.toDateTime())
def testTimeseries(self):
cal = Calendar('China.SSE')
dates = cal.bizDatesList(Date(2014, 1, 1), Date(2015, 7, 21))
values = [0.1 * i for i, _ in enumerate(dates)]
ts = Timeseries(dates, values)
self.assertEqual(ts.size(), len(dates))
firstDate = ts.firstDate()
lastDate = ts.lastDate()
self.assertEqual(dates[0], firstDate, "Expected first date {0} is not equal to ts's first date {1}"
.format(dates[0], firstDate))
self.assertEqual(dates[-1], lastDate, "Expected last date {0} is not equal to ts's last date {1}"
.format(dates[-1], lastDate))
for date, value in zip(dates, values):
self.assertEqual(ts[date], value, "Expected value at day {0} is not equal to expected {1:f}"
.format(date, value))
class Normalizer(object):
def __init__(self, type=NormalizingType.Null):
self._previous = None
self._current = None
self._type = type
if self._type == NormalizingType.BizDay or self._type == NormalizingType.CalendarDay:
self._isFirst = True
if self._type == NormalizingType.BizDay:
self._cal = Calendar('China.SSE')
def normalizeOneDayReturn(self, pDate, pReturn):
if self._type == NormalizingType.Null:
return pReturn
elif self._type == NormalizingType.CalendarDay:
return self._calendarDayCalcualtion(pDate, pReturn)
elif self._type == NormalizingType.BizDay:
return self._bizDayCalculation(pDate, pReturn)
def _calendarDayCalcualtion(self, pDate, pReturn):
if self._isFirst:
self._isFirst = False
else:
daysBetween = pDate - self._previous
pReturn /= daysBetween
self._previous = pDate
return pReturn
def _bizDayCalculation(self, pDate, pReturn):
if self._isFirst:
self._isFirst = False
else:
daysBetween = self._cal.bizDaysBetween(self._previous, pDate, True,
False)
pReturn /= daysBetween
self._previous = pDate
return pReturn
class Normalizer(object):
def __init__(self, type=NormalizingType.Null):
self._previous = None
self._current = None
self._type = type
if self._type == NormalizingType.BizDay or self._type == NormalizingType.CalendarDay:
self._isFirst = True
if self._type == NormalizingType.BizDay:
self._cal = Calendar("China.SSE")
def normalizeOneDayReturn(self, pDate, pReturn):
if self._type == NormalizingType.Null:
return pReturn
elif self._type == NormalizingType.CalendarDay:
return self._calendarDayCalcualtion(pDate, pReturn)
elif self._type == NormalizingType.BizDay:
return self._bizDayCalculation(pDate, pReturn)
def _calendarDayCalcualtion(self, pDate, pReturn):
if self._isFirst:
self._isFirst = False
else:
daysBetween = pDate - self._previous
pReturn /= daysBetween
self._previous = pDate
return pReturn
def _bizDayCalculation(self, pDate, pReturn):
if self._isFirst:
self._isFirst = False
else:
daysBetween = self._cal.bizDaysBetween(self._previous, pDate, True, False)
pReturn /= daysBetween
self._previous = pDate
return pReturn
def testAdvanceDateByCalendar(self):
referenceDate = Date(2014, 10, 1)
cal = Calendar('China.SSE')
expected = advanceDateByCalendar('China.SSE', referenceDate.toDateTime(), '2D')
calculated = cal.advanceDate(referenceDate, Period('2D'))
self.assertEqual(expected, calculated.toDateTime())
expected = advanceDateByCalendar('China.SSE', referenceDate.toDateTime(), '2D')
calculated = cal.advanceDate(referenceDate, Period('2D'))
self.assertEqual(expected, calculated.toDateTime())
expected = advanceDateByCalendar('China.SSE', referenceDate.toDateTime(), '2B')
calculated = cal.advanceDate(referenceDate, Period('2B'))
self.assertEqual(expected, calculated.toDateTime())
expected = advanceDateByCalendar('China.SSE', referenceDate.toDateTime(), '1Y')
calculated = cal.advanceDate(referenceDate, Period('1Y'))
self.assertEqual(expected, calculated.toDateTime())
def setUp(self):
cal = Calendar('China.SSE')
self.dates = cal.bizDatesList(Date(2014, 1, 1), Date(2015, 7, 21))
self.rets = [0.05 for _ in self.dates]
def setUp(self):
cal = Calendar('China.SSE')
self.dates = cal.bizDatesList(Date(2014, 1, 1), Date(2015, 7, 21))
self.rets = [0.05 for _ in self.dates]
