def test_dayofweek_value_not_specified_default_returned(self):
default_value = 0.5
dayofweek_adjust = adjustments.dayofweek(default_value)
self.assertEqual(default_value,
dayofweek_adjust(pd.Period('2019-05-13',
freq='D'))) # monday
self.assertEqual(default_value,
dayofweek_adjust(pd.Period('2019-05-14',
freq='D'))) # tuesday
self.assertEqual(default_value,
dayofweek_adjust(pd.Period('2019-05-15',
freq='D'))) # wednesday
self.assertEqual(default_value,
dayofweek_adjust(pd.Period('2019-05-16',
freq='D'))) # thursday
self.assertEqual(default_value,
dayofweek_adjust(pd.Period('2019-05-17',
freq='D'))) # friday
self.assertEqual(default_value,
dayofweek_adjust(pd.Period('2019-05-18',
freq='D'))) # saturday
self.assertEqual(default_value,
dayofweek_adjust(pd.Period('2019-05-19',
freq='D'))) # sunday
def read_fwd_curve():
fwd_periods = []
fwd_prices = []
fwd_row = 0
while fwd_input_sheet[fwd_row, 0].value != '':
fwd_periods.append(
pd.Period(fwd_input_sheet[fwd_row, 0].value, freq=freq))
fwd_prices.append(fwd_input_sheet[fwd_row, 1].value)
fwd_row += 1
if smooth_curve_wgt.value:
p1, p2 = itertools.tee(fwd_periods)
next(p2, None)
contracts = []
for start, end, price in zip(p1, p2, fwd_prices):
contracts.append((start, end - 1, price))
weekend_adjust = None
if apply_wkend_shaping_wgt.value:
wkend_factor = wkend_factor_wgt.value
weekend_adjust = adjustments.dayofweek(default=1.0,
saturday=wkend_factor,
sunday=wkend_factor)
return max_smooth_interp(contracts,
freq=freq,
mult_season_adjust=weekend_adjust)
else:
return pd.Series(
fwd_prices,
pd.PeriodIndex(fwd_periods)).resample(freq).fillna('pad')
def test_dayofweek_values_specified(self):
dayofweek_adjust = adjustments.dayofweek(0.5,
monday=3.4,
tuesday=1.2,
wednesday=1.1,
thursday=0.9,
friday=0.7,
saturday=0.2,
sunday=0.1)
self.assertEqual(3.4,
dayofweek_adjust(pd.Period('2019-05-13',
freq='D'))) # monday
self.assertEqual(1.2,
dayofweek_adjust(pd.Period('2019-05-14',
freq='D'))) # tuesday
self.assertEqual(1.1,
dayofweek_adjust(pd.Period('2019-05-15',
freq='D'))) # wednesday
self.assertEqual(0.9,
dayofweek_adjust(pd.Period('2019-05-16',
freq='D'))) # thursday
self.assertEqual(0.7,
dayofweek_adjust(pd.Period('2019-05-17',
freq='D'))) # friday
self.assertEqual(0.2,
dayofweek_adjust(pd.Period('2019-05-18',
freq='D'))) # saturday
self.assertEqual(0.1,
dayofweek_adjust(pd.Period('2019-05-19',
freq='D'))) # sunday