def test_hcost_pos(self):
"""Test hcost function, positive positions."""
self.hcost_term.borrow_costs += 0
t = self.returns.index[1]
h = copy.copy(self.portfolio)
results = SimulationResult(initial_portfolio=h, policy=None,
cash_key='cash', simulator=self.Simulator)
u = pd.Series(index=self.portfolio.index, data=1E4)
h_next, u = self.Simulator.propagate(h, u, t=t)
results.log_simulation(t=t, u=u, h_next=h_next,
risk_free_return=0., exec_time=0)
self.assertAlmostEquals(results.simulator_HcostModel.sum().sum(), 0.)
def test_propag_neg(self):
"""Test propagation of portfolio, negative trades."""
t = self.returns.index[1]
h = copy.copy(self.portfolio)
results = SimulationResult(initial_portfolio=h, policy=None,
cash_key='cash', simulator=self.Simulator)
u = pd.Series(index=self.portfolio.index, data=[-1E4] * 29)
h_next, u = self.Simulator.propagate(h, u, t=t)
results.log_simulation(t=t, u=u, h_next=h_next,
risk_free_return=0., exec_time=0)
self.assertAlmostEquals(
results.simulator_TcostModel.sum().sum(), 157.604, 3)
self.assertAlmostEquals(
results.simulator_HcostModel.sum().sum(), 0., 3)
self.assertAlmostEqual(sum(h_next), 28908611.931, 3)