def test_normalize_window_raises_error_on_window_of_size_zero():
with pytest.raises(ValueError):
x = ts.generate_series(10)
normalize_window(x, 0)
with pytest.raises(ValueError):
x = ts.generate_series(10)
normalize_window(x, Window(0, 0))
def test_normalize_window_single_str():
x = ts.generate_series(10)
w = normalize_window(x, "2d")
assert w.w == pd.DateOffset(days=2)
assert w.r == pd.DateOffset(days=2)
x = ts.generate_series(90)
w = normalize_window(x, "3m")
assert w.w == pd.DateOffset(months=3)
assert w.r == pd.DateOffset(months=3)
def test_apply_ramp_raises_on_edge_cases():
with pytest.raises(ValueError):
x = ts.generate_series(10)
apply_ramp(x, Window(0, 0))
with pytest.raises(ValueError):
x = ts.generate_series(10)
apply_ramp(x, Window(-1, 0))
with pytest.raises(ValueError):
x = ts.generate_series(10)
apply_ramp(x, Window(2, -1))
with pytest.raises(ValueError):
x = ts.generate_series(10)
apply_ramp(x, Window(2, 11))
import gs_quant.timeseries as ts
from gs_quant.timeseries import Window
x = ts.generate_series(
1000) # Generate random timeseries with 1000 observations
vol = ts.volatility(
x, Window(22, 0)
) # Compute realized volatility using a window of 22 and a ramp up value of 0
vol.tail() # Show last few values
def test_normalize_window_handles_int():
x = ts.generate_series(10)
w = normalize_window(x, 5)
assert w.w == 5
assert w.r == 5
def test_normalize_window_defaults_window_if_passed():
x = ts.generate_series(10)
w = normalize_window(x, None, default_window=2)
assert w.w == 2
assert w.r == 0
def test_normalize_window_defaults_window_if_none_passed():
x = ts.generate_series(10)
w = normalize_window(x, None)
assert w.w == 10
assert w.r == 0
def test_apply_ramp_with_window_greater_than_series_length():
x = ts.generate_series(10)
y = apply_ramp(x, Window(11, 2))
assert len(y) == 0
def test_apply_ramp():
x = ts.generate_series(10)
y = apply_ramp(x, Window(2, 2))
assert len(y) == 8
def test_normalize_window_str():
x = ts.generate_series(10)
w = normalize_window(x, Window('1w', '2d'))
assert w.w == pd.DateOffset(weeks=1)
assert w.r == pd.DateOffset(days=2)
def test_normalize_window_handles_ramp_of_size_zero():
x = ts.generate_series(10)
w = normalize_window(x, Window(2, 0))
assert w.w == 2
assert w.r == 0
def test_normalize_window_handles_ramp_greater_than_series_length():
with pytest.raises(ValueError):
x = ts.generate_series(10)
normalize_window(x, Window(2, 11))
def test_normalize_window_handles_window_with_no_size():
x = ts.generate_series(10)
w = normalize_window(x, Window(None, 2))
assert w.w == 10
assert w.r == 2
def test_normalize_window_handles_window_with_no_ramp():
x = ts.generate_series(10)
w = normalize_window(x, Window(2, None))
assert w.w == 2
assert w.r == 2
