def test_corn_k_solution(self):
"""
Test the calculation of CORN-K.
"""
# Initialize CORN-K.
corn_k = CORNK(window=2, rho=2, k=1)
# Allocates asset prices to CORN-K.
corn_k.allocate(self.data, resample_by='M')
# Create np.array of all_weights.
all_weights = np.array(corn_k.all_weights)
# Check if all weights sum to 1.
for i in range(all_weights.shape[0]):
weights = all_weights[i]
assert (weights >= 0).all()
assert len(weights) == self.data.shape[1]
np.testing.assert_almost_equal(np.sum(weights), 1)
def test_corn_k_rho_error(self):
"""
Tests ValueError if rho is not an integer or less than 1.
"""
# Initialize CORN-K.
corn_k3 = CORNK(window=2, rho=2.5, k=1)
with self.assertRaises(ValueError):
# Running allocate will raise ValueError.
corn_k3.allocate(self.data)
# Initialize CORN-K.
corn_k4 = CORNK(window=2, rho=0, k=1)
with self.assertRaises(ValueError):
# Running allocate will raise ValueError.
corn_k4.allocate(self.data)
def test_corn_k_window_error(self):
"""
Tests ValueError if window is not an integer or less than 1.
"""
# Initialize CORN-K.
corn_k1 = CORNK(window=2.5, rho=2, k=1)
with self.assertRaises(ValueError):
# Running allocate will raise ValueError.
corn_k1.allocate(self.data)
# Initialize CORN-K.
corn_k2 = CORNK(window=0, rho=2, k=1)
with self.assertRaises(ValueError):
# Running allocate will raise ValueError.
corn_k2.allocate(self.data)
def test_corn_k_k_error(self):
"""
Tests ValueError if k is greater than window * rho, greater than 1, or an integer.
"""
# Initialize CORN-K.
corn_k5 = CORNK(window=2, rho=2, k=5)
with self.assertRaises(ValueError):
# Running allocate will raise ValueError.
corn_k5.allocate(self.data)
# Initialize CORN-K.
corn_k6 = CORNK(window=2, rho=2, k=1.5)
with self.assertRaises(ValueError):
# Running allocate will raise ValueError.
corn_k6.allocate(self.data)
# Initialize CORN-K.
corn_k7 = CORNK(window=2, rho=2, k=0)
with self.assertRaises(ValueError):
# Running allocate will raise ValueError.
corn_k7.allocate(self.data)