def sector_exposures(self, positions, symbol_sector_map):
"""
The sector exposures of the portfolio over time.
Parameters
----------
positions : pd.DataFrame
Contains position values or amounts.
- Example
index 'AAPL' 'MSFT' 'CHK' cash
2004-01-09 13939.380 -15012.993 -403.870 1477.483
2004-01-12 14492.630 -18624.870 142.630 3989.610
2004-01-13 -13853.280 13653.640 -100.980 100.000
symbol_sector_map : dict or pd.Series
Security identifier to sector mapping.
Security ids as keys/index, sectors as values.
- Example:
{'AAPL' : 'Technology'
'MSFT' : 'Technology'
'CHK' : 'Natural Resources'}
Returns
-------
sector_exp : pd.DataFrame
Sectors and their allocations.
- Example:
index 'Technology' 'Natural Resources' cash
2004-01-09 -1073.613 -403.870 1477.4830
2004-01-12 -4132.240 142.630 3989.6100
2004-01-13 -199.640 -100.980 100.0000
"""
sector_alloc = pos.get_sector_exposures(positions, symbol_sector_map)
return sector_alloc
def test_sector_exposure(self, positions, mapping, expected_sector_exposure, warning_expected):
"""
Tests sector exposure mapping and rollup.
"""
with warnings.catch_warnings(record=True) as w:
result_sector_exposure = get_sector_exposures(positions, mapping)
assert_frame_equal(result_sector_exposure, expected_sector_exposure)
if warning_expected:
assert len(w) == 1
else:
assert len(w) == 0
def test_sector_exposure(self, positions, mapping,
expected_sector_exposure, warning_expected):
"""
Tests sector exposure mapping and rollup.
"""
with warnings.catch_warnings(record=True) as w:
result_sector_exposure = get_sector_exposures(positions, mapping)
assert_frame_equal(result_sector_exposure,
expected_sector_exposure)
if warning_expected:
self.assertEqual(len(w), 1)
else:
self.assertEqual(len(w), 0)
def test_sector_exposure(self, positions, mapping,
expected_sector_exposure, warning_expected):
"""
Tests sector exposure mapping and rollup.
"""
with warnings.catch_warnings(record=True) as w:
result_sector_exposure = get_sector_exposures(positions, mapping)
assert_frame_equal(result_sector_exposure,
expected_sector_exposure)
# avoids test failure due to DeprecationWarning for pandas>=1.0, <1.1
w_ = [warn for warn in w if issubclass(warn.category, UserWarning)]
if warning_expected:
self.assertEqual(len(w_), 1)
else:
self.assertEqual(len(w_), 0)