def runTests(self):
for module_name in self.testNames:
path = find_module_path(module_name)
with open(path) as f:
source_code = f.read()
calc_print(source_code,
observation_date='2011-1-1',
verbose=True,
)
print("Evaluating module")
def runTests(self):
for module_name in self.testNames:
path = find_module_path(module_name)
with open(path) as f:
source_code = f.read()
calc_print(
source_code,
observation_date='2011-1-1',
verbose=True,
)
print("Evaluating module")
def test_periodisation_none(self):
source_code = """from quantdsl.lib.storage2 import GasStorage
GasStorage(Date('2011-6-1'), Date('2011-12-1'), 'GAS', 0, 0, 50000, TimeDelta('1m'), 1)
"""
results = calc_print(
source_code=source_code,
observation_date='2011-1-1',
interest_rate=2.5,
price_process={
'name':
'quantdsl.priceprocess.blackscholes.BlackScholesPriceProcess',
'market': ['GAS'],
'sigma': [0.5],
'curve': {
'GAS':
(('2011-1-1', 13.5), ('2011-2-1', 11.0),
('2011-3-1', 10.0), ('2011-4-1', 9.0), ('2011-5-1', 7.5),
('2011-6-1', 7.0), ('2011-7-1', 6.5), ('2011-8-1', 7.5),
('2011-9-1', 8.5), ('2011-10-1', 10.0),
('2011-11-1', 11.5), ('2011-12-1', 12.0), ('2012-1-1',
13.5),
('2012-2-1', 11.0), ('2012-3-1', 10.0), ('2012-4-1', 9.0),
('2012-5-1', 7.5), ('2012-6-1', 7.0), ('2012-7-1', 6.5),
('2012-8-1', 7.5), ('2012-9-1', 8.5), ('2012-10-1', 10.0),
('2012-11-1', 11.5), ('2012-12-1', 12.0))
}
},
)
self.assertAlmostEqual(results.fair_value.mean(), 8.6359, places=0)
self.assertEqual(len(results.periods), 0)
def test_dependency_graph_size_limit(self):
source_code = """
from quantdsl.lib.storage2 import GasStorage
GasStorage(Date('2011-1-1'), Date('2011-4-1'), 'GAS', 0, 0, 50000, TimeDelta('1m'), 1)
"""
with self.assertRaises(CallLimitError):
calc_print(
source_code=source_code,
observation_date='2011-1-1',
interest_rate=2.5,
price_process={
'name':
'quantdsl.priceprocess.blackscholes.BlackScholesPriceProcess',
'market': ['GAS'],
'sigma': [0.5],
'curve': {
'GAS': (('2011-1-1', 13.5), )
}
},
max_dependency_graph_size=1,
)
def test_timeout(self):
source_code = """
from quantdsl.lib.storage2 import GasStorage
GasStorage(Date('2011-1-1'), Date('2011-12-1'), 'GAS', 0, 0, 50000, TimeDelta('1m'), 1)
"""
with self.assertRaises(SystemExit):
calc_print(
source_code=source_code,
observation_date='2011-1-1',
interest_rate=2.5,
price_process={
'name':
'quantdsl.priceprocess.blackscholes.BlackScholesPriceProcess',
'market': ['GAS'],
'sigma': [0.5],
'curve': {
'GAS': (('2011-1-1', 13.5), )
}
},
periodisation='monthly',
timeout=.5,
)