def test_risk_contribution(test_file): mctr_prices = test_file.parse('mctr', index_col = 0) mctr_manual = test_file.parse('mctr_results', index_col = 0) cols = ['BSV','VBK','VBR','VOE','VOT'] mctr = analyze.mctr(mctr_prices[cols], mctr_prices['Portfolio']) weights = pandas.Series( [.2, .2, .2, .2, .2], index = cols, name = 'risk_contribution') testing.assert_series_equal(analyze.risk_contribution(mctr, weights), mctr_manual.loc['risk_contribution', :] )
def test_mctr(test_file): mctr_prices = test_file.parse('mctr', index_col = 0) mctr_manual = test_file.parse('mctr_results', index_col = 0) cols = ['BSV','VBK','VBR','VOE','VOT'] mctr = analyze.mctr(mctr_prices[cols], mctr_prices['Portfolio']) testing.assert_series_equal(mctr, mctr_manual.loc['mctr', cols])