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Marek Ozana
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,218 @@ | ||
| """ | ||
| Unit tests on HIstorical_Risk_Returns streamlit module | ||
| (c) 2024-10 Marek Ozana | ||
| """ | ||
|
|
||
| from datetime import date | ||
| import pages.Historical_Risk_Return as rr | ||
| import polars as pl | ||
| from polars.testing import assert_frame_equal | ||
| import pytest | ||
|
|
||
|
|
||
| @pytest.fixture | ||
| def r_m(): | ||
| tickers = ["SEB Hybrid G-SEK", "Sweden Eq"] | ||
| start_dt = date(2023, 3, 29) | ||
| r_m = ( | ||
| rr.get_monthly_rets(tickers=tickers, start_dt=start_dt) | ||
| .filter(pl.col("date") < date(2024, 10, 1)) | ||
| .with_columns(pl.col("r").round(4)) | ||
| ) | ||
| return r_m | ||
|
|
||
|
|
||
| def test_monthly_rets(r_m: pl.DataFrame): | ||
| """Unit test on get_monthly_rets function""" | ||
| assert r_m.shape == (38, 3) | ||
|
|
||
| exp_r_m = pl.DataFrame( | ||
| { | ||
| "date": [ | ||
| date(2023, 3, 31), | ||
| date(2023, 4, 28), | ||
| date(2023, 5, 31), | ||
| date(2023, 6, 30), | ||
| date(2023, 7, 31), | ||
| date(2023, 8, 31), | ||
| date(2023, 9, 29), | ||
| date(2023, 10, 31), | ||
| date(2023, 11, 30), | ||
| date(2023, 12, 29), | ||
| date(2024, 1, 31), | ||
| date(2024, 2, 29), | ||
| date(2024, 3, 28), | ||
| date(2024, 4, 30), | ||
| date(2024, 5, 31), | ||
| date(2024, 6, 28), | ||
| date(2024, 7, 31), | ||
| date(2024, 8, 30), | ||
| date(2024, 9, 30), | ||
| date(2023, 3, 31), | ||
| date(2023, 4, 28), | ||
| date(2023, 5, 31), | ||
| date(2023, 6, 30), | ||
| date(2023, 7, 31), | ||
| date(2023, 8, 31), | ||
| date(2023, 9, 29), | ||
| date(2023, 10, 31), | ||
| date(2023, 11, 30), | ||
| date(2023, 12, 29), | ||
| date(2024, 1, 31), | ||
| date(2024, 2, 29), | ||
| date(2024, 3, 28), | ||
| date(2024, 4, 30), | ||
| date(2024, 5, 31), | ||
| date(2024, 6, 28), | ||
| date(2024, 7, 31), | ||
| date(2024, 8, 30), | ||
| date(2024, 9, 30), | ||
| ], | ||
| "security": [ | ||
| "SEB Hybrid G-SEK", | ||
| "SEB Hybrid G-SEK", | ||
| "SEB Hybrid G-SEK", | ||
| "SEB Hybrid G-SEK", | ||
| "SEB Hybrid G-SEK", | ||
| "SEB Hybrid G-SEK", | ||
| "SEB Hybrid G-SEK", | ||
| "SEB Hybrid G-SEK", | ||
| "SEB Hybrid G-SEK", | ||
| "SEB Hybrid G-SEK", | ||
| "SEB Hybrid G-SEK", | ||
| "SEB Hybrid G-SEK", | ||
| "SEB Hybrid G-SEK", | ||
| "SEB Hybrid G-SEK", | ||
| "SEB Hybrid G-SEK", | ||
| "SEB Hybrid G-SEK", | ||
| "SEB Hybrid G-SEK", | ||
| "SEB Hybrid G-SEK", | ||
| "SEB Hybrid G-SEK", | ||
| "Sweden Eq", | ||
| "Sweden Eq", | ||
| "Sweden Eq", | ||
| "Sweden Eq", | ||
| "Sweden Eq", | ||
| "Sweden Eq", | ||
| "Sweden Eq", | ||
| "Sweden Eq", | ||
| "Sweden Eq", | ||
| "Sweden Eq", | ||
| "Sweden Eq", | ||
| "Sweden Eq", | ||
| "Sweden Eq", | ||
| "Sweden Eq", | ||
| "Sweden Eq", | ||
| "Sweden Eq", | ||
| "Sweden Eq", | ||
| "Sweden Eq", | ||
| "Sweden Eq", | ||
| ], | ||
| "r": [ | ||
| 0.0018, | ||
| -0.006, | ||
| 0.0076, | ||
| 0.0053, | ||
| 0.0243, | ||
| -0.0071, | ||
| -0.0023, | ||
| 0.0014, | ||
| 0.0356, | ||
| 0.0315, | ||
| 0.0099, | ||
| 0.0019, | ||
| 0.0174, | ||
| -0.005, | ||
| 0.0151, | ||
| 0.0009, | ||
| 0.0175, | ||
| 0.0135, | ||
| 0.0135, | ||
| 0.039, | ||
| 0.0303, | ||
| -0.0271, | ||
| 0.0215, | ||
| -0.0033, | ||
| -0.0374, | ||
| -0.0201, | ||
| -0.0352, | ||
| 0.0915, | ||
| 0.0818, | ||
| -0.0168, | ||
| 0.0384, | ||
| 0.0565, | ||
| 0.0026, | ||
| 0.0383, | ||
| -0.0153, | ||
| 0.0283, | ||
| -0.0003, | ||
| 0.0134, | ||
| ], | ||
| } | ||
| ) | ||
| assert_frame_equal(r_m, exp_r_m) | ||
|
|
||
|
|
||
| def test_calc_rets(r_m): | ||
| """Unit test on calc_rets function""" | ||
| rets = rr.calc_rets(r_m, scale=12).sort(by=["security"]) | ||
| exp_rets = pl.DataFrame( | ||
| {"security": ["SEB Hybrid G-SEK", "Sweden Eq"], "r": [0.116622522, 0.187356642]} | ||
| ) | ||
| assert_frame_equal(rets, exp_rets) | ||
|
|
||
|
|
||
| def test_calc_vol(r_m): | ||
| """Unit test on calc_vol function""" | ||
| vol = rr.calc_vols(r_m, scale=12).sort(by=["security"]) | ||
| exp_vol = pl.DataFrame( | ||
| { | ||
| "security": ["SEB Hybrid G-SEK", "Sweden Eq"], | ||
| "vol": [0.04255686, 0.129308949], | ||
| } | ||
| ) | ||
| assert_frame_equal(vol, exp_vol) | ||
|
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||
|
|
||
| def test_calc_portf_rets(): | ||
| # Sample monthly returns data | ||
| r_m = pl.DataFrame( | ||
| { | ||
| "date": [date(2024, 9, 1), date(2024, 9, 1), date(2024, 9, 1)], | ||
| "dt_end": [date(2024, 9, 30), date(2024, 9, 30), date(2024, 9, 30)], | ||
| "security": ["AT1 EUR", "SEB Obl", "SEB Value"], | ||
| "r": [0.01477, 0.0069, -0.00626], | ||
| } | ||
| ) | ||
|
|
||
| # Sample security to weight mapping | ||
| sec2w = { | ||
| "AT1 EUR": 0.4, | ||
| "SEB Obl": 0.3, | ||
| "SEB Value": 0.3, | ||
| } | ||
|
|
||
| # Call the function with the sample data | ||
| rets = rr.calc_portf_rets(r_m, sec2w) | ||
|
|
||
| # Check if the result is a DataFrame | ||
| assert isinstance(rets, pl.DataFrame) | ||
|
|
||
| # Check if the result has the expected columns | ||
| expected_columns = ["date", "security", "r"] | ||
| assert all(col in rets.columns for col in expected_columns) | ||
|
|
||
| # Check if the result has the correct data types | ||
| assert rets["date"].dtype == pl.Date | ||
| assert rets["security"].dtype == pl.String | ||
| assert rets["r"].dtype == pl.Float64 | ||
|
|
||
| # Check if the result has the correct values | ||
| exp_rets = pl.DataFrame( | ||
| { | ||
| "date": [date(2024, 9, 1)], | ||
| "security": ["PORTF"], | ||
| "r": [0.0060999999999999995], | ||
| } | ||
| ) | ||
| assert_frame_equal(rets, exp_rets) |