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TST: Read benchmark variance from answer key.

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Add reference to updated answer key with benchmark variance cells,
and use the new cells as the reference for the benchmark variance
test.

The values changed from the original hardcoded values, due to the
change to close over close benchmarks.
This commit is contained in:
Eddie Hebert
2013-07-19 20:28:12 -04:00
parent 56c7c840fa
commit 2314e8a281
3 changed files with 32 additions and 36 deletions
Download Patch File Download Diff File Expand all files Collapse all files
tests/risk/answer_key.py
+7
View File
@@ -166,6 +166,13 @@ class AnswerKey(object):
'year': DataIndex('Sim', 'AG', 34, 34),
}
ALGORITHM_PERIOD_BENCHMARK_VARIANCE = {
'Monthly': DataIndex('Sim', 'BB', 23, 34),
'3-Month': DataIndex('Sim', 'BC', 25, 34),
'6-month': DataIndex('Sim', 'BD', 28, 34),
'year': DataIndex('Sim', 'BE', 34, 34),
}
def __init__(self):
self.workbook = xlrd.open_workbook(ANSWER_KEY_PATH)
tests/risk/risk-answer-key-checksums
+1
View File
@@ -1,2 +1,3 @@
3ac0773c4be4e9e5bacd9c6fa0e03e15
3a5fae958c8bac684f1773fa8dff7810
19d580890e211a122e9e746f07c80cbc
tests/risk/test_risk.py
+24 -36
View File
@@ -469,48 +469,36 @@ class TestRisk(unittest.TestCase):
for x in self.metrics_06.year_periods],
[-8.75273E-06])
def dtest_benchmark_variance_06(self):
self.assertEqual([round(x.benchmark_variance, 7)
def test_benchmark_variance_06(self):
answer_key_month_periods = ANSWER_KEY.get_values(
AnswerKey.ALGORITHM_PERIOD_BENCHMARK_VARIANCE['Monthly'],
decimal=7)
self.assertEqual([np.round(x.benchmark_variance, 7)
for x in self.metrics_06.month_periods],
[0.0000496,
0.000036,
0.0000244,
0.0000332,
0.0000623,
0.0000989,
0.0000765,
0.0000209,
0.0000252,
0.0000194,
0.0000292,
0.0000183])
answer_key_month_periods)
self.assertEqual([round(x.benchmark_variance, 7)
answer_key_three_month_periods = ANSWER_KEY.get_values(
AnswerKey.ALGORITHM_PERIOD_BENCHMARK_VARIANCE['3-Month'],
decimal=7)
self.assertEqual([np.round(x.benchmark_variance, 7)
for x in self.metrics_06.three_month_periods],
[0.0000351,
0.0000298,
0.0000395,
0.0000648,
0.0000773,
0.0000625,
0.0000387,
0.0000211,
0.0000238,
0.0000217])
answer_key_three_month_periods)
self.assertEqual([round(x.benchmark_variance, 7)
for x in self.metrics_06.six_month_periods],
[0.0000499,
0.0000538,
0.0000508,
0.0000517,
0.0000492,
0.0000432,
0.00003])
answer_key_six_month_periods = ANSWER_KEY.get_values(
AnswerKey.ALGORITHM_PERIOD_BENCHMARK_VARIANCE['6-month'],
decimal=7)
results_six_month_periods = [
np.round(x.benchmark_variance, 7)
for x in self.metrics_06.six_month_periods]
self.assertEqual(results_six_month_periods,
answer_key_six_month_periods)
self.assertEqual([round(x.benchmark_variance, 7)
answer_key_year_periods = ANSWER_KEY.get_values(
AnswerKey.ALGORITHM_PERIOD_BENCHMARK_VARIANCE['year'],
decimal=7)
self.assertEqual([np.round(x.benchmark_variance, 7)
for x in self.metrics_06.year_periods],
[0.0000399])
answer_key_year_periods)
def test_benchmark_returns_08(self):
returns = factory.create_returns_from_range(self.sim_params08)