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MAINT: Restricts dates to trading calendar in risk comparison test.

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Converts the risk iterative and batch comparison tests to use
the trading environments next date, instead of just advancing by day,
so that the returns being passed into the RiskMetrics in the unit
test are using the same trading calendar as the internal checks for
trading days.

Fixes a case where empty return periods were being into
`calculate_period_returns`

Clearing the way for the pandas based optimization of the risk module.
This commit is contained in:
Eddie Hebert
2013-03-27 11:42:40 -04:00
parent 41d3c72627
commit 94e70a394b
1 changed files with 11 additions and 9 deletions
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tests/test_risk_compare_batch_iterative.py
+11 -9
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@@ -44,30 +44,32 @@ class RiskCompareIterativeToBatch(unittest.TestCase):
self.end_date = datetime.datetime(
year=2006, month=12, day=31, tzinfo=pytz.utc)
self.oneday = datetime.timedelta(days=1)
def test_risk_metrics_returns(self):
risk_metrics_refactor = risk.RiskMetricsIterative(self.start_date)
trading.environment = trading.TradingEnvironment()
# Advance start date to first date in the trading calendar
if trading.environment.is_trading_day(self.start_date):
start_date = self.start_date
else:
start_date = trading.environment.next_trading_day(self.start_date)
todays_date = self.start_date
risk_metrics_refactor = risk.RiskMetricsIterative(start_date)
todays_date = start_date
cur_returns = []
for i, ret in enumerate(RETURNS):
todays_return_obj = DailyReturn(
todays_date,
ret
)
cur_returns.append(todays_return_obj)
# Move forward day counter to next trading day
todays_date += self.oneday
while not trading.environment.is_trading_day(todays_date):
todays_date += self.oneday
todays_date = trading.environment.next_trading_day(todays_date)
try:
risk_metrics_original = risk.RiskMetricsBatch(
start_date=self.start_date,
start_date=start_date,
end_date=todays_date,
returns=cur_returns
)