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MAINT: Create separate page in risk answer key for period returns.

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Copy the `Sim` sheet to `Sim Cumulative` as well as rename it to
`Sim Period`.

Update the answer key module accordingly.
This commit is contained in:
Eddie Hebert
2013-08-07 17:16:01 -04:00
parent 5b2a23ddd0
commit c31bbee424
2 changed files with 31 additions and 30 deletions
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tests/risk/answer_key.py
+30 -30
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@@ -136,7 +136,7 @@ class DataIndex(object):
class AnswerKey(object):
RETURNS = DataIndex('Sim', 'D', 4, 255)
RETURNS = DataIndex('Sim Period', 'D', 4, 255)
# Below matches the inconsistent capitalization in spreadsheet
BENCHMARK_PERIOD_RETURNS = {
@@ -154,59 +154,59 @@ class AnswerKey(object):
}
ALGORITHM_PERIOD_RETURNS = {
'Monthly': DataIndex('Sim', 'V', 23, 34),
'3-Month': DataIndex('Sim', 'W', 25, 34),
'6-month': DataIndex('Sim', 'X', 28, 34),
'year': DataIndex('Sim', 'Y', 34, 34),
'Monthly': DataIndex('Sim Period', 'V', 23, 34),
'3-Month': DataIndex('Sim Period', 'W', 25, 34),
'6-month': DataIndex('Sim Period', 'X', 28, 34),
'year': DataIndex('Sim Period', 'Y', 34, 34),
}
ALGORITHM_PERIOD_VOLATILITY = {
'Monthly': DataIndex('Sim', 'Z', 23, 34),
'3-Month': DataIndex('Sim', 'AA', 25, 34),
'6-month': DataIndex('Sim', 'AB', 28, 34),
'year': DataIndex('Sim', 'AC', 34, 34),
'Monthly': DataIndex('Sim Period', 'Z', 23, 34),
'3-Month': DataIndex('Sim Period', 'AA', 25, 34),
'6-month': DataIndex('Sim Period', 'AB', 28, 34),
'year': DataIndex('Sim Period', 'AC', 34, 34),
}
ALGORITHM_PERIOD_SHARPE = {
'Monthly': DataIndex('Sim', 'AD', 23, 34),
'3-Month': DataIndex('Sim', 'AE', 25, 34),
'6-month': DataIndex('Sim', 'AF', 28, 34),
'year': DataIndex('Sim', 'AG', 34, 34),
'Monthly': DataIndex('Sim Period', 'AD', 23, 34),
'3-Month': DataIndex('Sim Period', 'AE', 25, 34),
'6-month': DataIndex('Sim Period', 'AF', 28, 34),
'year': DataIndex('Sim Period', 'AG', 34, 34),
}
ALGORITHM_PERIOD_BETA = {
'Monthly': DataIndex('Sim', 'AH', 23, 34),
'3-Month': DataIndex('Sim', 'AI', 25, 34),
'6-month': DataIndex('Sim', 'AJ', 28, 34),
'year': DataIndex('Sim', 'AK', 34, 34),
'Monthly': DataIndex('Sim Period', 'AH', 23, 34),
'3-Month': DataIndex('Sim Period', 'AI', 25, 34),
'6-month': DataIndex('Sim Period', 'AJ', 28, 34),
'year': DataIndex('Sim Period', 'AK', 34, 34),
}
ALGORITHM_PERIOD_ALPHA = {
'Monthly': DataIndex('Sim', 'AL', 23, 34),
'3-Month': DataIndex('Sim', 'AM', 25, 34),
'6-month': DataIndex('Sim', 'AN', 28, 34),
'year': DataIndex('Sim', 'AO', 34, 34),
'Monthly': DataIndex('Sim Period', 'AL', 23, 34),
'3-Month': DataIndex('Sim Period', 'AM', 25, 34),
'6-month': DataIndex('Sim Period', 'AN', 28, 34),
'year': DataIndex('Sim Period', 'AO', 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),
'Monthly': DataIndex('Sim Period', 'BB', 23, 34),
'3-Month': DataIndex('Sim Period', 'BC', 25, 34),
'6-month': DataIndex('Sim Period', 'BD', 28, 34),
'year': DataIndex('Sim Period', 'BE', 34, 34),
}
ALGORITHM_PERIOD_COVARIANCE = {
'Monthly': DataIndex('Sim', 'AX', 23, 34),
'3-Month': DataIndex('Sim', 'AY', 25, 34),
'6-month': DataIndex('Sim', 'AZ', 28, 34),
'year': DataIndex('Sim', 'BA', 34, 34),
'Monthly': DataIndex('Sim Period', 'AX', 23, 34),
'3-Month': DataIndex('Sim Period', 'AY', 25, 34),
'6-month': DataIndex('Sim Period', 'AZ', 28, 34),
'year': DataIndex('Sim Period', 'BA', 34, 34),
}
def __init__(self):
self.workbook = xlrd.open_workbook(ANSWER_KEY_PATH)
self.sheets = {}
self.sheets['Sim'] = self.workbook.sheet_by_name('Sim')
self.sheets['Sim Period'] = self.workbook.sheet_by_name('Sim Period')
self.sheets['s_p'] = self.workbook.sheet_by_name('s_p')
def get_values(self, data_index, decimal=4):
tests/risk/risk-answer-key-checksums
+1
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@@ -3,3 +3,4 @@
19d580890e211a122e9e746f07c80cbc
70cfe3677a0ff401c801b8628e125d8f
99b3855ef1b8963163c3cb8f7e05cb70
97dfb557c3501179504926e4079e6446