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MAINT: Adds floating point tolerance to risk metric comparison tests.

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In preparation of changing how risk metrics are calculated,
this makes the checking of results more tolerant to floating point
rounding, since upcoming changes change the results by a neglible margin.
This commit is contained in:
Eddie Hebert
2013-03-27 13:42:16 -04:00
parent 7dfa0d1980
commit d87213a5f1
1 changed files with 30 additions and 14 deletions
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tests/test_risk_compare_batch_iterative.py
+30 -14
View File
@@ -13,7 +13,7 @@
# See the License for the specific language governing permissions and
# limitations under the License.
import numbers
import unittest
import datetime
import pytz
@@ -97,12 +97,16 @@ class RiskCompareIterativeToBatch(unittest.TestCase):
self.assertEqual(
risk_metrics_original.treasury_period_return,
risk_metrics_refactor.treasury_period_return)
self.assertEqual(
np.testing.assert_allclose(
risk_metrics_original.benchmark_returns,
risk_metrics_refactor.benchmark_returns)
self.assertEqual(
risk_metrics_refactor.benchmark_returns,
rtol=0.001
)
np.testing.assert_allclose(
risk_metrics_original.algorithm_returns,
risk_metrics_refactor.algorithm_returns)
risk_metrics_refactor.algorithm_returns,
rtol=0.001
)
risk_original_dict = risk_metrics_original.to_dict()
risk_refactor_dict = risk_metrics_refactor.to_dict()
self.assertEqual(set(risk_original_dict.keys()),
@@ -122,12 +126,24 @@ class RiskCompareIterativeToBatch(unittest.TestCase):
truth=risk_original_dict[measure],
returned=risk_refactor_dict[measure]))
else:
np.testing.assert_equal(
risk_original_dict[measure],
risk_refactor_dict[measure],
err_msg_format.format(
iter=i,
measure=measure,
truth=risk_original_dict[measure],
returned=risk_refactor_dict[measure])
)
if isinstance(risk_original_dict[measure], numbers.Real):
np.testing.assert_allclose(
risk_original_dict[measure],
risk_refactor_dict[measure],
rtol=0.001,
err_msg=err_msg_format.format(
iter=i,
measure=measure,
truth=risk_original_dict[measure],
returned=risk_refactor_dict[measure])
)
else:
np.testing.assert_equal(
risk_original_dict[measure],
risk_refactor_dict[measure],
err_msg=err_msg_format.format(
iter=i,
measure=measure,
truth=risk_original_dict[measure],
returned=risk_refactor_dict[measure])
)