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Changes answer key to benchmarks to match fresh data from Yahoo.

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This answer key needs to be verified with original calculations.

Also, we may want to hardcode values in plain text to use for these
tests, instead of relying on a full history.
This commit is contained in:
Eddie Hebert
2012-10-19 10:06:05 -04:00
parent 0ab136f1c8
commit e752dfacc9
1 changed files with 88 additions and 82 deletions
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tests/test_risk.py
+88 -82
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@@ -109,41 +109,41 @@ class Risk(unittest.TestCase):
self.assertEqual([round(x.benchmark_period_returns, 4)
for x in metrics.month_periods],
[0.0255,
0.0005,
0.0111,
0.0122,
-0.0309,
0.0001,
0.0051,
0.0213,
0.0246,
0.0315,
0.0165,
0.0126])
0.0004,
0.0110,
0.0057,
-0.0290,
0.0021,
0.0061,
0.0221,
0.0247,
0.0324,
0.0189,
0.0139])
self.assertEqual([round(x.benchmark_period_returns, 4)
for x in metrics.three_month_periods],
[0.0373,
0.0239,
-0.0083,
-0.0191,
-0.0259,
0.0266,
0.0517,
0.0793,
0.0743,
0.0617])
[0.0372,
0.0171,
-0.0128,
-0.0214,
-0.0211,
0.0305,
0.0537,
0.0813,
0.0780,
0.0666])
self.assertEqual([round(x.benchmark_period_returns, 4)
for x in metrics.six_month_periods],
[0.0176,
-0.0027,
0.0181,
0.0316,
0.0514,
0.1028,
0.1166])
[0.015,
-0.0043,
0.0173,
0.0311,
0.0586,
0.1108,
0.1239])
self.assertEqual([round(x.benchmark_period_returns, 4)
for x in metrics.year_periods],
[0.1362])
[0.1407])
def test_trading_days_06(self):
returns = factory.create_returns_from_range(self.trading_env)
@@ -166,7 +166,7 @@ class Risk(unittest.TestCase):
0.047,
0.039,
0.022,
0.023,
0.022,
0.021,
0.025,
0.019])
@@ -174,7 +174,7 @@ class Risk(unittest.TestCase):
self.assertEqual([round(x.benchmark_volatility, 3)
for x in metrics.three_month_periods],
[0.047,
0.042,
0.043,
0.050,
0.064,
0.070,
@@ -515,45 +515,45 @@ class Risk(unittest.TestCase):
for x in metrics.month_periods]
self.assertEqual(monthly,
[-0.061,
-0.035,
-0.006,
0.048,
[-0.051,
-0.039,
0.001,
0.043,
0.011,
-0.086,
-0.01,
0.012,
-0.091,
-0.169,
-0.075,
0.008])
-0.007,
0.026,
-0.093,
-0.160,
-0.072,
0.009])
self.assertEqual([round(x.benchmark_period_returns, 3)
for x in metrics.three_month_periods],
[-0.099,
0.005,
0.052,
-0.032,
-0.085,
-0.084,
-0.089,
-0.236,
-0.301,
-0.226])
[-0.087,
0.003,
0.055,
-0.026,
-0.072,
-0.058,
-0.075,
-0.218,
-0.293,
-0.214])
self.assertEqual([round(x.benchmark_period_returns, 3)
for x in metrics.six_month_periods],
[-0.128,
-0.081,
-0.036,
-0.118,
-0.301,
-0.360,
-0.294])
[-0.110,
-0.069,
-0.006,
-0.099,
-0.274,
-0.334,
-0.273])
self.assertEqual([round(x.benchmark_period_returns, 3)
for x in metrics.year_periods],
[-0.385])
[-0.353])
def test_trading_days_08(self):
returns = factory.create_returns_from_range(self.trading_env08)
@@ -569,41 +569,47 @@ class Risk(unittest.TestCase):
metrics = risk.RiskReport(returns, self.trading_env08)
self.assertEqual([round(x.benchmark_volatility, 3)
for x in metrics.month_periods],
[0.07,
0.058,
0.082,
0.054,
0.041,
0.057,
[0.069,
0.056,
0.080,
0.049,
0.040,
0.052,
0.068,
0.06,
0.157,
0.244,
0.195,
0.145])
0.055,
0.150,
0.230,
0.188,
0.137])
self.assertEqual([round(x.benchmark_volatility, 3)
for x in metrics.three_month_periods],
[0.120,
0.113,
0.105,
0.09,
0.098,
0.107,
0.179,
0.293,
0.344,
0.340])
[0.118,
0.108,
0.101,
0.083,
0.094,
0.102,
0.172,
0.277,
0.328,
0.323])
self.assertEqual([round(x.benchmark_volatility, 3)
for x in metrics.six_month_periods],
[0.15, 0.149, 0.15, 0.2, 0.308, 0.36, 0.383])
[0.144,
0.143,
0.143,
0.190,
0.292,
0.342,
0.364])
# TODO: ugly, but I can't get the rounded float to match.
# maybe we need a different test that checks the
# difference between the numbers
self.assertEqual([round(x.benchmark_volatility, 3)
for x in metrics.year_periods],
[0.41099999999999998])
[0.391])
def test_treasury_returns_06(self):
returns = factory.create_returns_from_range(self.trading_env)