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TST: Read alpha values from answer key.

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Corroborate alpha values with Excel answer key.
This commit is contained in:
Eddie Hebert
2013-07-23 12:15:24 -04:00
parent 7c01d39858
commit f451efe483
2 changed files with 32 additions and 36 deletions
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tests/risk/answer_key.py
+7
View File
@@ -173,6 +173,13 @@ class AnswerKey(object):
'year': DataIndex('Sim', '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),
}
ALGORITHM_PERIOD_BENCHMARK_VARIANCE = {
'Monthly': DataIndex('Sim', 'BB', 23, 34),
'3-Month': DataIndex('Sim', 'BC', 25, 34),
tests/risk/test_risk.py
+25 -36
View File
@@ -363,47 +363,36 @@ class TestRisk(unittest.TestCase):
for x in self.metrics_06.year_periods],
answer_key_year_periods)
def dtest_algorithm_alpha_06(self):
self.assertEqual([round(x.alpha, 3)
def test_algorithm_alpha_06(self):
answer_key_month_periods = ANSWER_KEY.get_values(
AnswerKey.ALGORITHM_PERIOD_ALPHA['Monthly'],
decimal=7)
self.assertEqual([np.round(x.alpha, 7)
for x in self.metrics_06.month_periods],
[0.085,
-0.063,
-0.03,
0.093,
0.182,
-0.255,
0.073,
-0.032,
0,
0.086,
0.054,
-0.058])
answer_key_month_periods)
self.assertEqual([round(x.alpha, 3)
answer_key_three_month_periods = ANSWER_KEY.get_values(
AnswerKey.ALGORITHM_PERIOD_ALPHA['3-Month'],
decimal=7)
self.assertEqual([np.round(x.alpha, 7)
for x in self.metrics_06.three_month_periods],
[-0.051,
-0.021,
0.179,
-0.077,
-0.106,
-0.202,
0.069,
0.042,
0.13,
0.073])
answer_key_three_month_periods)
self.assertEqual([round(x.alpha, 3)
for x in self.metrics_06.six_month_periods],
[-0.105,
-0.135,
-0.072,
-0.051,
-0.066,
-0.094,
0.152])
self.assertEqual([round(x.alpha, 3)
answer_key_six_month_periods = ANSWER_KEY.get_values(
AnswerKey.ALGORITHM_PERIOD_ALPHA['6-month'],
decimal=7)
results_six_month_periods = [
np.round(x.alpha, 7)
for x in self.metrics_06.six_month_periods]
self.assertEqual(results_six_month_periods,
answer_key_six_month_periods)
answer_key_year_periods = ANSWER_KEY.get_values(
AnswerKey.ALGORITHM_PERIOD_ALPHA['year'],
decimal=7)
self.assertEqual([np.round(x.alpha, 7)
for x in self.metrics_06.year_periods],
[-0.011])
answer_key_year_periods)
# FIXME: Covariance is not matching excel precisely enough to run the test.
# Month 4 seems to be the problem. Variance is disabled