inst/tinytest/test_redenominate.R

In FinancialInstrument: Financial Instrument Modeling Infrastructure

# redenominate

.dat <- new.env()

currency(c("USD", "CCY"))
exchange_rate("USDCCY")
stock("xus", "USD")
stock("xcy", "CCY")

with(.dat, {
  xus <- xts(1:5, as.Date("2010-01-01")-5:1)
  xcy <- xts(c(40, 45), as.Date("2010-01-01")-2:1)
  USDCCY <- xts(c(10, 11, 9, 10, 12), as.Date("2010-01-01")-5:1)
})

# convert TO USD
expect_equal(as.numeric(redenominate("xcy", "USD", env=.dat)), c(4.00, 3.75))

# convert FROM USD
expect_equal(as.numeric(redenominate("xus", "CCY", env=.dat)), c(10, 22, 27, 40, 60))

# xts instead of name
expect_equal(as.numeric(redenominate(.dat$xcy, "USD", "CCY", env=.dat)), c(4.00, 3.75))

# uses currency from instrument if old_base is missing
expect_equal(as.numeric(redenominate("xus", "CCY", env=.dat)), c(10, 22, 27, 40, 60))

# provided old_base overrides instrument
expect_equal(as.numeric(redenominate("xus", "CCY", "USD", env=.dat)), c(10, 22, 27, 40, 60))

# no instrument defined
rm_instruments("xus")
expect_equal(as.numeric(redenominate("xus", "CCY", "USD", env=.dat)), c(10, 22, 27, 40, 60))
expect_error(redenominate("xus", "CCY", env=.dat), "old_base is not provided")

# inverts FX if necessary
with.usdccy <- redenominate("xus", "CCY", "USD", env=.dat)
with(.dat, {
  CCYUSD <- 1 / USDCCY
  rm(USDCCY)
})
expect_equal(with.usdccy, redenominate("xus", "CCY", "USD", env=.dat))