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tests/testthat/test-realized_duration.R
In dispositionEffect: Analysis of Disposition Effect on Financial Portfolios
context("realized_duration's arguments")
# portfolio_quantity, portfolio_price, transaction_quantity, transaction_price, transaction_type
# previous_transaction_datetime, previous_datetime, transaction_datetime,
pt_dtt <- as.POSIXct("2021-01-04 10:00:00", tz = "UTC")
p_dtt <- as.POSIXct("2021-01-05 10:00:00", tz = "UTC")
t_dtt <- as.POSIXct("2021-01-06 10:00:00", tz = "UTC")
dtt_diff <- 14 # difftime_financial(p_dtt, t_dtt)
dtt_diff0 <- 28 # difftime_financial(pt_dtt, t_dtt)
test_that("realized_duration works (zero quantity)", {
expect_equal(realized_duration(0, 0, 0, 0, "B", pt_dtt, p_dtt, t_dtt, allow_short = TRUE),
c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0))
expect_equal(realized_duration(0, 0, 0, 0, "S", pt_dtt, p_dtt, t_dtt, allow_short = TRUE),
c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0))
})
test_that("realized_duration works (long)", {
# paper loss
expect_equal(realized_duration(2, 15, 1, 10, "B", pt_dtt, p_dtt, t_dtt, allow_short = TRUE),
c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = dtt_diff))
# paper gain
expect_equal(realized_duration(2, 10, 1, 15, "B", pt_dtt, p_dtt, t_dtt, allow_short = TRUE),
c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = dtt_diff, "PL_duration" = 0))
# realized loss + paper loss
expect_equal(realized_duration(2, 15, -1, 10, "S", pt_dtt, p_dtt, t_dtt, allow_short = TRUE),
c("RG_duration" = 0, "RL_duration" = dtt_diff0, "PG_duration" = 0, "PL_duration" = dtt_diff))
# realized gain + paper gain
expect_equal(realized_duration(2, 10, -1, 15, "S", pt_dtt, p_dtt, t_dtt, allow_short = TRUE),
c("RG_duration" = dtt_diff0, "RL_duration" = 0, "PG_duration" = dtt_diff, "PL_duration" = 0))
# realized loss
expect_equal(realized_duration(2, 15, -2, 10, "S", pt_dtt, p_dtt, t_dtt, allow_short = TRUE),
c("RG_duration" = 0, "RL_duration" = dtt_diff0, "PG_duration" = 0, "PL_duration" = 0))
# realized gain
expect_equal(realized_duration(2, 10, -2, 15, "S", pt_dtt, p_dtt, t_dtt, allow_short = TRUE),
c("RG_duration" = dtt_diff0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0))
})
test_that("realized_duration works (short)", {
# paper loss
expect_equal(realized_duration(-2, 15, -1, 10, "S", pt_dtt, p_dtt, t_dtt, allow_short = TRUE),
c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = dtt_diff, "PL_duration" = 0))
# paper gain
expect_equal(realized_duration(-2, 10, -1, 15, "S", pt_dtt, p_dtt, t_dtt, allow_short = TRUE),
c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = dtt_diff))
# realized loss + paper loss
expect_equal(realized_duration(-2, 15, 1, 10, "B", pt_dtt, p_dtt, t_dtt, allow_short = TRUE),
c("RG_duration" = dtt_diff0, "RL_duration" = 0, "PG_duration" = dtt_diff, "PL_duration" = 0))
# realized gain + paper gain
expect_equal(realized_duration(-2, 10, 1, 15, "B", pt_dtt, p_dtt, t_dtt, allow_short = TRUE),
c("RG_duration" = 0, "RL_duration" = dtt_diff0, "PG_duration" = 0, "PL_duration" = dtt_diff))
# realized loss
expect_equal(realized_duration(-2, 15, 2, 10, "B", pt_dtt, p_dtt, t_dtt, allow_short = TRUE),
c("RG_duration" = dtt_diff0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0))
# realized gain
expect_equal(realized_duration(-2, 10, 2, 15, "B", pt_dtt, p_dtt, t_dtt, allow_short = TRUE),
c("RG_duration" = 0, "RL_duration" = dtt_diff0, "PG_duration" = 0, "PL_duration" = 0))
})
test_that("realized_duration works (allow_short = FALSE)", {
# long
# paper loss
expect_equal(realized_duration(2, 15, 1, 10, "B", pt_dtt, p_dtt, t_dtt, allow_short = FALSE),
c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = dtt_diff))
# paper gain
expect_equal(realized_duration(2, 10, 1, 15, "B", pt_dtt, p_dtt, t_dtt, allow_short = FALSE),
c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = dtt_diff, "PL_duration" = 0))
# realized loss + paper loss
expect_equal(realized_duration(2, 15, -1, 10, "S", pt_dtt, p_dtt, t_dtt, allow_short = FALSE),
c("RG_duration" = 0, "RL_duration" = dtt_diff0, "PG_duration" = 0, "PL_duration" = dtt_diff))
# realized gain + paper gain
expect_equal(realized_duration(2, 10, -1, 15, "S", pt_dtt, p_dtt, t_dtt, allow_short = FALSE),
c("RG_duration" = dtt_diff0, "RL_duration" = 0, "PG_duration" = dtt_diff, "PL_duration" = 0))
# realized loss
expect_equal(realized_duration(2, 15, -2, 10, "S", pt_dtt, p_dtt, t_dtt, allow_short = FALSE),
c("RG_duration" = 0, "RL_duration" = dtt_diff0, "PG_duration" = 0, "PL_duration" = 0))
# realized gain
expect_equal(realized_duration(2, 10, -2, 15, "S", pt_dtt, p_dtt, t_dtt, allow_short = FALSE),
c("RG_duration" = dtt_diff0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0))
# short
# paper loss
expect_equal(realized_duration(-2, 15, -1, 10, "S", pt_dtt, p_dtt, t_dtt, allow_short = FALSE),
c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0))
# paper gain
expect_equal(realized_duration(-2, 10, -1, 15, "S", pt_dtt, p_dtt, t_dtt, allow_short = FALSE),
c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0))
# realized loss + paper loss
expect_equal(realized_duration(-2, 15, 1, 10, "B", pt_dtt, p_dtt, t_dtt, allow_short = FALSE),
c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0))
# realized gain + paper gain
expect_equal(realized_duration(-2, 10, 1, 15, "B", pt_dtt, p_dtt, t_dtt, allow_short = FALSE),
c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0))
# realized loss
expect_equal(realized_duration(-2, 15, 2, 10, "B", pt_dtt, p_dtt, t_dtt, allow_short = FALSE),
c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0))
# realized gain
expect_equal(realized_duration(-2, 10, 2, 15, "B", pt_dtt, p_dtt, t_dtt, allow_short = FALSE),
c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0))
})
test_that("realized_duration works (realized_only = TRUE)", {
# allow_short = TRUE
# long
# paper loss
expect_equal(realized_duration(2, 15, 1, 10, "B", pt_dtt, p_dtt, t_dtt, allow_short = TRUE, realized_only = TRUE),
c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0))
# paper gain
expect_equal(realized_duration(2, 10, 1, 15, "B", pt_dtt, p_dtt, t_dtt, allow_short = TRUE, realized_only = TRUE),
c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0))
# realized loss + paper loss
expect_equal(realized_duration(2, 15, -1, 10, "S", pt_dtt, p_dtt, t_dtt, allow_short = TRUE, realized_only = TRUE),
c("RG_duration" = 0, "RL_duration" = dtt_diff0, "PG_duration" = 0, "PL_duration" = 0))
# realized gain + paper gain
expect_equal(realized_duration(2, 10, -1, 15, "S", pt_dtt, p_dtt, t_dtt, allow_short = TRUE, realized_only = TRUE),
c("RG_duration" = dtt_diff0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0))
# realized loss
expect_equal(realized_duration(2, 15, -2, 10, "S", pt_dtt, p_dtt, t_dtt, allow_short = TRUE, realized_only = TRUE),
c("RG_duration" = 0, "RL_duration" = dtt_diff0, "PG_duration" = 0, "PL_duration" = 0))
# realized gain
expect_equal(realized_duration(2, 10, -2, 15, "S", pt_dtt, p_dtt, t_dtt, allow_short = TRUE, realized_only = TRUE),
c("RG_duration" = dtt_diff0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0))
# short
# paper loss
expect_equal(realized_duration(-2, 15, -1, 10, "S", pt_dtt, p_dtt, t_dtt, allow_short = TRUE, realized_only = TRUE),
c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0))
# paper gain
expect_equal(realized_duration(-2, 10, -1, 15, "S", pt_dtt, p_dtt, t_dtt, allow_short = TRUE, realized_only = TRUE),
c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0))
# realized loss + paper loss
expect_equal(realized_duration(-2, 15, 1, 10, "B", pt_dtt, p_dtt, t_dtt, allow_short = TRUE, realized_only = TRUE),
c("RG_duration" = dtt_diff0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0))
# realized gain + paper gain
expect_equal(realized_duration(-2, 10, 1, 15, "B", pt_dtt, p_dtt, t_dtt, allow_short = TRUE, realized_only = TRUE),
c("RG_duration" = 0, "RL_duration" = dtt_diff0, "PG_duration" = 0, "PL_duration" = 0))
# realized loss
expect_equal(realized_duration(-2, 15, 2, 10, "B", pt_dtt, p_dtt, t_dtt, allow_short = TRUE, realized_only = TRUE),
c("RG_duration" = dtt_diff0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0))
# realized gain
expect_equal(realized_duration(-2, 10, 2, 15, "B", pt_dtt, p_dtt, t_dtt, allow_short = TRUE, realized_only = TRUE),
c("RG_duration" = 0, "RL_duration" = dtt_diff0, "PG_duration" = 0, "PL_duration" = 0))
# allow_short = FALSE
# long
# paper loss
expect_equal(realized_duration(2, 15, 1, 10, "B", pt_dtt, p_dtt, t_dtt, allow_short = FALSE, realized_only = TRUE),
c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0))
# paper gain
expect_equal(realized_duration(2, 10, 1, 15, "B", pt_dtt, p_dtt, t_dtt, allow_short = FALSE, realized_only = TRUE),
c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0))
# realized loss + paper loss
expect_equal(realized_duration(2, 15, -1, 10, "S", pt_dtt, p_dtt, t_dtt, allow_short = FALSE, realized_only = TRUE),
c("RG_duration" = 0, "RL_duration" = dtt_diff0, "PG_duration" = 0, "PL_duration" = 0))
# realized gain + paper gain
expect_equal(realized_duration(2, 10, -1, 15, "S", pt_dtt, p_dtt, t_dtt, allow_short = FALSE, realized_only = TRUE),
c("RG_duration" = dtt_diff0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0))
# realized loss
expect_equal(realized_duration(2, 15, -2, 10, "S", pt_dtt, p_dtt, t_dtt, allow_short = FALSE, realized_only = TRUE),
c("RG_duration" = 0, "RL_duration" = dtt_diff0, "PG_duration" = 0, "PL_duration" = 0))
# realized gain
expect_equal(realized_duration(2, 10, -2, 15, "S", pt_dtt, p_dtt, t_dtt, allow_short = FALSE, realized_only = TRUE),
c("RG_duration" = dtt_diff0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0))
# short
# paper loss
expect_equal(realized_duration(-2, 15, -1, 10, "S", pt_dtt, p_dtt, t_dtt, allow_short = FALSE, realized_only = TRUE),
c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0))
# paper gain
expect_equal(realized_duration(-2, 10, -1, 15, "S", pt_dtt, p_dtt, t_dtt, allow_short = FALSE, realized_only = TRUE),
c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0))
# realized loss + paper loss
expect_equal(realized_duration(-2, 15, 1, 10, "B", pt_dtt, p_dtt, t_dtt, allow_short = FALSE, realized_only = TRUE),
c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0))
# realized gain + paper gain
expect_equal(realized_duration(-2, 10, 1, 15, "B", pt_dtt, p_dtt, t_dtt, allow_short = FALSE, realized_only = TRUE),
c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0))
# realized loss
expect_equal(realized_duration(-2, 15, 2, 10, "B", pt_dtt, p_dtt, t_dtt, allow_short = FALSE, realized_only = TRUE),
c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0))
# realized gain
expect_equal(realized_duration(-2, 10, 2, 15, "B", pt_dtt, p_dtt, t_dtt, allow_short = FALSE, realized_only = TRUE),
c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0))
})
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context("realized_duration's arguments")
# portfolio_quantity, portfolio_price, transaction_quantity, transaction_price, transaction_type
# previous_transaction_datetime, previous_datetime, transaction_datetime,
pt_dtt <- as.POSIXct("2021-01-04 10:00:00", tz = "UTC")
p_dtt <- as.POSIXct("2021-01-05 10:00:00", tz = "UTC")
t_dtt <- as.POSIXct("2021-01-06 10:00:00", tz = "UTC")
dtt_diff <- 14 # difftime_financial(p_dtt, t_dtt)
dtt_diff0 <- 28 # difftime_financial(pt_dtt, t_dtt)
test_that("realized_duration works (zero quantity)", {
expect_equal(realized_duration(0, 0, 0, 0, "B", pt_dtt, p_dtt, t_dtt, allow_short = TRUE),
c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0))
expect_equal(realized_duration(0, 0, 0, 0, "S", pt_dtt, p_dtt, t_dtt, allow_short = TRUE),
c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0))
})
test_that("realized_duration works (long)", {
# paper loss
expect_equal(realized_duration(2, 15, 1, 10, "B", pt_dtt, p_dtt, t_dtt, allow_short = TRUE),
c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = dtt_diff))
# paper gain
expect_equal(realized_duration(2, 10, 1, 15, "B", pt_dtt, p_dtt, t_dtt, allow_short = TRUE),
c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = dtt_diff, "PL_duration" = 0))
# realized loss + paper loss
expect_equal(realized_duration(2, 15, -1, 10, "S", pt_dtt, p_dtt, t_dtt, allow_short = TRUE),
c("RG_duration" = 0, "RL_duration" = dtt_diff0, "PG_duration" = 0, "PL_duration" = dtt_diff))
# realized gain + paper gain
expect_equal(realized_duration(2, 10, -1, 15, "S", pt_dtt, p_dtt, t_dtt, allow_short = TRUE),
c("RG_duration" = dtt_diff0, "RL_duration" = 0, "PG_duration" = dtt_diff, "PL_duration" = 0))
# realized loss
expect_equal(realized_duration(2, 15, -2, 10, "S", pt_dtt, p_dtt, t_dtt, allow_short = TRUE),
c("RG_duration" = 0, "RL_duration" = dtt_diff0, "PG_duration" = 0, "PL_duration" = 0))
# realized gain
expect_equal(realized_duration(2, 10, -2, 15, "S", pt_dtt, p_dtt, t_dtt, allow_short = TRUE),
c("RG_duration" = dtt_diff0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0))
})
test_that("realized_duration works (short)", {
# paper loss
expect_equal(realized_duration(-2, 15, -1, 10, "S", pt_dtt, p_dtt, t_dtt, allow_short = TRUE),
c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = dtt_diff, "PL_duration" = 0))
# paper gain
expect_equal(realized_duration(-2, 10, -1, 15, "S", pt_dtt, p_dtt, t_dtt, allow_short = TRUE),
c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = dtt_diff))
# realized loss + paper loss
expect_equal(realized_duration(-2, 15, 1, 10, "B", pt_dtt, p_dtt, t_dtt, allow_short = TRUE),
c("RG_duration" = dtt_diff0, "RL_duration" = 0, "PG_duration" = dtt_diff, "PL_duration" = 0))
# realized gain + paper gain
expect_equal(realized_duration(-2, 10, 1, 15, "B", pt_dtt, p_dtt, t_dtt, allow_short = TRUE),
c("RG_duration" = 0, "RL_duration" = dtt_diff0, "PG_duration" = 0, "PL_duration" = dtt_diff))
# realized loss
expect_equal(realized_duration(-2, 15, 2, 10, "B", pt_dtt, p_dtt, t_dtt, allow_short = TRUE),
c("RG_duration" = dtt_diff0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0))
# realized gain
expect_equal(realized_duration(-2, 10, 2, 15, "B", pt_dtt, p_dtt, t_dtt, allow_short = TRUE),
c("RG_duration" = 0, "RL_duration" = dtt_diff0, "PG_duration" = 0, "PL_duration" = 0))
})
test_that("realized_duration works (allow_short = FALSE)", {
# long
# paper loss
expect_equal(realized_duration(2, 15, 1, 10, "B", pt_dtt, p_dtt, t_dtt, allow_short = FALSE),
c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = dtt_diff))
# paper gain
expect_equal(realized_duration(2, 10, 1, 15, "B", pt_dtt, p_dtt, t_dtt, allow_short = FALSE),
c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = dtt_diff, "PL_duration" = 0))
# realized loss + paper loss
expect_equal(realized_duration(2, 15, -1, 10, "S", pt_dtt, p_dtt, t_dtt, allow_short = FALSE),
c("RG_duration" = 0, "RL_duration" = dtt_diff0, "PG_duration" = 0, "PL_duration" = dtt_diff))
# realized gain + paper gain
expect_equal(realized_duration(2, 10, -1, 15, "S", pt_dtt, p_dtt, t_dtt, allow_short = FALSE),
c("RG_duration" = dtt_diff0, "RL_duration" = 0, "PG_duration" = dtt_diff, "PL_duration" = 0))
# realized loss
expect_equal(realized_duration(2, 15, -2, 10, "S", pt_dtt, p_dtt, t_dtt, allow_short = FALSE),
c("RG_duration" = 0, "RL_duration" = dtt_diff0, "PG_duration" = 0, "PL_duration" = 0))
# realized gain
expect_equal(realized_duration(2, 10, -2, 15, "S", pt_dtt, p_dtt, t_dtt, allow_short = FALSE),
c("RG_duration" = dtt_diff0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0))
# short
# paper loss
expect_equal(realized_duration(-2, 15, -1, 10, "S", pt_dtt, p_dtt, t_dtt, allow_short = FALSE),
c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0))
# paper gain
expect_equal(realized_duration(-2, 10, -1, 15, "S", pt_dtt, p_dtt, t_dtt, allow_short = FALSE),
c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0))
# realized loss + paper loss
expect_equal(realized_duration(-2, 15, 1, 10, "B", pt_dtt, p_dtt, t_dtt, allow_short = FALSE),
c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0))
# realized gain + paper gain
expect_equal(realized_duration(-2, 10, 1, 15, "B", pt_dtt, p_dtt, t_dtt, allow_short = FALSE),
c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0))
# realized loss
expect_equal(realized_duration(-2, 15, 2, 10, "B", pt_dtt, p_dtt, t_dtt, allow_short = FALSE),
c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0))
# realized gain
expect_equal(realized_duration(-2, 10, 2, 15, "B", pt_dtt, p_dtt, t_dtt, allow_short = FALSE),
c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0))
})
test_that("realized_duration works (realized_only = TRUE)", {
# allow_short = TRUE
# long
# paper loss
expect_equal(realized_duration(2, 15, 1, 10, "B", pt_dtt, p_dtt, t_dtt, allow_short = TRUE, realized_only = TRUE),
c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0))
# paper gain
expect_equal(realized_duration(2, 10, 1, 15, "B", pt_dtt, p_dtt, t_dtt, allow_short = TRUE, realized_only = TRUE),
c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0))
# realized loss + paper loss
expect_equal(realized_duration(2, 15, -1, 10, "S", pt_dtt, p_dtt, t_dtt, allow_short = TRUE, realized_only = TRUE),
c("RG_duration" = 0, "RL_duration" = dtt_diff0, "PG_duration" = 0, "PL_duration" = 0))
# realized gain + paper gain
expect_equal(realized_duration(2, 10, -1, 15, "S", pt_dtt, p_dtt, t_dtt, allow_short = TRUE, realized_only = TRUE),
c("RG_duration" = dtt_diff0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0))
# realized loss
expect_equal(realized_duration(2, 15, -2, 10, "S", pt_dtt, p_dtt, t_dtt, allow_short = TRUE, realized_only = TRUE),
c("RG_duration" = 0, "RL_duration" = dtt_diff0, "PG_duration" = 0, "PL_duration" = 0))
# realized gain
expect_equal(realized_duration(2, 10, -2, 15, "S", pt_dtt, p_dtt, t_dtt, allow_short = TRUE, realized_only = TRUE),
c("RG_duration" = dtt_diff0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0))
# short
# paper loss
expect_equal(realized_duration(-2, 15, -1, 10, "S", pt_dtt, p_dtt, t_dtt, allow_short = TRUE, realized_only = TRUE),
c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0))
# paper gain
expect_equal(realized_duration(-2, 10, -1, 15, "S", pt_dtt, p_dtt, t_dtt, allow_short = TRUE, realized_only = TRUE),
c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0))
# realized loss + paper loss
expect_equal(realized_duration(-2, 15, 1, 10, "B", pt_dtt, p_dtt, t_dtt, allow_short = TRUE, realized_only = TRUE),
c("RG_duration" = dtt_diff0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0))
# realized gain + paper gain
expect_equal(realized_duration(-2, 10, 1, 15, "B", pt_dtt, p_dtt, t_dtt, allow_short = TRUE, realized_only = TRUE),
c("RG_duration" = 0, "RL_duration" = dtt_diff0, "PG_duration" = 0, "PL_duration" = 0))
# realized loss
expect_equal(realized_duration(-2, 15, 2, 10, "B", pt_dtt, p_dtt, t_dtt, allow_short = TRUE, realized_only = TRUE),
c("RG_duration" = dtt_diff0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0))
# realized gain
expect_equal(realized_duration(-2, 10, 2, 15, "B", pt_dtt, p_dtt, t_dtt, allow_short = TRUE, realized_only = TRUE),
c("RG_duration" = 0, "RL_duration" = dtt_diff0, "PG_duration" = 0, "PL_duration" = 0))
# allow_short = FALSE
# long
# paper loss
expect_equal(realized_duration(2, 15, 1, 10, "B", pt_dtt, p_dtt, t_dtt, allow_short = FALSE, realized_only = TRUE),
c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0))
# paper gain
expect_equal(realized_duration(2, 10, 1, 15, "B", pt_dtt, p_dtt, t_dtt, allow_short = FALSE, realized_only = TRUE),
c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0))
# realized loss + paper loss
expect_equal(realized_duration(2, 15, -1, 10, "S", pt_dtt, p_dtt, t_dtt, allow_short = FALSE, realized_only = TRUE),
c("RG_duration" = 0, "RL_duration" = dtt_diff0, "PG_duration" = 0, "PL_duration" = 0))
# realized gain + paper gain
expect_equal(realized_duration(2, 10, -1, 15, "S", pt_dtt, p_dtt, t_dtt, allow_short = FALSE, realized_only = TRUE),
c("RG_duration" = dtt_diff0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0))
# realized loss
expect_equal(realized_duration(2, 15, -2, 10, "S", pt_dtt, p_dtt, t_dtt, allow_short = FALSE, realized_only = TRUE),
c("RG_duration" = 0, "RL_duration" = dtt_diff0, "PG_duration" = 0, "PL_duration" = 0))
# realized gain
expect_equal(realized_duration(2, 10, -2, 15, "S", pt_dtt, p_dtt, t_dtt, allow_short = FALSE, realized_only = TRUE),
c("RG_duration" = dtt_diff0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0))
# short
# paper loss
expect_equal(realized_duration(-2, 15, -1, 10, "S", pt_dtt, p_dtt, t_dtt, allow_short = FALSE, realized_only = TRUE),
c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0))
# paper gain
expect_equal(realized_duration(-2, 10, -1, 15, "S", pt_dtt, p_dtt, t_dtt, allow_short = FALSE, realized_only = TRUE),
c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0))
# realized loss + paper loss
expect_equal(realized_duration(-2, 15, 1, 10, "B", pt_dtt, p_dtt, t_dtt, allow_short = FALSE, realized_only = TRUE),
c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0))
# realized gain + paper gain
expect_equal(realized_duration(-2, 10, 1, 15, "B", pt_dtt, p_dtt, t_dtt, allow_short = FALSE, realized_only = TRUE),
c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0))
# realized loss
expect_equal(realized_duration(-2, 15, 2, 10, "B", pt_dtt, p_dtt, t_dtt, allow_short = FALSE, realized_only = TRUE),
c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0))
# realized gain
expect_equal(realized_duration(-2, 10, 2, 15, "B", pt_dtt, p_dtt, t_dtt, allow_short = FALSE, realized_only = TRUE),
c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0))
})
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