tests/testthat/test-view_on_tail_dependence.R

In ffp: Fully Flexible Probabilities for Stress Testing and Portfolio Construction

# ret_ts  <- diff(log(EuStockMarkets))
# ret_mtx <- matrix(ret_ts, ncol = 4)
# ret_xts <- xts::xts(ret_mtx, order.by = Sys.Date() + 1:nrow(ret_mtx))
# ret_tbl <- tibble::as_tibble(ret_ts)
#
# p <- rep(1 / nrow(ret_ts), nrow(ret_ts))
#
# vmean_ts <- view_on_tail_dependence(x = ret_ts, tail = rep(0, 4))
# test_that("`view_on_tail_dependence` works for ts", {
#   expect_type(vmean_ts, "list")
#   expect_s3_class(vmean_ts, "ffp_views")
#   expect_length(vmean_ts, 2L)
#   expect_named(vmean_ts, c("Aeq", "beq"))
# })
#
# vmean_mtx <- view_on_tail_dependence(x = ret_mtx, tail = rep(0, 4))
# test_that("`view_on_tail_dependence` works for matrix", {
#   expect_type(vmean_mtx, "list")
#   expect_s3_class(vmean_mtx, "ffp_views")
#   expect_length(vmean_mtx, 2L)
#   expect_named(vmean_mtx, c("Aeq", "beq"))
# })
#
# vmean_xts <- view_on_tail_dependence(x = ret_xts, tail = rep(0, 4))
# test_that("`view_on_tail_dependence` works for xts", {
#   expect_type(vmean_xts, "list")
#   expect_s3_class(vmean_xts, "ffp_views")
#   expect_length(vmean_xts, 2L)
#   expect_named(vmean_xts, c("Aeq", "beq"))
# })
#
# vmean_tbl <- view_on_tail_dependence(x = ret_tbl, tail = rep(0, 4))
# test_that("`view_on_tail_dependence` works for tbl_df", {
#   expect_type(vmean_tbl, "list")
#   expect_s3_class(vmean_tbl, "ffp_views")
#   expect_length(vmean_tbl, 2L)
#   expect_named(vmean_tbl, c("Aeq", "beq"))
# })