Nothing
tests/testthat/test-assetForward-valuation.R
In sstModel: Swiss Solvency Test (SST) Standard Models
# unit tests for S3 class assetForward
context("assetForward: valuation")
test_that("assetForward: valInfo method is ok", {
## a first example
cov.mat <- diag(rep(4, 3))
name <- c("2YCHF", "equityCHF", "EURCHF")
colnames(cov.mat) <- name
rownames(cov.mat) <- name
attr(cov.mat, "base.currency") <- "CHF"
mapping.table <- mappingTable(rate(name = "2YCHF",
currency = "CHF",
horizon = "k"),
equity(name = "equityCHF",
type = "equity",
currency = "CHF"),
rate(name = "2YCHF",
currency = "EUR",
horizon = "k",
scale = 0.75),
currency(name = "EURCHF",
from = "EUR",
to = "CHF"),
equity(name = "equityCHF",
type = "equity",
currency = "EUR",
scale = 0.5))
initial.values <- list()
initial.values$initial.fx <- data.frame(from = "EUR",
to = "CHF",
fx = 1.05,
stringsAsFactors = F)
initial.values$initial.rate <- data.frame(time = c(1L, 1L),
currency = c("CHF", "EUR"),
rate = c(0.01, 0.01),
stringsAsFactors = F)
mapping.time <- data.frame(time = 1L, mapping = "k", stringsAsFactors = F)
mr <- marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time)
l <- valInfo.assetForward(assetForward(type = "equity",
currency = "CHF",
time = 1L,
exposure = 10,
price = 100,
position = "long"),
mr)
expect_equal(l$asset.term$type, "equity")
expect_equal(l$liability.term$currency, "CHF")
})
test_that("assetForward: valExpression is OK", {
## a first example
cov.mat <- diag(rep(4, 3))
name <- c("2YCHF", "equityCHF", "EURCHF")
colnames(cov.mat) <- name
rownames(cov.mat) <- name
attr(cov.mat, "base.currency") <- "CHF"
mapping.table <- mappingTable(rate(name = "2YCHF",
currency = "CHF",
horizon = "k"),
equity(name = "equityCHF",
type = "equity",
currency = "CHF"),
rate(name = "2YCHF",
currency = "EUR",
horizon = "k",
scale = 0.75),
currency(name = "EURCHF",
from = "EUR",
to = "CHF"),
equity(name = "equityCHF",
type = "equity",
currency = "EUR",
scale = 0.5))
initial.values <- list()
initial.values$initial.fx <- data.frame(from = "EUR",
to = "CHF",
fx = 1.05,
stringsAsFactors = F)
initial.values$initial.rate <- data.frame(time = c(1L, 1L),
currency = c("CHF", "EUR"),
rate = c(0.01, 0.01),
stringsAsFactors = F)
mapping.time <- data.frame(time = 1L, mapping = "k", stringsAsFactors = F)
mr <- marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time)
expect_equal(valExpression(assetForward(type = "equity",
currency = "CHF",
time = 1L,
exposure = 10,
price = 100,
position = "long"),
mr),
"10 * (exp(`equityCHF` + -2) - 1) + -99.0049833749168 * (exp(-1 * `2YCHF` + -2) - 1)")
expect_equal(valExpression(assetForward(type = "equity",
currency = "CHF",
time = 1L,
exposure = 10,
price = 100,
position = "short"),
mr),
"-10 * (exp(`equityCHF` + -2) - 1) + 99.0049833749168 * (exp(-1 * `2YCHF` + -2) - 1)")
})
test_that("assetForward: valExpression with standalones is ok", {
cov.mat <- diag(rep(4, 3))
name <- c("2YCHF", "equityCHF", "EURCHF")
colnames(cov.mat) <- name
rownames(cov.mat) <- name
attr(cov.mat, "base.currency") <- "CHF"
mapping.table <- mappingTable(rate(name = "2YCHF",
currency = "CHF",
horizon = "k"),
equity(name = "equityCHF",
type = "equity",
currency = "CHF"),
rate(name = "2YCHF",
currency = "EUR",
horizon = "k",
scale = 0.75),
currency(name = "EURCHF",
from = "EUR",
to = "CHF"),
equity(name = "equityCHF",
type = "equity",
currency = "EUR",
scale = 0.5))
initial.values <- list()
initial.values$initial.fx <- data.frame(from = "EUR",
to = "CHF",
fx = 1.05,
stringsAsFactors = F)
initial.values$initial.rate <- data.frame(time = c(1L, 1L),
currency = c("CHF", "EUR"),
rate = c(0.01, 0.01),
stringsAsFactors = F)
mapping.time <- data.frame(time = 1L, mapping = "k", stringsAsFactors = F)
mr <- marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time)
expect_true(is.na(valExpression(object = assetForward(type = "equity",
currency = "CHF",
time = 1L,
exposure = 10,
price = 100,
position = "short"),
market.risk = mr,
standalone = standalone(name = "a name",
equity(name = "AAACHF",
currency = "EUR",
type = "equity")))))
expect_equal(valExpression(object = assetForward(type = "equity",
currency = "CHF",
time = 1L,
exposure = 10,
price = 100,
position = "short"),
market.risk = mr,
standalone = standalone(name = "a name",
equity(name = "AAACHF",
currency = "CHF",
type = "equity"))),
"-10 * (exp(`equityCHF` + -2) - 1)")
expect_equal(valExpression(object = assetForward(type = "equity",
currency = "CHF",
time = 1L,
exposure = 10,
price = 100,
position = "long"),
market.risk = mr,
standalone = standalone(name = "a name",
equity(name = "AAACHF",
currency = "CHF",
type = "equity"))),
"10 * (exp(`equityCHF` + -2) - 1)")
expect_equal(valExpression(object = assetForward(type = "equity",
currency = "CHF",
time = 1L,
exposure = 10,
price = 100,
position = "short"),
market.risk = mr,
standalone = standalone(name = "a name",
rate(name = "2YCHF",
horizon = "k",
currency = "CHF"))),
"99.0049833749168 * (exp(-1 * `2YCHF` + -2) - 1)")
expect_equal(valExpression(object = assetForward(type = "equity",
currency = "CHF",
time = 1L,
exposure = 10,
price = 100,
position = "long"),
market.risk = mr,
standalone = standalone(name = "a name",
rate(name = "2YCHF",
horizon = "k",
currency = "CHF"))),
"-99.0049833749168 * (exp(-1 * `2YCHF` + -2) - 1)")
})
test_that("assetForward: valFunction is OK", {
## a first example
cov.mat <- diag(rep(4, 3))
name <- c("2YCHF", "equityCHF", "EURCHF")
colnames(cov.mat) <- name
rownames(cov.mat) <- name
attr(cov.mat, "base.currency") <- "CHF"
mapping.table <- mappingTable(rate(name = "2YCHF",
currency = "CHF",
horizon = "k"),
equity(name = "equityCHF",
type = "equity",
currency = "CHF"),
rate(name = "2YCHF",
currency = "EUR",
horizon = "k",
scale = 0.75),
currency(name = "EURCHF",
from = "EUR",
to = "CHF"),
equity(name = "equityCHF",
type = "equity",
currency = "EUR",
scale = 0.5))
initial.values <- list()
initial.values$initial.fx <- data.frame(from = "EUR",
to = "CHF",
fx = 1.05,
stringsAsFactors = F)
initial.values$initial.rate <- data.frame(time = c(1L, 1L),
currency = c("CHF", "EUR"),
rate = c(0.01, 0.01),
stringsAsFactors = F)
mapping.time <- data.frame(time = 1L, mapping = "k", stringsAsFactors = F)
mr <- marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time)
# type checks (with constant)
simulations <- matrix(c("a", "b", "c"),nrow=1)
colnames(simulations) <- name
expect_error(valFunction(assetForward(type = "equity",
currency = "CHF",
time = 1L,
exposure = 10,
price = 100,
position = "long"), market.risk = mr)(simulations),
"types")
simulations <- c(1,2)
expect_error(valFunction(assetForward(type = "equity",
currency = "CHF",
time = 1L,
exposure = 10,
price = 100,
position = "long"), market.risk = mr)(simulations),
"dimensions")
simulations <- matrix(c(1, 2, NA),nrow=1)
colnames(simulations) <- name
expect_error(valFunction(assetForward(type = "equity",
currency = "CHF",
time = 1L,
exposure = 10,
price = 100,
position = "long"), market.risk = mr)(simulations),
"Missing")
# type checks (without constant)
simulations <- matrix(c("a", "b", "c"),nrow=1)
colnames(simulations) <- name
expect_error(valFunction(assetForward(type = "equity",
currency = "CHF",
time = 1L,
exposure = 10,
price = 100,
position = "long"), market.risk = mr, with.constant = F)(simulations),
"types")
simulations <- c(1,2)
expect_error(valFunction(assetForward(type = "equity",
currency = "CHF",
time = 1L,
exposure = 10,
price = 100,
position = "long"), market.risk = mr, with.constant = F)(simulations),
"dimensions")
simulations <- matrix(c(1, 2, NA),nrow=1)
colnames(simulations) <- name
expect_error(valFunction(assetForward(type = "equity",
currency = "CHF",
time = 1L,
exposure = 10,
price = 100,
position = "long"), market.risk = mr, with.constant = F)(simulations),
"Missing")
# validation: battery of tests
simulations <- matrix(c(1, 2, 3), nrow = 1)
colnames(simulations) <- name
expect_equal(valFunction(assetForward(type = "equity",
currency = "CHF",
time = 1L,
exposure = 10,
price = 100,
position = "long"),
mr)(simulations),
10 * (exp(2 + -2) - 1) - 99.0049833749168 * (exp(-1 * 1 + -2) - 1))
expect_equal(valFunction(assetForward(type = "equity",
currency = "CHF",
time = 1L,
exposure = 10,
price = 100,
position = "short"),
mr)(simulations),
99.0049833749168 * (exp(-1 * 1 + -2) - 1) - 10 * (exp(2 + -2) - 1))
# wrong input
expect_error(valFunction(assetForward(type = "equity",
currency = "CHF",
time = 1L,
exposure = 10,
price = 100,
position = "short"),
list(1, 2, 3))(simulations),
"assetForward")
# vector input
simulations.vec <- c(1, 2, 3)
expect_equal(valFunction(assetForward(type = "equity",
currency = "CHF",
time = 1L,
exposure = 10,
price = 100,
position = "short"),
mr)(simulations.vec),
99.0049833749168 * (exp(-1 * 1 + -2) - 1) - 10 * (exp(2 + -2) - 1))
expect_equal(valFunction(assetForward(type = "equity",
currency = "CHF",
time = 1L,
exposure = 10,
price = 100,
position = "short"),
mr, with.constant = F)(simulations.vec),
99.0049833749168 * (exp(-1 * 1) - 1) - 10 * (exp(2) - 1))
# invalid types
simulations.vec <- c("a", "b", "c", "d")
expect_error(valFunction(assetForward(type = "equity",
currency = "CHF",
time = 1L,
exposure = 10,
price = 100,
position = "short"),
mr)(simulations.vec),
"types")
expect_error(valFunction(assetForward(type = "equity",
currency = "CHF",
time = 1L,
exposure = 10,
price = 100,
position = "short"),
mr, with.constant = F)(simulations.vec),
"types")
# invalid dimensions
simulations.vec <- c(2, 5, 5, 6)
expect_error(valFunction(assetForward(type = "equity",
currency = "CHF",
time = 1L,
exposure = 10,
price = 100,
position = "short"),
mr)(simulations.vec),
"dimensions")
expect_error(valFunction(assetForward(type = "equity",
currency = "CHF",
time = 1L,
exposure = 10,
price = 100,
position = "short"),
mr, with.constant = F)(simulations.vec),
"dimensions")
# missing values
simulations <- matrix(c(NA, 5), nrow = 1)
colnames(simulations) <- c("a", "b")
expect_error(valFunction(assetForward(type = "equity",
currency = "CHF",
time = 1L,
exposure = 10,
price = 100,
position = "short"),
mr)(simulations),
"Missing")
expect_error(valFunction(assetForward(type = "equity",
currency = "CHF",
time = 1L,
exposure = 10,
price = 100,
position = "short"),
mr, with.constant = F)(simulations),
"Missing")
# wrong names
simulations <- matrix(c(2, 5), nrow = 1)
colnames(simulations) <- c("a", "b")
expect_error(valFunction(assetForward(type = "equity",
currency = "CHF",
time = 1L,
exposure = 10,
price = 100,
position = "short"),
mr)(simulations),
"names")
expect_error(valFunction(assetForward(type = "equity",
currency = "CHF",
time = 1L,
exposure = 10,
price = 100,
position = "short"),
mr, with.constant = F)(simulations),
"names")
})
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# unit tests for S3 class assetForward
context("assetForward: valuation")
test_that("assetForward: valInfo method is ok", {
## a first example
cov.mat <- diag(rep(4, 3))
name <- c("2YCHF", "equityCHF", "EURCHF")
colnames(cov.mat) <- name
rownames(cov.mat) <- name
attr(cov.mat, "base.currency") <- "CHF"
mapping.table <- mappingTable(rate(name = "2YCHF",
currency = "CHF",
horizon = "k"),
equity(name = "equityCHF",
type = "equity",
currency = "CHF"),
rate(name = "2YCHF",
currency = "EUR",
horizon = "k",
scale = 0.75),
currency(name = "EURCHF",
from = "EUR",
to = "CHF"),
equity(name = "equityCHF",
type = "equity",
currency = "EUR",
scale = 0.5))
initial.values <- list()
initial.values$initial.fx <- data.frame(from = "EUR",
to = "CHF",
fx = 1.05,
stringsAsFactors = F)
initial.values$initial.rate <- data.frame(time = c(1L, 1L),
currency = c("CHF", "EUR"),
rate = c(0.01, 0.01),
stringsAsFactors = F)
mapping.time <- data.frame(time = 1L, mapping = "k", stringsAsFactors = F)
mr <- marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time)
l <- valInfo.assetForward(assetForward(type = "equity",
currency = "CHF",
time = 1L,
exposure = 10,
price = 100,
position = "long"),
mr)
expect_equal(l$asset.term$type, "equity")
expect_equal(l$liability.term$currency, "CHF")
})
test_that("assetForward: valExpression is OK", {
## a first example
cov.mat <- diag(rep(4, 3))
name <- c("2YCHF", "equityCHF", "EURCHF")
colnames(cov.mat) <- name
rownames(cov.mat) <- name
attr(cov.mat, "base.currency") <- "CHF"
mapping.table <- mappingTable(rate(name = "2YCHF",
currency = "CHF",
horizon = "k"),
equity(name = "equityCHF",
type = "equity",
currency = "CHF"),
rate(name = "2YCHF",
currency = "EUR",
horizon = "k",
scale = 0.75),
currency(name = "EURCHF",
from = "EUR",
to = "CHF"),
equity(name = "equityCHF",
type = "equity",
currency = "EUR",
scale = 0.5))
initial.values <- list()
initial.values$initial.fx <- data.frame(from = "EUR",
to = "CHF",
fx = 1.05,
stringsAsFactors = F)
initial.values$initial.rate <- data.frame(time = c(1L, 1L),
currency = c("CHF", "EUR"),
rate = c(0.01, 0.01),
stringsAsFactors = F)
mapping.time <- data.frame(time = 1L, mapping = "k", stringsAsFactors = F)
mr <- marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time)
expect_equal(valExpression(assetForward(type = "equity",
currency = "CHF",
time = 1L,
exposure = 10,
price = 100,
position = "long"),
mr),
"10 * (exp(`equityCHF` + -2) - 1) + -99.0049833749168 * (exp(-1 * `2YCHF` + -2) - 1)")
expect_equal(valExpression(assetForward(type = "equity",
currency = "CHF",
time = 1L,
exposure = 10,
price = 100,
position = "short"),
mr),
"-10 * (exp(`equityCHF` + -2) - 1) + 99.0049833749168 * (exp(-1 * `2YCHF` + -2) - 1)")
})
test_that("assetForward: valExpression with standalones is ok", {
cov.mat <- diag(rep(4, 3))
name <- c("2YCHF", "equityCHF", "EURCHF")
colnames(cov.mat) <- name
rownames(cov.mat) <- name
attr(cov.mat, "base.currency") <- "CHF"
mapping.table <- mappingTable(rate(name = "2YCHF",
currency = "CHF",
horizon = "k"),
equity(name = "equityCHF",
type = "equity",
currency = "CHF"),
rate(name = "2YCHF",
currency = "EUR",
horizon = "k",
scale = 0.75),
currency(name = "EURCHF",
from = "EUR",
to = "CHF"),
equity(name = "equityCHF",
type = "equity",
currency = "EUR",
scale = 0.5))
initial.values <- list()
initial.values$initial.fx <- data.frame(from = "EUR",
to = "CHF",
fx = 1.05,
stringsAsFactors = F)
initial.values$initial.rate <- data.frame(time = c(1L, 1L),
currency = c("CHF", "EUR"),
rate = c(0.01, 0.01),
stringsAsFactors = F)
mapping.time <- data.frame(time = 1L, mapping = "k", stringsAsFactors = F)
mr <- marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time)
expect_true(is.na(valExpression(object = assetForward(type = "equity",
currency = "CHF",
time = 1L,
exposure = 10,
price = 100,
position = "short"),
market.risk = mr,
standalone = standalone(name = "a name",
equity(name = "AAACHF",
currency = "EUR",
type = "equity")))))
expect_equal(valExpression(object = assetForward(type = "equity",
currency = "CHF",
time = 1L,
exposure = 10,
price = 100,
position = "short"),
market.risk = mr,
standalone = standalone(name = "a name",
equity(name = "AAACHF",
currency = "CHF",
type = "equity"))),
"-10 * (exp(`equityCHF` + -2) - 1)")
expect_equal(valExpression(object = assetForward(type = "equity",
currency = "CHF",
time = 1L,
exposure = 10,
price = 100,
position = "long"),
market.risk = mr,
standalone = standalone(name = "a name",
equity(name = "AAACHF",
currency = "CHF",
type = "equity"))),
"10 * (exp(`equityCHF` + -2) - 1)")
expect_equal(valExpression(object = assetForward(type = "equity",
currency = "CHF",
time = 1L,
exposure = 10,
price = 100,
position = "short"),
market.risk = mr,
standalone = standalone(name = "a name",
rate(name = "2YCHF",
horizon = "k",
currency = "CHF"))),
"99.0049833749168 * (exp(-1 * `2YCHF` + -2) - 1)")
expect_equal(valExpression(object = assetForward(type = "equity",
currency = "CHF",
time = 1L,
exposure = 10,
price = 100,
position = "long"),
market.risk = mr,
standalone = standalone(name = "a name",
rate(name = "2YCHF",
horizon = "k",
currency = "CHF"))),
"-99.0049833749168 * (exp(-1 * `2YCHF` + -2) - 1)")
})
test_that("assetForward: valFunction is OK", {
## a first example
cov.mat <- diag(rep(4, 3))
name <- c("2YCHF", "equityCHF", "EURCHF")
colnames(cov.mat) <- name
rownames(cov.mat) <- name
attr(cov.mat, "base.currency") <- "CHF"
mapping.table <- mappingTable(rate(name = "2YCHF",
currency = "CHF",
horizon = "k"),
equity(name = "equityCHF",
type = "equity",
currency = "CHF"),
rate(name = "2YCHF",
currency = "EUR",
horizon = "k",
scale = 0.75),
currency(name = "EURCHF",
from = "EUR",
to = "CHF"),
equity(name = "equityCHF",
type = "equity",
currency = "EUR",
scale = 0.5))
initial.values <- list()
initial.values$initial.fx <- data.frame(from = "EUR",
to = "CHF",
fx = 1.05,
stringsAsFactors = F)
initial.values$initial.rate <- data.frame(time = c(1L, 1L),
currency = c("CHF", "EUR"),
rate = c(0.01, 0.01),
stringsAsFactors = F)
mapping.time <- data.frame(time = 1L, mapping = "k", stringsAsFactors = F)
mr <- marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time)
# type checks (with constant)
simulations <- matrix(c("a", "b", "c"),nrow=1)
colnames(simulations) <- name
expect_error(valFunction(assetForward(type = "equity",
currency = "CHF",
time = 1L,
exposure = 10,
price = 100,
position = "long"), market.risk = mr)(simulations),
"types")
simulations <- c(1,2)
expect_error(valFunction(assetForward(type = "equity",
currency = "CHF",
time = 1L,
exposure = 10,
price = 100,
position = "long"), market.risk = mr)(simulations),
"dimensions")
simulations <- matrix(c(1, 2, NA),nrow=1)
colnames(simulations) <- name
expect_error(valFunction(assetForward(type = "equity",
currency = "CHF",
time = 1L,
exposure = 10,
price = 100,
position = "long"), market.risk = mr)(simulations),
"Missing")
# type checks (without constant)
simulations <- matrix(c("a", "b", "c"),nrow=1)
colnames(simulations) <- name
expect_error(valFunction(assetForward(type = "equity",
currency = "CHF",
time = 1L,
exposure = 10,
price = 100,
position = "long"), market.risk = mr, with.constant = F)(simulations),
"types")
simulations <- c(1,2)
expect_error(valFunction(assetForward(type = "equity",
currency = "CHF",
time = 1L,
exposure = 10,
price = 100,
position = "long"), market.risk = mr, with.constant = F)(simulations),
"dimensions")
simulations <- matrix(c(1, 2, NA),nrow=1)
colnames(simulations) <- name
expect_error(valFunction(assetForward(type = "equity",
currency = "CHF",
time = 1L,
exposure = 10,
price = 100,
position = "long"), market.risk = mr, with.constant = F)(simulations),
"Missing")
# validation: battery of tests
simulations <- matrix(c(1, 2, 3), nrow = 1)
colnames(simulations) <- name
expect_equal(valFunction(assetForward(type = "equity",
currency = "CHF",
time = 1L,
exposure = 10,
price = 100,
position = "long"),
mr)(simulations),
10 * (exp(2 + -2) - 1) - 99.0049833749168 * (exp(-1 * 1 + -2) - 1))
expect_equal(valFunction(assetForward(type = "equity",
currency = "CHF",
time = 1L,
exposure = 10,
price = 100,
position = "short"),
mr)(simulations),
99.0049833749168 * (exp(-1 * 1 + -2) - 1) - 10 * (exp(2 + -2) - 1))
# wrong input
expect_error(valFunction(assetForward(type = "equity",
currency = "CHF",
time = 1L,
exposure = 10,
price = 100,
position = "short"),
list(1, 2, 3))(simulations),
"assetForward")
# vector input
simulations.vec <- c(1, 2, 3)
expect_equal(valFunction(assetForward(type = "equity",
currency = "CHF",
time = 1L,
exposure = 10,
price = 100,
position = "short"),
mr)(simulations.vec),
99.0049833749168 * (exp(-1 * 1 + -2) - 1) - 10 * (exp(2 + -2) - 1))
expect_equal(valFunction(assetForward(type = "equity",
currency = "CHF",
time = 1L,
exposure = 10,
price = 100,
position = "short"),
mr, with.constant = F)(simulations.vec),
99.0049833749168 * (exp(-1 * 1) - 1) - 10 * (exp(2) - 1))
# invalid types
simulations.vec <- c("a", "b", "c", "d")
expect_error(valFunction(assetForward(type = "equity",
currency = "CHF",
time = 1L,
exposure = 10,
price = 100,
position = "short"),
mr)(simulations.vec),
"types")
expect_error(valFunction(assetForward(type = "equity",
currency = "CHF",
time = 1L,
exposure = 10,
price = 100,
position = "short"),
mr, with.constant = F)(simulations.vec),
"types")
# invalid dimensions
simulations.vec <- c(2, 5, 5, 6)
expect_error(valFunction(assetForward(type = "equity",
currency = "CHF",
time = 1L,
exposure = 10,
price = 100,
position = "short"),
mr)(simulations.vec),
"dimensions")
expect_error(valFunction(assetForward(type = "equity",
currency = "CHF",
time = 1L,
exposure = 10,
price = 100,
position = "short"),
mr, with.constant = F)(simulations.vec),
"dimensions")
# missing values
simulations <- matrix(c(NA, 5), nrow = 1)
colnames(simulations) <- c("a", "b")
expect_error(valFunction(assetForward(type = "equity",
currency = "CHF",
time = 1L,
exposure = 10,
price = 100,
position = "short"),
mr)(simulations),
"Missing")
expect_error(valFunction(assetForward(type = "equity",
currency = "CHF",
time = 1L,
exposure = 10,
price = 100,
position = "short"),
mr, with.constant = F)(simulations),
"Missing")
# wrong names
simulations <- matrix(c(2, 5), nrow = 1)
colnames(simulations) <- c("a", "b")
expect_error(valFunction(assetForward(type = "equity",
currency = "CHF",
time = 1L,
exposure = 10,
price = 100,
position = "short"),
mr)(simulations),
"names")
expect_error(valFunction(assetForward(type = "equity",
currency = "CHF",
time = 1L,
exposure = 10,
price = 100,
position = "short"),
mr, with.constant = F)(simulations),
"names")
})
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