Nothing
tests/testthat/test-assetForward.R
In sstModel: Swiss Solvency Test (SST) Standard Models
# unit tests for S3 class assetForward
context("assetForward: base")
test_that("assetForward: checks at construction are ok", {
## error when some parameters are missing
expect_error(assetForward(type = "equity"))
expect_error(assetForward(currency = "CHF"))
expect_error(assetForward(time = 1))
expect_error(assetForward(exposure = 100))
expect_error(assetForward(price = 10))
expect_error(assetForward(position = "short"))
# type checks
expect_error(assetForward(type = list(), currency = "USD", time="1",
exposure=100, price=50, position="short"),
"types")
expect_error(assetForward(type="hedgeFund", currency = list("a"), time="1",
exposure=100, price=50, position="short"),
"types")
expect_error(assetForward(type = "hedgeFund", currency = "USD", time = list(1),
exposure = 100, price = 50, position = "short"),
"types")
expect_error(assetForward(type = "hedgeFund", currency = "USD", time = 1,
exposure = list(), price = 50, position = "short"),
"types")
expect_error(assetForward(type = "hedgeFund", currency = "USD", time = 1,
exposure = 100, price = list(NA,3), position = "short"),
"types")
expect_error(assetForward(type = "hedgeFund", currency = "USD", time = 1,
exposure = 100, price = 50, position = list(character())),
"types")
expect_error(assetForward(type = 2, currency = "USD", time = 1L,
exposure = 100, price = 50, position = "short"),
"types")
expect_error(assetForward(type = "hedgeFund", currency = 1, time = "1",
exposure = 100, price = 50, position = "short"),
"types")
expect_error(assetForward(type = "hedgeFund", currency = "USD", time = 1L,
exposure = "t", price = 50, position = "short"),
"types")
expect_error(assetForward(type = "hedgeFund", currency = "USD", time = 1L,
exposure = factor(1), price = 50, position = "short"),
"types")
expect_error(assetForward(type = "hedgeFund", currency = "USD", time = 1L,
exposure = 100, price = as.character(NA), position = "short"),
"types")
expect_error(assetForward(type = "hedgeFund", currency = "USD", time = 1L,
exposure = 100, price = 50, position = numeric()),
"types")
# dimensions checks
expect_error(assetForward(type = c("a", "b"), currency = "USD", time = 1L,
exposure = 100, price = 50, position = "short"),
"dimensions")
expect_error(assetForward(type = "hedgeFund", currency = rep("CHF", 9), time = 1L,
exposure = 100, price = 50, position = "short"),
"dimensions")
expect_error(assetForward(type = "hedgeFund", currency = "USD", time = c(1L, 2L),
exposure = 100, price = 50, position = "short"),
"dimensions")
expect_error(assetForward(type = "hedgeFund", currency = "USD", time = 1L,
exposure = c(230, NA), price = 50, position = "short"),
"dimensions")
expect_error(assetForward(type = "hedgeFund", currency = "USD", time = 1L,
exposure = 100, price = as.numeric(c(NA, NA)), position = "short"),
"dimensions")
expect_error(assetForward(type = "hedgeFund", currency = "USD", time = 1L,
exposure = 100, price = 50, position = character()),
"dimensions")
# reserved values checks
expect_error(assetForward(type = "currency", currency = "USD", time = 1L,
exposure = 100, price = 50, position = "short"),
"Reserved")
expect_error(assetForward(type = "rate", currency = "USD", time = 1L,
exposure = 100, price = 50, position = "short"),
"Reserved")
expect_error(assetForward(type = "pcRate", currency = "USD", time = 1L,
exposure = 100, price = 50, position = "short"),
"Reserved")
expect_error(assetForward(type = "spread", currency = "USD", time = 1L,
exposure = 100, price = 50, position = "short"),
"Reserved")
# input values checks
expect_error(assetForward(type = as.character(NA), currency = "USD", time = 1L,
exposure = 100, price = 50, position = "short"),
"Missing")
expect_error(assetForward(type = "hedgeFund", currency = as.character(NA), time = 1L,
exposure = 100, price = 50, position = "short"),
"Missing")
expect_error(assetForward(type = "hedgeFund", currency = "USD", time = as.integer(NA),
exposure = 100, price = 50, position = "short"),
"Missing")
expect_error(assetForward(type = "hedgeFund", currency = "USD", time = 1L,
exposure = as.numeric(NA), price = 50, position = "short"),
"Missing")
expect_error(assetForward(type = "hedgeFund", currency = "USD", time = 1L,
exposure = 100, price = as.numeric(NA), position = "short"),
"Missing")
expect_error(assetForward(type = "hedgeFund", currency = "USD", time = 1L,
exposure = 100, price = 50, position = as.character(NA)),
"Missing")
# exposure, price, time, position checks
expect_error(assetForward(type = "hedgeFund", currency = "USD", time = Inf,
exposure = 100, price = 50, position = "short"),
"finite")
expect_error(assetForward(type = "hedgeFund", currency = "USD", time = 1L,
exposure = 100, price = Inf, position = "short"),
"finite")
expect_error(assetForward(type = "hedgeFund", currency = "USD", time = 1L,
exposure = Inf, price = 50, position = "short"),
"finite")
expect_error(assetForward(type = "hedgeFund", currency = "USD", time = -1L,
exposure = 100, price = 50, position = "short"),
"positive")
expect_error(assetForward(type = "hedgeFund", currency = "USD", time = 1L,
exposure = -100, price = 50, position = "short"),
"positive")
expect_error(assetForward(type = "hedgeFund", currency = "USD", time = 1L,
exposure = 100, price = -50, position = "short"),
"positive")
expect_warning(assetForward(type = "hedgeFund", currency = "USD", time = 1L,
exposure = 0, price = 50, position = "short"),
"efficiency")
expect_error(assetForward(type = "hedgeFund", currency = "USD", time = 1.2,
exposure = 100, price = 50, position = "short"),
"time")
expect_error(assetForward(type = "hedgeFund", currency = "USD", time = 1L,
exposure = 100, price = 50, position = "asset"),
"position")
})
test_that("assetForward: internal structure is ok", {
# define a assetForward
aF <- assetForward(type = "hedgeFund", currency = "USD", time = 1L,
exposure = 100, price = 50, position = "short")
# checking internal representation of attributes
expect_equal(length(aF), 6)
expect_equal(names(aF), c("type", "currency",
"time", "exposure", "price",
"position"))
expect_equal(class(aF$time), "integer")
# checking class membership
expect_equal(is.assetForward(aF), TRUE)
expect_equal(is.marketItem(aF), TRUE)
expect_equal(is.item(aF), TRUE)
expect_equal(is.list(aF), TRUE)
})
test_that("assetForward: check method is ok", {
# a first example
cov.mat <- diag(rep(4, 3))
name <- c("2YCHF", "equityCHF", "EURCHF")
colnames(cov.mat) <- name
rownames(cov.mat) <- name
attr(cov.mat, "base.currency") <- "CHF"
mapping.table <- mappingTable(rate(name = "2YCHF",
currency = "CHF",
horizon = "k"),
equity(name = "equityCHF",
type = "equity",
currency = "CHF"),
rate(name = "2YCHF",
currency = "EUR",
horizon = "k",
scale = 0.75),
currency(name = "EURCHF",
from = "EUR",
to = "CHF"),
equity(name = "equityCHF",
type = "equity",
currency = "EUR",
scale = 0.5))
initial.values <- list()
initial.values$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)
expect_true(check.assetForward(assetForward(type = "equity",
currency = "CHF",
time = 1L,
exposure = 10,
price = 100,
position = "long"),
mr))
expect_true(check.assetForward(assetForward(type = "equity",
currency = "EUR",
time = 1L,
exposure = 10,
price = 100,
position = "long"),
mr))
expect_false(check.assetForward(assetForward(type = "equity",
currency = "JPY",
time = 1L,
exposure = 10,
price = 100,
position = "long"),
mr))
expect_false(check.assetForward(assetForward(type = "equity",
currency = "EUR",
time = 2L,
exposure = 10,
price = 100,
position = "long"),
mr))
mapping.time <- data.frame(time = 1L, mapping = "l", stringsAsFactors = F)
mr <- marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time)
expect_false(check.assetForward(assetForward(type = "equity",
currency = "EUR",
time = 1L,
exposure = 10,
price = 100,
position = "long"),
mr))
expect_error(check.assetForward(assetForward(type = "equity",
currency = "EUR",
time = 1L,
exposure = 10,
price = 100,
position = "long"),
list(1, 2, 3)),
"Invalid type")
})
test_that("assetForward: standard methods are ok", {
# format
expect_equal(class(format(assetForward(type = "equity",
currency = "EUR",
time = 1L,
exposure = 10,
price = 100,
position = "long"))),
"character")
# summary
expect_equal(class(summary(assetForward(type = "equity",
currency = "EUR",
time = 1L,
exposure = 10,
price = 100,
position = "long"))),
c("summaryDefault", "table"))
# print
expect_equal(class(print(assetForward(type = "equity",
currency = "EUR",
time = 1L,
exposure = 10,
price = 100,
position = "long"))),
"NULL")
})
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# unit tests for S3 class assetForward
context("assetForward: base")
test_that("assetForward: checks at construction are ok", {
## error when some parameters are missing
expect_error(assetForward(type = "equity"))
expect_error(assetForward(currency = "CHF"))
expect_error(assetForward(time = 1))
expect_error(assetForward(exposure = 100))
expect_error(assetForward(price = 10))
expect_error(assetForward(position = "short"))
# type checks
expect_error(assetForward(type = list(), currency = "USD", time="1",
exposure=100, price=50, position="short"),
"types")
expect_error(assetForward(type="hedgeFund", currency = list("a"), time="1",
exposure=100, price=50, position="short"),
"types")
expect_error(assetForward(type = "hedgeFund", currency = "USD", time = list(1),
exposure = 100, price = 50, position = "short"),
"types")
expect_error(assetForward(type = "hedgeFund", currency = "USD", time = 1,
exposure = list(), price = 50, position = "short"),
"types")
expect_error(assetForward(type = "hedgeFund", currency = "USD", time = 1,
exposure = 100, price = list(NA,3), position = "short"),
"types")
expect_error(assetForward(type = "hedgeFund", currency = "USD", time = 1,
exposure = 100, price = 50, position = list(character())),
"types")
expect_error(assetForward(type = 2, currency = "USD", time = 1L,
exposure = 100, price = 50, position = "short"),
"types")
expect_error(assetForward(type = "hedgeFund", currency = 1, time = "1",
exposure = 100, price = 50, position = "short"),
"types")
expect_error(assetForward(type = "hedgeFund", currency = "USD", time = 1L,
exposure = "t", price = 50, position = "short"),
"types")
expect_error(assetForward(type = "hedgeFund", currency = "USD", time = 1L,
exposure = factor(1), price = 50, position = "short"),
"types")
expect_error(assetForward(type = "hedgeFund", currency = "USD", time = 1L,
exposure = 100, price = as.character(NA), position = "short"),
"types")
expect_error(assetForward(type = "hedgeFund", currency = "USD", time = 1L,
exposure = 100, price = 50, position = numeric()),
"types")
# dimensions checks
expect_error(assetForward(type = c("a", "b"), currency = "USD", time = 1L,
exposure = 100, price = 50, position = "short"),
"dimensions")
expect_error(assetForward(type = "hedgeFund", currency = rep("CHF", 9), time = 1L,
exposure = 100, price = 50, position = "short"),
"dimensions")
expect_error(assetForward(type = "hedgeFund", currency = "USD", time = c(1L, 2L),
exposure = 100, price = 50, position = "short"),
"dimensions")
expect_error(assetForward(type = "hedgeFund", currency = "USD", time = 1L,
exposure = c(230, NA), price = 50, position = "short"),
"dimensions")
expect_error(assetForward(type = "hedgeFund", currency = "USD", time = 1L,
exposure = 100, price = as.numeric(c(NA, NA)), position = "short"),
"dimensions")
expect_error(assetForward(type = "hedgeFund", currency = "USD", time = 1L,
exposure = 100, price = 50, position = character()),
"dimensions")
# reserved values checks
expect_error(assetForward(type = "currency", currency = "USD", time = 1L,
exposure = 100, price = 50, position = "short"),
"Reserved")
expect_error(assetForward(type = "rate", currency = "USD", time = 1L,
exposure = 100, price = 50, position = "short"),
"Reserved")
expect_error(assetForward(type = "pcRate", currency = "USD", time = 1L,
exposure = 100, price = 50, position = "short"),
"Reserved")
expect_error(assetForward(type = "spread", currency = "USD", time = 1L,
exposure = 100, price = 50, position = "short"),
"Reserved")
# input values checks
expect_error(assetForward(type = as.character(NA), currency = "USD", time = 1L,
exposure = 100, price = 50, position = "short"),
"Missing")
expect_error(assetForward(type = "hedgeFund", currency = as.character(NA), time = 1L,
exposure = 100, price = 50, position = "short"),
"Missing")
expect_error(assetForward(type = "hedgeFund", currency = "USD", time = as.integer(NA),
exposure = 100, price = 50, position = "short"),
"Missing")
expect_error(assetForward(type = "hedgeFund", currency = "USD", time = 1L,
exposure = as.numeric(NA), price = 50, position = "short"),
"Missing")
expect_error(assetForward(type = "hedgeFund", currency = "USD", time = 1L,
exposure = 100, price = as.numeric(NA), position = "short"),
"Missing")
expect_error(assetForward(type = "hedgeFund", currency = "USD", time = 1L,
exposure = 100, price = 50, position = as.character(NA)),
"Missing")
# exposure, price, time, position checks
expect_error(assetForward(type = "hedgeFund", currency = "USD", time = Inf,
exposure = 100, price = 50, position = "short"),
"finite")
expect_error(assetForward(type = "hedgeFund", currency = "USD", time = 1L,
exposure = 100, price = Inf, position = "short"),
"finite")
expect_error(assetForward(type = "hedgeFund", currency = "USD", time = 1L,
exposure = Inf, price = 50, position = "short"),
"finite")
expect_error(assetForward(type = "hedgeFund", currency = "USD", time = -1L,
exposure = 100, price = 50, position = "short"),
"positive")
expect_error(assetForward(type = "hedgeFund", currency = "USD", time = 1L,
exposure = -100, price = 50, position = "short"),
"positive")
expect_error(assetForward(type = "hedgeFund", currency = "USD", time = 1L,
exposure = 100, price = -50, position = "short"),
"positive")
expect_warning(assetForward(type = "hedgeFund", currency = "USD", time = 1L,
exposure = 0, price = 50, position = "short"),
"efficiency")
expect_error(assetForward(type = "hedgeFund", currency = "USD", time = 1.2,
exposure = 100, price = 50, position = "short"),
"time")
expect_error(assetForward(type = "hedgeFund", currency = "USD", time = 1L,
exposure = 100, price = 50, position = "asset"),
"position")
})
test_that("assetForward: internal structure is ok", {
# define a assetForward
aF <- assetForward(type = "hedgeFund", currency = "USD", time = 1L,
exposure = 100, price = 50, position = "short")
# checking internal representation of attributes
expect_equal(length(aF), 6)
expect_equal(names(aF), c("type", "currency",
"time", "exposure", "price",
"position"))
expect_equal(class(aF$time), "integer")
# checking class membership
expect_equal(is.assetForward(aF), TRUE)
expect_equal(is.marketItem(aF), TRUE)
expect_equal(is.item(aF), TRUE)
expect_equal(is.list(aF), TRUE)
})
test_that("assetForward: check 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)
expect_true(check.assetForward(assetForward(type = "equity",
currency = "CHF",
time = 1L,
exposure = 10,
price = 100,
position = "long"),
mr))
expect_true(check.assetForward(assetForward(type = "equity",
currency = "EUR",
time = 1L,
exposure = 10,
price = 100,
position = "long"),
mr))
expect_false(check.assetForward(assetForward(type = "equity",
currency = "JPY",
time = 1L,
exposure = 10,
price = 100,
position = "long"),
mr))
expect_false(check.assetForward(assetForward(type = "equity",
currency = "EUR",
time = 2L,
exposure = 10,
price = 100,
position = "long"),
mr))
mapping.time <- data.frame(time = 1L, mapping = "l", stringsAsFactors = F)
mr <- marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time)
expect_false(check.assetForward(assetForward(type = "equity",
currency = "EUR",
time = 1L,
exposure = 10,
price = 100,
position = "long"),
mr))
expect_error(check.assetForward(assetForward(type = "equity",
currency = "EUR",
time = 1L,
exposure = 10,
price = 100,
position = "long"),
list(1, 2, 3)),
"Invalid type")
})
test_that("assetForward: standard methods are ok", {
# format
expect_equal(class(format(assetForward(type = "equity",
currency = "EUR",
time = 1L,
exposure = 10,
price = 100,
position = "long"))),
"character")
# summary
expect_equal(class(summary(assetForward(type = "equity",
currency = "EUR",
time = 1L,
exposure = 10,
price = 100,
position = "long"))),
c("summaryDefault", "table"))
# print
expect_equal(class(print(assetForward(type = "equity",
currency = "EUR",
time = 1L,
exposure = 10,
price = 100,
position = "long"))),
"NULL")
})
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