Nothing
tests/testthat/test-delta-valuation.R
In sstModel: Swiss Solvency Test (SST) Standard Models
# unit tests for S3 class delta
context("delta: valuation")
test_that("delta: valInfo method is ok", {
# a first example
cov.mat <- diag(rep(4, 2))
name <- c("2YCHF", "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"),
rate(name = "2YCHF",
currency = "EUR",
horizon = "k",
scale = 0.75),
currency(name = "EURCHF",
from = "EUR",
to = "CHF"))
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.delta(delta(name = c("2YCHF", "EURCHF"),
currency = c("CHF", "EUR"),
sensitivity = c(12, 25)),
mr)
expect_equal(l$sensitivity, c(12, 1.05*25))
expect_equal(l$name, c("2YCHF", "EURCHF"))
expect_equal(l$id, c(1L,2L))
l <- valInfo.delta(delta(name = c("2YCHF"),
currency = c("CHF"),
sensitivity = c(12)),
mr)
expect_equal(l$sensitivity, c(12))
expect_equal(l$name, c("2YCHF"))
expect_equal(l$id, c(1L))
})
test_that("delta: valExpression method is OK", {
## a first example
cov.mat <- diag(rep(4, 2))
name <- c("2YCHF", "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"),
rate(name = "2YCHF",
currency = "EUR",
horizon = "k",
scale = 0.75),
currency(name = "EURCHF",
from = "EUR",
to = "CHF"))
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.delta(delta(name = c("2YCHF", "EURCHF"),
currency = c("CHF", "CHF"),
sensitivity = c(12, 25)),
mr),"`2YCHF` * 12 + `EURCHF` * 25")
expect_equal(valExpression.delta(delta(name = c("2YCHF"),
currency = c("CHF"),
sensitivity = c(12)),
mr),"`2YCHF` * 12")
})
test_that("delta: valExpression method with standalones is OK", {
cov.mat <- diag(rep(4, 3))
name <- c("2YCHF", "EURCHF", "equityCHF")
colnames(cov.mat) <- name
rownames(cov.mat) <- name
attr(cov.mat, "base.currency") <- "CHF"
mapping.table <- mappingTable(rate(name = "2YCHF",
currency = "CHF",
horizon = "k"),
rate(name = "2YCHF",
currency = "EUR",
horizon = "k",
scale = 0.75),
currency(name = "EURCHF",
from = "EUR",
to = "CHF"),
equity(name = "equityCHF",
type = "equity",
currency = "CHF"))
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(delta(name = c("2YCHF", "EURCHF"),
currency = c("CHF", "CHF"),
sensitivity = c(12, 25)),
mr,
standalone = standalone(name = "idk",
equity("equityCHF",
"equity",
"CHF")))))
expect_equal(valExpression(delta(name = c("2YCHF", "EURCHF"),
currency = c("CHF", "CHF"),
sensitivity = c(12, 25)),
mr,
standalone = standalone(name = "idk",
currency(name = "EURCHF",
from = "EUR",
to = "CHF"),
rate(name = "2YCHF",
currency = "CHF",
horizon = "k"))),
"`EURCHF` * 25 + `2YCHF` * 12")
expect_equal(valExpression(delta(name = c("2YCHF", "EURCHF"),
currency = c("CHF", "CHF"),
sensitivity = c(12, 25)),
mr,
standalone = standalone(name = "idk",
rate(name = "2YCHF",
currency = "CHF",
horizon = "k"))),
"`2YCHF` * 12")
expect_true(is.na(valExpression(delta(name = c("2YCHF", "EURCHF"),
currency = c("CHF", "EUR"),
sensitivity = c(12, 25)),
mr,
standalone = standalone(name = "idk",
rate(name = "2YCHF",
currency = "EUR",
horizon = "k",
scale = 0.75)))))
})
test_that("delta: valFunction method is OK", {
## a first example
cov.mat <- diag(rep(4, 2))
name <- c("2YCHF", "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"),
rate(name = "2YCHF",
currency = "EUR",
horizon = "k",
scale = 0.75),
currency(name = "EURCHF",
from = "EUR",
to = "CHF"))
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)
simulations <- matrix(c(2, 5), nrow = 1)
colnames(simulations) <- name
expect_equal(valFunction(delta(name = c("2YCHF", "EURCHF"),
currency = c("CHF", "CHF"),
sensitivity = c(12, 25)),
mr)(simulations),
2 * 12 + 5 * 25)
expect_equal(valFunction(delta(name = c("2YCHF"),
currency = c("CHF"),
sensitivity = c(12)),
mr)(simulations),
2 * 12)
# wrong input
expect_error(valFunction(delta(name = c("2YCHF"),
currency = c("CHF"),
sensitivity = c(12)),
list(1,2,3))(simulations),
"delta")
# vector input
simulations.vec <- c(2, 5)
expect_equal(valFunction(delta(name = c("2YCHF"),
currency = c("CHF"),
sensitivity = c(12)),
mr)(simulations.vec),
2 * 12)
# invalid types
simulations.vec <- c("a", "b", "c", "d")
expect_error(valFunction(delta(name = c("2YCHF"),
currency = c("CHF"),
sensitivity = c(12)),
mr)(simulations.vec),
"types")
# invalid dimensions
simulations.vec <- c(2, 5, 5, 6)
expect_error(valFunction(delta(name = c("2YCHF"),
currency = c("CHF"),
sensitivity = c(12)),
mr)(simulations.vec),
"dimensions")
# missing values
simulations <- matrix(c(NA, 5), nrow = 1)
colnames(simulations) <- c("a", "b")
expect_error(valFunction(delta(name = c("2YCHF"),
currency = c("CHF"),
sensitivity = c(12)),
mr)(simulations),
"Missing")
# wrong names
simulations <- matrix(c(2, 5), nrow = 1)
colnames(simulations) <- c("a", "b")
expect_error(valFunction(delta(name = c("2YCHF"),
currency = c("CHF"),
sensitivity = c(12)),
mr)(simulations),
"names")
})
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# unit tests for S3 class delta
context("delta: valuation")
test_that("delta: valInfo method is ok", {
# a first example
cov.mat <- diag(rep(4, 2))
name <- c("2YCHF", "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"),
rate(name = "2YCHF",
currency = "EUR",
horizon = "k",
scale = 0.75),
currency(name = "EURCHF",
from = "EUR",
to = "CHF"))
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.delta(delta(name = c("2YCHF", "EURCHF"),
currency = c("CHF", "EUR"),
sensitivity = c(12, 25)),
mr)
expect_equal(l$sensitivity, c(12, 1.05*25))
expect_equal(l$name, c("2YCHF", "EURCHF"))
expect_equal(l$id, c(1L,2L))
l <- valInfo.delta(delta(name = c("2YCHF"),
currency = c("CHF"),
sensitivity = c(12)),
mr)
expect_equal(l$sensitivity, c(12))
expect_equal(l$name, c("2YCHF"))
expect_equal(l$id, c(1L))
})
test_that("delta: valExpression method is OK", {
## a first example
cov.mat <- diag(rep(4, 2))
name <- c("2YCHF", "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"),
rate(name = "2YCHF",
currency = "EUR",
horizon = "k",
scale = 0.75),
currency(name = "EURCHF",
from = "EUR",
to = "CHF"))
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.delta(delta(name = c("2YCHF", "EURCHF"),
currency = c("CHF", "CHF"),
sensitivity = c(12, 25)),
mr),"`2YCHF` * 12 + `EURCHF` * 25")
expect_equal(valExpression.delta(delta(name = c("2YCHF"),
currency = c("CHF"),
sensitivity = c(12)),
mr),"`2YCHF` * 12")
})
test_that("delta: valExpression method with standalones is OK", {
cov.mat <- diag(rep(4, 3))
name <- c("2YCHF", "EURCHF", "equityCHF")
colnames(cov.mat) <- name
rownames(cov.mat) <- name
attr(cov.mat, "base.currency") <- "CHF"
mapping.table <- mappingTable(rate(name = "2YCHF",
currency = "CHF",
horizon = "k"),
rate(name = "2YCHF",
currency = "EUR",
horizon = "k",
scale = 0.75),
currency(name = "EURCHF",
from = "EUR",
to = "CHF"),
equity(name = "equityCHF",
type = "equity",
currency = "CHF"))
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(delta(name = c("2YCHF", "EURCHF"),
currency = c("CHF", "CHF"),
sensitivity = c(12, 25)),
mr,
standalone = standalone(name = "idk",
equity("equityCHF",
"equity",
"CHF")))))
expect_equal(valExpression(delta(name = c("2YCHF", "EURCHF"),
currency = c("CHF", "CHF"),
sensitivity = c(12, 25)),
mr,
standalone = standalone(name = "idk",
currency(name = "EURCHF",
from = "EUR",
to = "CHF"),
rate(name = "2YCHF",
currency = "CHF",
horizon = "k"))),
"`EURCHF` * 25 + `2YCHF` * 12")
expect_equal(valExpression(delta(name = c("2YCHF", "EURCHF"),
currency = c("CHF", "CHF"),
sensitivity = c(12, 25)),
mr,
standalone = standalone(name = "idk",
rate(name = "2YCHF",
currency = "CHF",
horizon = "k"))),
"`2YCHF` * 12")
expect_true(is.na(valExpression(delta(name = c("2YCHF", "EURCHF"),
currency = c("CHF", "EUR"),
sensitivity = c(12, 25)),
mr,
standalone = standalone(name = "idk",
rate(name = "2YCHF",
currency = "EUR",
horizon = "k",
scale = 0.75)))))
})
test_that("delta: valFunction method is OK", {
## a first example
cov.mat <- diag(rep(4, 2))
name <- c("2YCHF", "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"),
rate(name = "2YCHF",
currency = "EUR",
horizon = "k",
scale = 0.75),
currency(name = "EURCHF",
from = "EUR",
to = "CHF"))
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)
simulations <- matrix(c(2, 5), nrow = 1)
colnames(simulations) <- name
expect_equal(valFunction(delta(name = c("2YCHF", "EURCHF"),
currency = c("CHF", "CHF"),
sensitivity = c(12, 25)),
mr)(simulations),
2 * 12 + 5 * 25)
expect_equal(valFunction(delta(name = c("2YCHF"),
currency = c("CHF"),
sensitivity = c(12)),
mr)(simulations),
2 * 12)
# wrong input
expect_error(valFunction(delta(name = c("2YCHF"),
currency = c("CHF"),
sensitivity = c(12)),
list(1,2,3))(simulations),
"delta")
# vector input
simulations.vec <- c(2, 5)
expect_equal(valFunction(delta(name = c("2YCHF"),
currency = c("CHF"),
sensitivity = c(12)),
mr)(simulations.vec),
2 * 12)
# invalid types
simulations.vec <- c("a", "b", "c", "d")
expect_error(valFunction(delta(name = c("2YCHF"),
currency = c("CHF"),
sensitivity = c(12)),
mr)(simulations.vec),
"types")
# invalid dimensions
simulations.vec <- c(2, 5, 5, 6)
expect_error(valFunction(delta(name = c("2YCHF"),
currency = c("CHF"),
sensitivity = c(12)),
mr)(simulations.vec),
"dimensions")
# missing values
simulations <- matrix(c(NA, 5), nrow = 1)
colnames(simulations) <- c("a", "b")
expect_error(valFunction(delta(name = c("2YCHF"),
currency = c("CHF"),
sensitivity = c(12)),
mr)(simulations),
"Missing")
# wrong names
simulations <- matrix(c(2, 5), nrow = 1)
colnames(simulations) <- c("a", "b")
expect_error(valFunction(delta(name = c("2YCHF"),
currency = c("CHF"),
sensitivity = c(12)),
mr)(simulations),
"names")
})
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