Nothing
# unit tests for healthRisk simulation
context("lifeRisk simulation")
test_that("lifehRisk: simulation/compute methods are OK", {
# create a market risk
cov.mat <- diag(2, 2, 2) %*% diag(rep(1, 2)) %*% diag(2, 2, 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)
# create a life risk and life item
corr.mat <- diag(c(1, 1))
colnames(corr.mat) <- c("storno", "invalidity")
rownames(corr.mat) <- colnames(corr.mat)
lr <- lifeRisk(corr.mat = corr.mat, quantile = c(0.995, 0.995))
l <- life(name = c("storno", "invalidity"),
currency = c("CHF", "CHF"),
sensitivity = c(12, 25))
# input values checks (simulate)
expect_error(simulate(lr, nsim = "a"),
"types")
expect_error(simulate(lr, nsim = 2, seed = "a"),
"types")
expect_error(simulate(lr, nsim = c(1, 2)),
"dimensions")
expect_error(simulate(lr, nsim = 2, seed = c(1, 2)),
"dimensions")
expect_error(simulate(lr, nsim = as.integer(NA)),
"Missing")
expect_error(simulate(lr, nsim = 2, seed = as.integer(NA)),
"Missing")
# input values checks (compute)
expect_error(compute(lr, nsim = 2, market.risk = list(), life.item = l),
"types")
expect_error(compute(lr, nsim = 2, market.risk = mr, life.item = list()),
"types")
expect_error(compute(lr, nsim = "a", market.risk = mr, life.item = l),
"types")
expect_error(compute(lr, nsim = 2, seed = "a", market.risk = mr, life.item = l),
"types")
expect_error(compute(lr, nsim = c(1, 2), market.risk = mr, life.item = l),
"dimensions")
expect_error(compute(lr, nsim = 2, seed = c(1, 2), market.risk = mr, life.item = l),
"dimensions")
expect_error(compute(lr, nsim = as.integer(NA), market.risk = mr, life.item = l),
"Missing")
expect_error(compute(lr, nsim = 2, seed = as.integer(NA), market.risk = mr, life.item = l),
"Missing")
# validation: battery of tests
expect_equal({simulate(lr, seed = 10, nsim = 50)},
{set.seed(10); rnorm(n = 50)})
expect_equal({simulate(lr, nsim = 50, seed = 10, sd = 5)},
{set.seed(10); rnorm(n = 50, sd = 5)})
expect_equal({compute(lr, market.risk = mr, life.item = l, nsim = 50, seed = 10)$lifeRisk},
{set.seed(10); rnorm(n = 50, sd = valInfo(l, market.risk = mr, life.risk = lr))})
})
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