Nothing
tests/testthat/test-marketRisk.R
In sstModel: Swiss Solvency Test (SST) Standard Models
# unit tests for marketRisk
context("S3 class marketRisk")
# checking constructor
test_that("marketRisk: checks at construction are ok", {
## a valid input
cov.mat <- diag(rep(1, 4))
name <- c("EURCHF", "equityCHF", "2YCHF", "AAACHF")
colnames(cov.mat) <- name
rownames(cov.mat) <- name
attr(cov.mat, "base.currency") <- "CHF"
mapping.table <- mappingTable(currency(name = "EURCHF",
from = "EUR",
to = "CHF"),
equity(name = "equityCHF",
type = "equity",
currency = "CHF"),
rate(name = "2YCHF",
currency = "CHF",
horizon = "k"),
spread(name = "AAACHF",
currency = "CHF",
rating = "AAA"))
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 = 1L,
currency = "CHF",
rate = 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.marketRisk(mr))
expect_true(is.list(mr))
expect_equal(length(mr), 7)
# covariance matrix checks
cov.mat <- matrix(c(1,0,0,1,0,0), ncol=3)
name <- c("EURCHF", "equityCHF")
rownames(cov.mat) <- name
colnames(cov.mat) <- c(name, "add")
attr(cov.mat, "base.currency") <- "CHF"
expect_error(marketRisk(cov.mat = list(),
mapping.table = mapping.table,
initial.values = initial.values,
mapping.time = mapping.time,
base.currency = "CHF"),
"covariance")
expect_error(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
mapping.time = mapping.time,
base.currency = "CHF"),
"Invalid covariance")
cov.mat <- diag(rep(NA, 4))
name <- c("EURCHF", "equityCHF", "2YCHF", "AAACHF")
colnames(cov.mat) <- name
rownames(cov.mat) <- name
attr(cov.mat, "base.currency") <- "CHF"
expect_error(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
mapping.time = mapping.time,
base.currency = "CHF"),
"Invalid covariance")
cov.mat <- diag(rep(-1, 4))
name <- c("EURCHF", "equityCHF", "2YCHF", "AAACHF")
colnames(cov.mat) <- name
rownames(cov.mat) <- name
attr(cov.mat, "base.currency") <- "CHF"
expect_error(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
mapping.time = mapping.time,
base.currency = "CHF"),
"Invalid covariance")
cov.mat <- diag(rep(1, 4))
name <- c("EURCHF", "equityCHF", "2YCHF", "AAACHF")
rownames(cov.mat) <- name
attr(cov.mat, "base.currency") <- "CHF"
expect_error(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
mapping.time = mapping.time,
base.currency = "CHF"),
"Invalid covariance")
cov.mat <- diag(rep(1, 4))
name <- c("EURCHF", "equityCHF", "2YCHF", "AAACHF")
colnames(cov.mat) <- name
attr(cov.mat, "base.currency") <- "CHF"
expect_error(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
mapping.time = mapping.time,
base.currency = "CHF"),
"Invalid covariance")
cov.mat <- diag(rep(1, 4))
cov.mat[2,3] <- 1
name <- c("EURCHF", "equityCHF", "2YCHF", "AAACHF")
colnames(cov.mat) <- name
rownames(cov.mat) <- name
attr(cov.mat, "base.currency") <- "CHF"
expect_error(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
mapping.time = mapping.time),
"Invalid covariance")
cov.mat <- diag(rep(1, 4))
name <- c("EURCHF", "equityCHF", "2YCHF", "AAACHF")
colnames(cov.mat) <- name
rownames(cov.mat) <- name
expect_error(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
mapping.time = mapping.time),
"Invalid covariance")
cov.mat <- diag(c(rep(2, 3), Inf))
name <- c("EURCHF", "equityCHF", "2YCHF", "AAACHF")
colnames(cov.mat) <- name
rownames(cov.mat) <- name
attr(cov.mat, "base.currency") <- "CHF"
expect_error(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
mapping.time = mapping.time),
"Invalid covariance")
mapping.table <- mappingTable(currency(name = "EURCHF",
from = "EUR",
to = "CHF"),
equity(name = "equityCHF",
type = "equity",
currency = "CHF"),
rate(name = "2YCHF",
currency = "CHF",
horizon = "k"))
# volas checks
cov.mat <- diag(1000000, 4)
colnames(cov.mat) <- name
rownames(cov.mat) <- name
attr(cov.mat, "base.currency") <- "CHF"
expect_warning(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time),
"infinite")
# number of risk-factor checks
cov.mat <- matrix(numeric(), ncol=0)
attr(cov.mat, "base.currency") <- "CHF"
expect_error(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time),
"Invalid covariance")
# name checks
cov.mat <- diag(rep(1, 4))
name <- c("EURCHF", "equityCHF", "2YCHF", "AAACHF")
rownames(cov.mat) <- name
rownames(cov.mat)[1] <- ""
colnames(cov.mat) <- name
attr(cov.mat, "base.currency") <- "CHF"
expect_error(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
mapping.time = mapping.time,
base.currency = "CHF"),
"Invalid covariance")
# mapping.table checks
cov.mat <- diag(rep(1, 4))
name <- c("EURCHF", "equityCHF", "2YCHF", "AAACHF")
rownames(cov.mat) <- name
colnames(cov.mat) <- name
attr(cov.mat, "base.currency") <- "CHF"
expect_error(marketRisk(cov.mat = cov.mat,
mapping.table = list(),
initial.values = initial.values,
mapping.time = mapping.time,
base.currency = "CHF"),
"mapping.table")
# names are well defined & risk-factors are exactly defined once
mapping.table <- mappingTable(currency(name = "EURCHF",
from = "EUR",
to = "CHF"),
equity(name = "equityCHF",
type = "equity",
currency = "CHF"),
rate(name = "2YCHF",
currency = "CHF",
horizon = "k"),
rate(name = "2YEUR",
currency = "EUR",
horizon = "k"),
spread(name = "AAACHF",
currency = "CHF",
rating = "AAA"))
expect_error(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
mapping.time = mapping.time,
base.currency = "CHF"),
"mapping.table")
# initial values checks
mapping.table <- mappingTable(currency(name = "EURCHF",
from = "EUR",
to = "CHF"),
equity(name = "equityCHF",
type = "equity",
currency = "CHF"),
rate(name = "2YCHF",
currency = "CHF",
horizon = "k"),
spread(name = "AAACHF",
currency = "CHF",
rating = "AAA"))
expect_error(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = c(),
mapping.time = mapping.time,
base.currency = "CHF"),
"initial.values")
expect_error(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = list(initial.fx = c()),
mapping.time = mapping.time,
base.currency = "CHF"),
"initial.values")
expect_error(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = list(c(1,2,3), c(3,4,5)),
mapping.time = mapping.time,
base.currency = "CHF"),
"initial.values")
expect_error(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = list(initial.fx=c(1,2,3), b=c(3,4,5)),
mapping.time = mapping.time,
base.currency = "CHF"),
"initial.values")
# initial fx checks
mapping.table <- mappingTable(currency(name = "EURCHF",
from = "EUR",
to = "CHF"),
equity(name = "equityCHF",
type = "equity",
currency = "CHF"),
rate(name = "2YCHF",
currency = "CHF",
horizon = "k"),
spread(name = "AAACHF",
currency = "CHF",
rating = "AAA"))
initial.values$initial.fx <- data.frame(from = NULL,
to = NULL,
fx = NULL,
stringsAsFactors = F)
expect_error(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
mapping.time = mapping.time),
"initial.fx")
initial.values$initial.fx <- data.frame(from = "JPY",
to = "CHF",
fx = 1.1,
stringsAsFactors = F)
expect_error(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time),
"initial.fx")
initial.values$initial.fx <- data.frame(from = "JPY",
to = "CHF",
fx = -1.1,
stringsAsFactors = F)
expect_error(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time),
"positive")
# initial rates checks
initial.values$initial.fx <- data.frame(from = "EUR",
to = "CHF",
fx = 1.05,
stringsAsFactors = F)
initial.values$initial.rate <- data.frame(time = 1L,
currency = as.character(NA),
rate = 0.01,
stringsAsFactors = F)
expect_error(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time),
"initial.rate")
initial.values$initial.rate <- data.frame(time = Inf,
currency = "CHF",
rate = 0.01,
stringsAsFactors = F)
expect_error(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time),
"finite")
initial.values$initial.rate <- data.frame(time = 1,
currency = 1,
rate = 0.01,
stringsAsFactors = F)
expect_error(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time),
"types")
initial.values$initial.rate <- data.frame(time = 1.1,
currency = "CHF",
rate = 0.01,
stringsAsFactors = F)
expect_error(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time),
"integer")
initial.values$initial.rate <- data.frame(time = -1,
currency = "CHF",
rate = 0.01,
stringsAsFactors = F)
expect_error(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time),
"positive")
initial.values$initial.rate <- data.frame(time = 1,
currency = "CHF",
rate = 0.01,
stringsAsFactors = F)
## mapping.time checks
initial.values$initial.rate <- data.frame(time = 1L,
currency = "CHF",
rate = 0.01,
stringsAsFactors = F)
mapping.time <- data.frame(time = 1L, mapping = 1, stringsAsFactors = F)
expect_error(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time),
"types")
mapping.time <- data.frame(time = 1L, mapping = as.character(NA),
stringsAsFactors = F)
expect_error(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time),
"Missing values")
mapping.time <- data.frame(time = 1.1, mapping = "k", stringsAsFactors = F)
expect_error(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time),
"integer")
mapping.time <- data.frame(time = -1, mapping = "k", stringsAsFactors = F)
expect_error(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time),
"positive")
mapping.time <- data.frame(time = 1, mapping = "k", stringsAsFactors = F)
initial.values$initial.fx <- data.frame(from = "EUR",
to = "CHF",
fx = 1.05,
stringsAsFactors = F)
initial.values$initial.rate <- data.frame(time = 1L,
currency = "CHF",
rate = 0.01,
stringsAsFactors = F)
mapping.time <- data.frame(time = 1L, mapping = "k", stringsAsFactors = F)
# getInitialFX
mapping.time <- data.frame(time = 1L, mapping = "k", stringsAsFactors = F)
expect_equal(getInitialFX(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time),
from = "EUR",
to = "CHF"),
1.05)
expect_equal(getInitialRate(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time),
currency = "CHF",
time = 1L),
0.01)
expect_equal(getMappingTime(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time),
time = 1L),
"k")
expect_equal(getEquityName(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time),
type = "equity",
currency = "CHF"),
"equityCHF")
expect_equal(getEquityId(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time),
type = "equity",
currency = "CHF"),
2)
expect_equal(getEquityScale(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time),
type = "equity",
currency = "CHF"),
1)
expect_equal(getCurrencyName(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time),
from = "EUR",
to = "CHF"),
"EURCHF")
expect_equal(getCurrencyId(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time),
from = "EUR",
to = "CHF"),
1L)
expect_equal(getCurrencyScale(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time),
from = "EUR",
to = "CHF"),
1)
expect_equal(getRateName(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time),
currency = "CHF",
horizon = "k"),
"2YCHF")
expect_equal(getRateId(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time),
currency = "CHF",
horizon = "k"),
3L)
expect_equal(getRateScale(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time),
currency = "CHF",
horizon = "k"),
1)
mapping.table <- mappingTable(currency(name = "EURCHF",
from = "EUR",
to = "CHF"),
equity(name = "equityCHF",
type = "equity",
currency = "CHF"),
rate(name = "2YCHF",
currency = "CHF",
horizon = "k"),
spread(name = "AAACHF",
currency = "CHF",
rating = "AAA"))
mr <- marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time)
expect_equal(getSpreadName(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time),
currency = "CHF",
rating = "AAA"),
"AAACHF")
expect_equal(getSpreadId(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time),
currency = "CHF",
rating = "AAA"),
4L)
expect_equal(getSpreadScale(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time),
currency = "CHF",
rating = "AAA"),
1)
mapping.table <- mappingTable(currency(name = "EURCHF",
from = "EUR",
to = "CHF"),
equity(name = "equityCHF",
type = "equity",
currency = "CHF"),
rate(name = "2YCHF",
currency = "CHF",
horizon = "k"),
spread(name = "AAACHF",
currency = "CHF",
rating = "AAA"),
spread(name = "AAACHF",
currency = "EUR",
rating = "AAA",
scale = 0.5))
mr <- marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time)
expect_equal(getSpreadScale(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time),
currency = "EUR",
rating = "AAA"),
0.5)
expect_equal(getDeltaId(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time),
name=c("2YCHF", "AAACHF")),
c(3,4))
})
test_that("marketRisk: standard methods are ok", {
## a valid input
cov.mat <- diag(rep(1, 4))
name <- c("EURCHF", "equityCHF", "2YCHF", "AAACHF")
colnames(cov.mat) <- name
rownames(cov.mat) <- name
attr(cov.mat, "base.currency") <- "CHF"
mapping.table <- mappingTable(currency(name = "EURCHF",
from = "EUR",
to = "CHF"),
equity(name = "equityCHF",
type = "equity",
currency = "CHF"),
rate(name = "2YCHF",
currency = "CHF",
horizon = "k"),
spread(name = "AAACHF",
currency = "CHF",
rating = "AAA"))
initial.values <- list()
initial.values$initial.fx <- data.frame(from = "EUR",
to = "CHF",
fx = 1.05,
stringsAsFactors = F)
initial.values$initial.rate <- data.frame(time = 1L,
currency = "CHF",
rate = 0.01,
stringsAsFactors = F)
mapping.time <- data.frame(time = 1L, mapping = "k", stringsAsFactors = F)
mr <- marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time)
# format
expect_equal(class(format(mr)),
"character")
# summary
expect_equal(class(summary(mr)),
c("summaryDefault", "table"))
# print
expect_equal(class(print(mr)),
"NULL")
})
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# unit tests for marketRisk
context("S3 class marketRisk")
# checking constructor
test_that("marketRisk: checks at construction are ok", {
## a valid input
cov.mat <- diag(rep(1, 4))
name <- c("EURCHF", "equityCHF", "2YCHF", "AAACHF")
colnames(cov.mat) <- name
rownames(cov.mat) <- name
attr(cov.mat, "base.currency") <- "CHF"
mapping.table <- mappingTable(currency(name = "EURCHF",
from = "EUR",
to = "CHF"),
equity(name = "equityCHF",
type = "equity",
currency = "CHF"),
rate(name = "2YCHF",
currency = "CHF",
horizon = "k"),
spread(name = "AAACHF",
currency = "CHF",
rating = "AAA"))
initial.values <- list()
initial.values$initial.fx <- data.frame(from = "EUR",
to = "CHF",
fx = 1.05,
stringsAsFactors = F)
initial.values$initial.rate <- data.frame(time = 1L,
currency = "CHF",
rate = 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.marketRisk(mr))
expect_true(is.list(mr))
expect_equal(length(mr), 7)
# covariance matrix checks
cov.mat <- matrix(c(1,0,0,1,0,0), ncol=3)
name <- c("EURCHF", "equityCHF")
rownames(cov.mat) <- name
colnames(cov.mat) <- c(name, "add")
attr(cov.mat, "base.currency") <- "CHF"
expect_error(marketRisk(cov.mat = list(),
mapping.table = mapping.table,
initial.values = initial.values,
mapping.time = mapping.time,
base.currency = "CHF"),
"covariance")
expect_error(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
mapping.time = mapping.time,
base.currency = "CHF"),
"Invalid covariance")
cov.mat <- diag(rep(NA, 4))
name <- c("EURCHF", "equityCHF", "2YCHF", "AAACHF")
colnames(cov.mat) <- name
rownames(cov.mat) <- name
attr(cov.mat, "base.currency") <- "CHF"
expect_error(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
mapping.time = mapping.time,
base.currency = "CHF"),
"Invalid covariance")
cov.mat <- diag(rep(-1, 4))
name <- c("EURCHF", "equityCHF", "2YCHF", "AAACHF")
colnames(cov.mat) <- name
rownames(cov.mat) <- name
attr(cov.mat, "base.currency") <- "CHF"
expect_error(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
mapping.time = mapping.time,
base.currency = "CHF"),
"Invalid covariance")
cov.mat <- diag(rep(1, 4))
name <- c("EURCHF", "equityCHF", "2YCHF", "AAACHF")
rownames(cov.mat) <- name
attr(cov.mat, "base.currency") <- "CHF"
expect_error(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
mapping.time = mapping.time,
base.currency = "CHF"),
"Invalid covariance")
cov.mat <- diag(rep(1, 4))
name <- c("EURCHF", "equityCHF", "2YCHF", "AAACHF")
colnames(cov.mat) <- name
attr(cov.mat, "base.currency") <- "CHF"
expect_error(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
mapping.time = mapping.time,
base.currency = "CHF"),
"Invalid covariance")
cov.mat <- diag(rep(1, 4))
cov.mat[2,3] <- 1
name <- c("EURCHF", "equityCHF", "2YCHF", "AAACHF")
colnames(cov.mat) <- name
rownames(cov.mat) <- name
attr(cov.mat, "base.currency") <- "CHF"
expect_error(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
mapping.time = mapping.time),
"Invalid covariance")
cov.mat <- diag(rep(1, 4))
name <- c("EURCHF", "equityCHF", "2YCHF", "AAACHF")
colnames(cov.mat) <- name
rownames(cov.mat) <- name
expect_error(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
mapping.time = mapping.time),
"Invalid covariance")
cov.mat <- diag(c(rep(2, 3), Inf))
name <- c("EURCHF", "equityCHF", "2YCHF", "AAACHF")
colnames(cov.mat) <- name
rownames(cov.mat) <- name
attr(cov.mat, "base.currency") <- "CHF"
expect_error(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
mapping.time = mapping.time),
"Invalid covariance")
mapping.table <- mappingTable(currency(name = "EURCHF",
from = "EUR",
to = "CHF"),
equity(name = "equityCHF",
type = "equity",
currency = "CHF"),
rate(name = "2YCHF",
currency = "CHF",
horizon = "k"))
# volas checks
cov.mat <- diag(1000000, 4)
colnames(cov.mat) <- name
rownames(cov.mat) <- name
attr(cov.mat, "base.currency") <- "CHF"
expect_warning(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time),
"infinite")
# number of risk-factor checks
cov.mat <- matrix(numeric(), ncol=0)
attr(cov.mat, "base.currency") <- "CHF"
expect_error(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time),
"Invalid covariance")
# name checks
cov.mat <- diag(rep(1, 4))
name <- c("EURCHF", "equityCHF", "2YCHF", "AAACHF")
rownames(cov.mat) <- name
rownames(cov.mat)[1] <- ""
colnames(cov.mat) <- name
attr(cov.mat, "base.currency") <- "CHF"
expect_error(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
mapping.time = mapping.time,
base.currency = "CHF"),
"Invalid covariance")
# mapping.table checks
cov.mat <- diag(rep(1, 4))
name <- c("EURCHF", "equityCHF", "2YCHF", "AAACHF")
rownames(cov.mat) <- name
colnames(cov.mat) <- name
attr(cov.mat, "base.currency") <- "CHF"
expect_error(marketRisk(cov.mat = cov.mat,
mapping.table = list(),
initial.values = initial.values,
mapping.time = mapping.time,
base.currency = "CHF"),
"mapping.table")
# names are well defined & risk-factors are exactly defined once
mapping.table <- mappingTable(currency(name = "EURCHF",
from = "EUR",
to = "CHF"),
equity(name = "equityCHF",
type = "equity",
currency = "CHF"),
rate(name = "2YCHF",
currency = "CHF",
horizon = "k"),
rate(name = "2YEUR",
currency = "EUR",
horizon = "k"),
spread(name = "AAACHF",
currency = "CHF",
rating = "AAA"))
expect_error(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
mapping.time = mapping.time,
base.currency = "CHF"),
"mapping.table")
# initial values checks
mapping.table <- mappingTable(currency(name = "EURCHF",
from = "EUR",
to = "CHF"),
equity(name = "equityCHF",
type = "equity",
currency = "CHF"),
rate(name = "2YCHF",
currency = "CHF",
horizon = "k"),
spread(name = "AAACHF",
currency = "CHF",
rating = "AAA"))
expect_error(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = c(),
mapping.time = mapping.time,
base.currency = "CHF"),
"initial.values")
expect_error(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = list(initial.fx = c()),
mapping.time = mapping.time,
base.currency = "CHF"),
"initial.values")
expect_error(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = list(c(1,2,3), c(3,4,5)),
mapping.time = mapping.time,
base.currency = "CHF"),
"initial.values")
expect_error(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = list(initial.fx=c(1,2,3), b=c(3,4,5)),
mapping.time = mapping.time,
base.currency = "CHF"),
"initial.values")
# initial fx checks
mapping.table <- mappingTable(currency(name = "EURCHF",
from = "EUR",
to = "CHF"),
equity(name = "equityCHF",
type = "equity",
currency = "CHF"),
rate(name = "2YCHF",
currency = "CHF",
horizon = "k"),
spread(name = "AAACHF",
currency = "CHF",
rating = "AAA"))
initial.values$initial.fx <- data.frame(from = NULL,
to = NULL,
fx = NULL,
stringsAsFactors = F)
expect_error(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
mapping.time = mapping.time),
"initial.fx")
initial.values$initial.fx <- data.frame(from = "JPY",
to = "CHF",
fx = 1.1,
stringsAsFactors = F)
expect_error(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time),
"initial.fx")
initial.values$initial.fx <- data.frame(from = "JPY",
to = "CHF",
fx = -1.1,
stringsAsFactors = F)
expect_error(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time),
"positive")
# initial rates checks
initial.values$initial.fx <- data.frame(from = "EUR",
to = "CHF",
fx = 1.05,
stringsAsFactors = F)
initial.values$initial.rate <- data.frame(time = 1L,
currency = as.character(NA),
rate = 0.01,
stringsAsFactors = F)
expect_error(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time),
"initial.rate")
initial.values$initial.rate <- data.frame(time = Inf,
currency = "CHF",
rate = 0.01,
stringsAsFactors = F)
expect_error(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time),
"finite")
initial.values$initial.rate <- data.frame(time = 1,
currency = 1,
rate = 0.01,
stringsAsFactors = F)
expect_error(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time),
"types")
initial.values$initial.rate <- data.frame(time = 1.1,
currency = "CHF",
rate = 0.01,
stringsAsFactors = F)
expect_error(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time),
"integer")
initial.values$initial.rate <- data.frame(time = -1,
currency = "CHF",
rate = 0.01,
stringsAsFactors = F)
expect_error(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time),
"positive")
initial.values$initial.rate <- data.frame(time = 1,
currency = "CHF",
rate = 0.01,
stringsAsFactors = F)
## mapping.time checks
initial.values$initial.rate <- data.frame(time = 1L,
currency = "CHF",
rate = 0.01,
stringsAsFactors = F)
mapping.time <- data.frame(time = 1L, mapping = 1, stringsAsFactors = F)
expect_error(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time),
"types")
mapping.time <- data.frame(time = 1L, mapping = as.character(NA),
stringsAsFactors = F)
expect_error(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time),
"Missing values")
mapping.time <- data.frame(time = 1.1, mapping = "k", stringsAsFactors = F)
expect_error(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time),
"integer")
mapping.time <- data.frame(time = -1, mapping = "k", stringsAsFactors = F)
expect_error(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time),
"positive")
mapping.time <- data.frame(time = 1, mapping = "k", stringsAsFactors = F)
initial.values$initial.fx <- data.frame(from = "EUR",
to = "CHF",
fx = 1.05,
stringsAsFactors = F)
initial.values$initial.rate <- data.frame(time = 1L,
currency = "CHF",
rate = 0.01,
stringsAsFactors = F)
mapping.time <- data.frame(time = 1L, mapping = "k", stringsAsFactors = F)
# getInitialFX
mapping.time <- data.frame(time = 1L, mapping = "k", stringsAsFactors = F)
expect_equal(getInitialFX(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time),
from = "EUR",
to = "CHF"),
1.05)
expect_equal(getInitialRate(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time),
currency = "CHF",
time = 1L),
0.01)
expect_equal(getMappingTime(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time),
time = 1L),
"k")
expect_equal(getEquityName(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time),
type = "equity",
currency = "CHF"),
"equityCHF")
expect_equal(getEquityId(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time),
type = "equity",
currency = "CHF"),
2)
expect_equal(getEquityScale(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time),
type = "equity",
currency = "CHF"),
1)
expect_equal(getCurrencyName(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time),
from = "EUR",
to = "CHF"),
"EURCHF")
expect_equal(getCurrencyId(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time),
from = "EUR",
to = "CHF"),
1L)
expect_equal(getCurrencyScale(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time),
from = "EUR",
to = "CHF"),
1)
expect_equal(getRateName(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time),
currency = "CHF",
horizon = "k"),
"2YCHF")
expect_equal(getRateId(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time),
currency = "CHF",
horizon = "k"),
3L)
expect_equal(getRateScale(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time),
currency = "CHF",
horizon = "k"),
1)
mapping.table <- mappingTable(currency(name = "EURCHF",
from = "EUR",
to = "CHF"),
equity(name = "equityCHF",
type = "equity",
currency = "CHF"),
rate(name = "2YCHF",
currency = "CHF",
horizon = "k"),
spread(name = "AAACHF",
currency = "CHF",
rating = "AAA"))
mr <- marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time)
expect_equal(getSpreadName(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time),
currency = "CHF",
rating = "AAA"),
"AAACHF")
expect_equal(getSpreadId(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time),
currency = "CHF",
rating = "AAA"),
4L)
expect_equal(getSpreadScale(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time),
currency = "CHF",
rating = "AAA"),
1)
mapping.table <- mappingTable(currency(name = "EURCHF",
from = "EUR",
to = "CHF"),
equity(name = "equityCHF",
type = "equity",
currency = "CHF"),
rate(name = "2YCHF",
currency = "CHF",
horizon = "k"),
spread(name = "AAACHF",
currency = "CHF",
rating = "AAA"),
spread(name = "AAACHF",
currency = "EUR",
rating = "AAA",
scale = 0.5))
mr <- marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time)
expect_equal(getSpreadScale(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time),
currency = "EUR",
rating = "AAA"),
0.5)
expect_equal(getDeltaId(marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time),
name=c("2YCHF", "AAACHF")),
c(3,4))
})
test_that("marketRisk: standard methods are ok", {
## a valid input
cov.mat <- diag(rep(1, 4))
name <- c("EURCHF", "equityCHF", "2YCHF", "AAACHF")
colnames(cov.mat) <- name
rownames(cov.mat) <- name
attr(cov.mat, "base.currency") <- "CHF"
mapping.table <- mappingTable(currency(name = "EURCHF",
from = "EUR",
to = "CHF"),
equity(name = "equityCHF",
type = "equity",
currency = "CHF"),
rate(name = "2YCHF",
currency = "CHF",
horizon = "k"),
spread(name = "AAACHF",
currency = "CHF",
rating = "AAA"))
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 = 1L,
currency = "CHF",
rate = 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)
# format
expect_equal(class(format(mr)),
"character")
# summary
expect_equal(class(summary(mr)),
c("summaryDefault", "table"))
# print
expect_equal(class(print(mr)),
"NULL")
})
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