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tests/testthat/test-portfolio.R
In sstModel: Swiss Solvency Test (SST) Standard Models
# unit tests for S3 class portfolio
context("portfolio S3 class")
# checking constructor
test_that("constructor of portfolio is ok", {
## define a bunch of market, insurance and participation item
a1 <- asset(type = "hedgeFund", currency = "CHF", value = 10)
a2 <- asset(type = "equity", currency = "USD", value = 100)
fxF <- fxForward(domestic = "CHF", foreign = "USD", time = 1L,
nominal = 100, rate = 1.1, position = "short")
p <- participation(currency = "CHF", value=10)
d <- life(name = c("equity", "2YCHF", "EURCHF"),
currency = c("CHF", "CHF", "CHF"),
sensitivity = c(100, 150, 130))
h <- health(name = c("equity", "2YCHF", "EURCHF"),
currency = c("CHF", "CHF", "CHF"),
sensitivity = c(100, 150, 130))
# valid portfolio parameters
valid.param <- list(mvm = list(mvm.life = 1, mvm.health = 3, mvm.nonlife = 2),
rtkr = 0,
rtkg = 0,
correction.term = 2,
credit.risk = 3,
expected.insurance.result = 10^6,
expected.financial.result = 10^5)
## cheching types
expect_error(portfolio())
expect_error(portfolio(market.items = a1,
participation.item = p,
life.item = d,
health.item = h,
base.currency = "CHF",
portfolio.parameters = valid.param),
"Invalid types")
expect_error(portfolio(market.items = list(),
participation.item = p,
life.item = d,
health.item = h,
base.currency = "CHF",
portfolio.parameters = valid.param),
"Invalid dimensions")
expect_error(portfolio(market.items = list(1, 2),
participation.item = p,
life.item = d,
health.item = h,
base.currency = "CHF",
portfolio.parameters = valid.param),
"Invalid type")
expect_error(portfolio(market.items = list(a1),
participation.item = p,
life.item = d,
health.item = h,
base.currency = as.character(NA),
portfolio.parameters = valid.param),
"Missing values")
expect_error(portfolio(market.items = list(a1),
participation.item = list(p, p),
life.item = d,
health.item = h,
base.currency = "CHF",
portfolio.parameters = valid.param),
"Invalid types")
expect_error(portfolio(market.items = list(a1),
participation.item = p,
life.item = d,
health.item = h,
base.currency = "CHF",
portfolio.parameters = list()),
"Invalid types")
expect_error(portfolio(market.items = list(a1),
participation.item = p,
life.item = d,
health.item = h,
base.currency = "CHF",
portfolio.parameters = list(1,2,3,3,4,3,2)),
"Invalid types")
expect_error(portfolio(market.items = list(a1),
participation.item = p,
life.item = d,
health.item = h,
base.currency = "CHF",
portfolio.parameters = list(a=1,b=1)),
"Missing or invalid")
expect_error(portfolio(market.items = list(a1),
participation.item = p,
life.item = d,
health.item = h,
base.currency = "CHF",
portfolio.parameters = list(mvm = 3,
rtkr = NA,
rtkg = 0,
credit.risk = 2,
correction.term = 10^5,
expected.insurance.result = 10^6,
expected.financial.result = 10^5,
volatility.participation = 0.25)),
"Missing")
expect_error(portfolio(market.items = list(a1),
participation.item = p,
life.item = d,
health.item = h,
base.currency = "CHF",
portfolio.parameters = list(mvm = 3,
rtkr = c(NA,NA),
rtkg = 0,
credit.risk = 3,
correction.term = 10^5,
expected.insurance.result = 10^6,
expected.financial.result = 10^5)),
"dimensions")
## define a valid portfolio
pf <- portfolio(market.items = list(a1),
participation.item = p,
life.item = d,
health.item = h,
base.currency = "CHF",
portfolio.parameters = valid.param)
## partial inputs
pf <- portfolio(market.items = list(a1),
life.item = d,
health.item = h,
base.currency = "CHF",
portfolio.parameters = valid.param)
# checking internal representation of attributes
expect_equal(length(pf), 6)
expect_equal(names(pf), c("market.items", "participation.item",
"life.item", "health.item",
"base.currency", "portfolio.parameters"))
# checking class membership
expect_equal(is.portfolio(pf), TRUE)
expect_equal(is.list(pf), TRUE)
})
test_that("portfolio: standard methods are ok", {
# inputs
a1 <- asset(type = "hedgeFund", currency = "CHF", value = 10)
valid.param <- list(mvm = list(mvm.life = 1, mvm.health = 3, mvm.nonlife = 2),
rtkr = 0,
rtkg = 0,
correction.term = 2,
credit.risk = 3,
expected.insurance.result = 10^6,
expected.financial.result = 10^5)
# format
expect_equal(class(format(portfolio(market.items = list(a1),
participation.item = NULL,
life.item = NULL,
health.item = NULL,
base.currency = "CHF",
portfolio.parameters = valid.param))),
"character")
# summary
expect_equal(class(summary(portfolio(market.items = list(a1),
participation.item = NULL,
life.item = NULL,
health.item = NULL,
base.currency = "CHF",
portfolio.parameters = valid.param))),
"summary.portfolio")
# print
expect_equal(class(print(portfolio(market.items = list(a1),
participation.item = NULL,
life.item = NULL,
health.item = NULL,
base.currency = "CHF",
portfolio.parameters = valid.param))),
"NULL")
})
test_that("portfolio: generateExpression and generateFunction are ok", {
## a first example without scaled factors
cov.mat <- diag(rep(4, 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)
valid.param <- list(mvm = list(mvm.life = 1, mvm.health = 3, mvm.nonlife = 2),
rtkr = 0,
rtkg = 0,
correction.term = 2,
credit.risk = 3,
expected.insurance.result = 10^6,
expected.financial.result = 10^5)
p <- portfolio(market.items = list(asset("equity", "CHF", 1000)),
participation.item = NULL,
life.item = NULL,
health.item = NULL,
base.currency = "CHF",
portfolio.parameters = valid.param)
# generate expression
expect_equal(generateExpression.portfolio(p, market.risk = mr, market.item.types = "all"),
"1000 * (exp(`equityCHF` + -2) - 1)")
# generate function
f <- generateFunction(p, market.item.types = "all", market.risk = mr)
simulation.mat <- matrix(c(1, 2, 3, 4), nrow = 1)
colnames(simulation.mat) <- mr$name
expect_equal(f(simulation.mat), 1000 * (exp(2) - 1))
expect_true(is.null(generateExpression(p, market.risk = mr, market.item.types = "liability")))
p <- portfolio(market.items = list(asset("equity", "CHF", 1000),
liability(time = 1L, currency = "CHF", value = 50)),
participation.item = NULL,
life.item = NULL,
health.item = NULL,
base.currency = "CHF",
portfolio.parameters = valid.param)
expect_equal(generateExpression(p, market.risk = mr, market.item.types = "all"),
"1000 * (exp(`equityCHF` + -2) - 1) + -49.5024916874584 * (exp(-1 * `2YCHF` + -2) - 1)")
expect_equal(generateExpression(p, market.risk = mr, market.item.types = "asset"),
"1000 * (exp(`equityCHF` + -2) - 1)")
expect_equal(generateExpression(p, market.risk = mr, market.item.types = "liability"),
"-49.5024916874584 * (exp(-1 * `2YCHF` + -2) - 1)")
g <- generateFunction(p, market.risk = mr)
expect_equal(g(simulation.mat), 1000 * (exp(2)-1) - 50 * exp(-0.01) * (exp(-3)-1))
p <- portfolio(market.items = list(asset("equity", "CHF", 1000),
liability(time = 1L, currency = "CHF", value = 50)),
participation.item = participation(currency = "CHF", value = 45),
life.item = NULL,
health.item = NULL,
base.currency = "CHF",
portfolio.parameters = valid.param)
simulation.mat <- matrix(c(1, 2, 3, 4, 5), nrow = 1)
colnames(simulation.mat) <- c(mr$name, "participation")
expect_equal(generateFunction(p, market.risk = mr)(simulation.mat),
1000 * (exp(2)-1) - 50 * exp(-0.01) * (exp(-3)-1) + 45 * (exp(5) -1))
})
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# unit tests for S3 class portfolio
context("portfolio S3 class")
# checking constructor
test_that("constructor of portfolio is ok", {
## define a bunch of market, insurance and participation item
a1 <- asset(type = "hedgeFund", currency = "CHF", value = 10)
a2 <- asset(type = "equity", currency = "USD", value = 100)
fxF <- fxForward(domestic = "CHF", foreign = "USD", time = 1L,
nominal = 100, rate = 1.1, position = "short")
p <- participation(currency = "CHF", value=10)
d <- life(name = c("equity", "2YCHF", "EURCHF"),
currency = c("CHF", "CHF", "CHF"),
sensitivity = c(100, 150, 130))
h <- health(name = c("equity", "2YCHF", "EURCHF"),
currency = c("CHF", "CHF", "CHF"),
sensitivity = c(100, 150, 130))
# valid portfolio parameters
valid.param <- list(mvm = list(mvm.life = 1, mvm.health = 3, mvm.nonlife = 2),
rtkr = 0,
rtkg = 0,
correction.term = 2,
credit.risk = 3,
expected.insurance.result = 10^6,
expected.financial.result = 10^5)
## cheching types
expect_error(portfolio())
expect_error(portfolio(market.items = a1,
participation.item = p,
life.item = d,
health.item = h,
base.currency = "CHF",
portfolio.parameters = valid.param),
"Invalid types")
expect_error(portfolio(market.items = list(),
participation.item = p,
life.item = d,
health.item = h,
base.currency = "CHF",
portfolio.parameters = valid.param),
"Invalid dimensions")
expect_error(portfolio(market.items = list(1, 2),
participation.item = p,
life.item = d,
health.item = h,
base.currency = "CHF",
portfolio.parameters = valid.param),
"Invalid type")
expect_error(portfolio(market.items = list(a1),
participation.item = p,
life.item = d,
health.item = h,
base.currency = as.character(NA),
portfolio.parameters = valid.param),
"Missing values")
expect_error(portfolio(market.items = list(a1),
participation.item = list(p, p),
life.item = d,
health.item = h,
base.currency = "CHF",
portfolio.parameters = valid.param),
"Invalid types")
expect_error(portfolio(market.items = list(a1),
participation.item = p,
life.item = d,
health.item = h,
base.currency = "CHF",
portfolio.parameters = list()),
"Invalid types")
expect_error(portfolio(market.items = list(a1),
participation.item = p,
life.item = d,
health.item = h,
base.currency = "CHF",
portfolio.parameters = list(1,2,3,3,4,3,2)),
"Invalid types")
expect_error(portfolio(market.items = list(a1),
participation.item = p,
life.item = d,
health.item = h,
base.currency = "CHF",
portfolio.parameters = list(a=1,b=1)),
"Missing or invalid")
expect_error(portfolio(market.items = list(a1),
participation.item = p,
life.item = d,
health.item = h,
base.currency = "CHF",
portfolio.parameters = list(mvm = 3,
rtkr = NA,
rtkg = 0,
credit.risk = 2,
correction.term = 10^5,
expected.insurance.result = 10^6,
expected.financial.result = 10^5,
volatility.participation = 0.25)),
"Missing")
expect_error(portfolio(market.items = list(a1),
participation.item = p,
life.item = d,
health.item = h,
base.currency = "CHF",
portfolio.parameters = list(mvm = 3,
rtkr = c(NA,NA),
rtkg = 0,
credit.risk = 3,
correction.term = 10^5,
expected.insurance.result = 10^6,
expected.financial.result = 10^5)),
"dimensions")
## define a valid portfolio
pf <- portfolio(market.items = list(a1),
participation.item = p,
life.item = d,
health.item = h,
base.currency = "CHF",
portfolio.parameters = valid.param)
## partial inputs
pf <- portfolio(market.items = list(a1),
life.item = d,
health.item = h,
base.currency = "CHF",
portfolio.parameters = valid.param)
# checking internal representation of attributes
expect_equal(length(pf), 6)
expect_equal(names(pf), c("market.items", "participation.item",
"life.item", "health.item",
"base.currency", "portfolio.parameters"))
# checking class membership
expect_equal(is.portfolio(pf), TRUE)
expect_equal(is.list(pf), TRUE)
})
test_that("portfolio: standard methods are ok", {
# inputs
a1 <- asset(type = "hedgeFund", currency = "CHF", value = 10)
valid.param <- list(mvm = list(mvm.life = 1, mvm.health = 3, mvm.nonlife = 2),
rtkr = 0,
rtkg = 0,
correction.term = 2,
credit.risk = 3,
expected.insurance.result = 10^6,
expected.financial.result = 10^5)
# format
expect_equal(class(format(portfolio(market.items = list(a1),
participation.item = NULL,
life.item = NULL,
health.item = NULL,
base.currency = "CHF",
portfolio.parameters = valid.param))),
"character")
# summary
expect_equal(class(summary(portfolio(market.items = list(a1),
participation.item = NULL,
life.item = NULL,
health.item = NULL,
base.currency = "CHF",
portfolio.parameters = valid.param))),
"summary.portfolio")
# print
expect_equal(class(print(portfolio(market.items = list(a1),
participation.item = NULL,
life.item = NULL,
health.item = NULL,
base.currency = "CHF",
portfolio.parameters = valid.param))),
"NULL")
})
test_that("portfolio: generateExpression and generateFunction are ok", {
## a first example without scaled factors
cov.mat <- diag(rep(4, 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)
valid.param <- list(mvm = list(mvm.life = 1, mvm.health = 3, mvm.nonlife = 2),
rtkr = 0,
rtkg = 0,
correction.term = 2,
credit.risk = 3,
expected.insurance.result = 10^6,
expected.financial.result = 10^5)
p <- portfolio(market.items = list(asset("equity", "CHF", 1000)),
participation.item = NULL,
life.item = NULL,
health.item = NULL,
base.currency = "CHF",
portfolio.parameters = valid.param)
# generate expression
expect_equal(generateExpression.portfolio(p, market.risk = mr, market.item.types = "all"),
"1000 * (exp(`equityCHF` + -2) - 1)")
# generate function
f <- generateFunction(p, market.item.types = "all", market.risk = mr)
simulation.mat <- matrix(c(1, 2, 3, 4), nrow = 1)
colnames(simulation.mat) <- mr$name
expect_equal(f(simulation.mat), 1000 * (exp(2) - 1))
expect_true(is.null(generateExpression(p, market.risk = mr, market.item.types = "liability")))
p <- portfolio(market.items = list(asset("equity", "CHF", 1000),
liability(time = 1L, currency = "CHF", value = 50)),
participation.item = NULL,
life.item = NULL,
health.item = NULL,
base.currency = "CHF",
portfolio.parameters = valid.param)
expect_equal(generateExpression(p, market.risk = mr, market.item.types = "all"),
"1000 * (exp(`equityCHF` + -2) - 1) + -49.5024916874584 * (exp(-1 * `2YCHF` + -2) - 1)")
expect_equal(generateExpression(p, market.risk = mr, market.item.types = "asset"),
"1000 * (exp(`equityCHF` + -2) - 1)")
expect_equal(generateExpression(p, market.risk = mr, market.item.types = "liability"),
"-49.5024916874584 * (exp(-1 * `2YCHF` + -2) - 1)")
g <- generateFunction(p, market.risk = mr)
expect_equal(g(simulation.mat), 1000 * (exp(2)-1) - 50 * exp(-0.01) * (exp(-3)-1))
p <- portfolio(market.items = list(asset("equity", "CHF", 1000),
liability(time = 1L, currency = "CHF", value = 50)),
participation.item = participation(currency = "CHF", value = 45),
life.item = NULL,
health.item = NULL,
base.currency = "CHF",
portfolio.parameters = valid.param)
simulation.mat <- matrix(c(1, 2, 3, 4, 5), nrow = 1)
colnames(simulation.mat) <- c(mr$name, "participation")
expect_equal(generateFunction(p, market.risk = mr)(simulation.mat),
1000 * (exp(2)-1) - 50 * exp(-0.01) * (exp(-3)-1) + 45 * (exp(5) -1))
})
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