tests/testthat/test-preparation.R
In FinYang/ycevo: Nonparametric Estimation of the Yield Curve Evolution
test_that("calc_window", {
expect_equal(
calc_epaker_weights(seq(0, 1, 0.1), c(0.2, 0.4), c(0.2, 0.4)),
structure(c(0, 0.5625, 0.75, 0.5625, 0, 0, 0, 0, 0, 0, 0, 0,
0.328125, 0.5625, 0.703125, 0.75, 0.703125, 0.5625, 0.328125,
0, 0, 0), .Dim = c(11L, 2L))
)
expect_equal(
calc_r_window(c(4.94, 4.92, 4.91, 4.92, 4.95, 4.95, 4.96, 4.98, 4.96, 4.98,
4.99, 4.99, 5.01, 5, 5.01, 5, 5.01, 5, 5.01, 5, 4.99, 5, 5.01,
5.02, 5.01, 5.02, 5.03, 5.02, 5.04, 5.03, 5.02, 5.03, 5.04, 5.05,
5.04, 5.05, 5.05, 5.05, 4.99, 5.01, 5, 4.98, 4.97, 4.99, 4.97,
4.95, 4.96, 4.96, 4.94, 4.92, 4.91, 4.9, 4.93, 4.92, 4.91, 4.92,
4.94, 4.93, 4.93, 4.92, 4.91, 4.9, 4.91, 4.91, 4.92, 4.9, 4.91,
4.89, 4.89, 4.9, 4.89, 4.88, 4.88, 4.87, 4.86, 4.85, 4.85, 4.85,
4.84, 4.83, 4.82, 4.81, 4.79, 4.76, 4.77, 4.76, 4.76, 4.77, 4.76,
4.74, 4.73, 4.73, 4.73, 4.7, 4.62, 4.68, 4.7, 4.76, 4.79, 4.77,
4.77, 4.75, 4.76, 4.71, 4.6, 4.66, 4.68, 4.7, 4.67, 4.67, 4.64,
4.6, 4.59, 4.53, 4.52, 4.43, 4.51, 4.52, 4.61, 4.57, 4.59, 4.69,
4.69, 4.64, 4.64, 4.68, 4.81, 4.81, 4.81, 4.81, 4.83, 4.81, 4.81,
4.83, 4.83, 4.84, 4.82, 4.82, 4.84, 4.83, 4.88, 4.88, 4.85, 4.78,
4.72, 4.82, 4.82, 4.75, 4.75, 4.72, 4.74, 4.8, 4.81, 4.67, 4.44,
4.61, 4.51, 4.1, 3.69, 3.65, 3.08, 3.51, 3.58, 3.79, 4.13, 4.5,
4.28, 3.88, 3.74, 3.91, 4.35, 4.24, 4.18, 3.96, 3.86, 4, 3.93,
3.97, 3.9, 4.05, 3.91, 3.83, 3.69, 3.64, 3.76, 3.7, 3.64, 3.62,
3.72, 3.83, 3.86, 3.86, 3.85, 3.89, 3.96, 3.95, 4.01, 4.09, 4.19,
4.14, 3.91, 3.66, 3.75, 3.9, 3.88, 3.75, 3.84, 3.86, 3.91, 3.86,
3.84, 3.71, 3.52, 3.62, 3.66, 3.4, 3.3, 3.19, 3.41, 3.33, 3.22,
3.32, 3.32, 3.17, 3.02, 3.15, 3.06, 3.08, 2.98, 2.92, 3.08, 2.99,
3, 3, 3.02, 3.04, 2.98, 2.87, 2.81, 2.8, 2.81, 3.01, 2.98, 2.85,
2.85, 2.92, 3.26, 3.24, 3.09, 3.1, 3.29), 4.03, 1.285),
structure(c(0.373870157004648, 0.390221653620797, 0.39826113945707,
0.390221653620797, 0.365558146224773, 0.365558146224773, 0.35715529379703,
0.340077063997941, 0.35715529379703, 0.340077063997941, 0.331401686626595,
0.331401686626595, 0.313778406940302, 0.322635467607383, 0.313778406940302,
0.322635467607383, 0.313778406940302, 0.322635467607383, 0.313778406940302,
0.322635467607383, 0.331401686626595, 0.322635467607383, 0.313778406940302,
0.304830504625355, 0.313778406940302, 0.304830504625355, 0.295791760662538,
0.304830504625355, 0.286662175051856, 0.295791760662538, 0.304830504625355,
0.295791760662538, 0.286662175051856, 0.277441747793305, 0.286662175051856,
0.277441747793305, 0.277441747793305, 0.277441747793305, 0.331401686626595,
0.313778406940302, 0.322635467607383, 0.340077063997941, 0.348661599721419,
0.331401686626595, 0.348661599721419, 0.365558146224773, 0.35715529379703,
0.35715529379703, 0.373870157004648, 0.390221653620797, 0.39826113945707,
0.406209783645475, 0.382091326136656, 0.390221653620797, 0.39826113945707,
0.390221653620797, 0.373870157004648, 0.382091326136656, 0.382091326136656,
0.390221653620797, 0.39826113945707, 0.406209783645475, 0.39826113945707,
0.39826113945707, 0.390221653620797, 0.406209783645475, 0.39826113945707,
0.414067586186014, 0.414067586186014, 0.406209783645475, 0.414067586186014,
0.421834547078684, 0.421834547078684, 0.429510666323487, 0.437095943920423,
0.444590379869491, 0.444590379869491, 0.444590379869491, 0.451993974170692,
0.459306726824025, 0.46652863782949, 0.473659707187089, 0.487649320958682,
0.507952429257067, 0.501275568138806, 0.507952429257067, 0.507952429257067,
0.501275568138806, 0.507952429257067, 0.521033626549986, 0.527437962724644,
0.527437962724644, 0.527437962724644, 0.546105921361413, 0.59189011188663,
0.558097018879923, 0.546105921361413, 0.507952429257067, 0.487649320958682,
0.501275568138806, 0.501275568138806, 0.51453844872746, 0.507952429257067,
0.539974110130358, 0.602427743039259, 0.569724749806962, 0.558097018879923,
0.546105921361413, 0.563956305167376, 0.563956305167376, 0.580989114142531,
0.602427743039259, 0.607560296143772, 0.636447940165635, 0.640944601735076,
0.677326681706006, 0.645350421656649, 0.640944601735076, 0.597204348286878,
0.617552877409196, 0.607560296143772, 0.552146890944602, 0.552146890944602,
0.580989114142531, 0.580989114142531, 0.558097018879923, 0.473659707187089,
0.473659707187089, 0.473659707187089, 0.473659707187089, 0.459306726824025,
0.473659707187089, 0.473659707187089, 0.459306726824025, 0.459306726824025,
0.451993974170692, 0.46652863782949, 0.46652863782949, 0.451993974170692,
0.459306726824025, 0.421834547078684, 0.421834547078684, 0.444590379869491,
0.494507865372678, 0.533751457251435, 0.46652863782949, 0.46652863782949,
0.51453844872746, 0.51453844872746, 0.533751457251435, 0.521033626549986,
0.480699934896819, 0.473659707187089, 0.563956305167376, 0.673647594967373,
0.597204348286878, 0.645350421656649, 0.747774379627246, 0.697493527532589,
0.68441233023967, 0.340077063997941, 0.62718209208315, 0.658022831534164,
0.723837605414162, 0.745457917606625, 0.649665399930355, 0.721611985041409,
0.739780314614907, 0.711801087071719, 0.74345940135354, 0.703489076291844,
0.729969416645218, 0.739780314614907, 0.747774379627246, 0.736873381883147,
0.749591212584596, 0.745457917606625, 0.748364850338385, 0.742323880755197,
0.749818316704265, 0.74345940135354, 0.731831670426502, 0.697493527532589,
0.680914926796772, 0.716888219352299, 0.70053672273615, 0.680914926796772,
0.673647594967373, 0.70635058819967, 0.731831670426502, 0.736873381883147,
0.736873381883147, 0.735283653045466, 0.741097518508986, 0.747774379627246,
0.74709306726824, 0.749818316704265, 0.748364850338385, 0.738372269072961,
0.744504080304017, 0.74345940135354, 0.687818892034701, 0.714390074035943,
0.742323880755197, 0.739780314614907, 0.714390074035943, 0.733603082559918,
0.736873381883147, 0.74345940135354, 0.736873381883147, 0.733603082559918,
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0.527437962724644, 0.451993974170691, 0.521033626549985, 0.521033626549985,
0.414067586186013, 0.286662175051855, 0.398261139457069, 0.322635467607382,
0.340077063997941, 0.249235416130448, 0.190370028312313, 0.340077063997941,
0.258728368332601, 0.268130478886887, 0.268130478886887, 0.286662175051855,
0.304830504625354, 0.249235416130448, 0.138817393147512, 0.0739564565701219,
0.0628283547063539, 0.0739564565701219, 0.277441747793305, 0.249235416130448,
0.117560447546518, 0.117560447546518, 0.190370028312313, 0.480699934896819,
0.46652863782949, 0.348661599721418, 0.357155293797029, 0.501275568138806
), .Dim = c(251L, 1L))
)
})
FinYang/ycevo documentation built on April 10, 2024, 8:17 a.m.
R Package Documentation
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test_that("calc_window", {
expect_equal(
calc_epaker_weights(seq(0, 1, 0.1), c(0.2, 0.4), c(0.2, 0.4)),
structure(c(0, 0.5625, 0.75, 0.5625, 0, 0, 0, 0, 0, 0, 0, 0,
0.328125, 0.5625, 0.703125, 0.75, 0.703125, 0.5625, 0.328125,
0, 0, 0), .Dim = c(11L, 2L))
)
expect_equal(
calc_r_window(c(4.94, 4.92, 4.91, 4.92, 4.95, 4.95, 4.96, 4.98, 4.96, 4.98,
4.99, 4.99, 5.01, 5, 5.01, 5, 5.01, 5, 5.01, 5, 4.99, 5, 5.01,
5.02, 5.01, 5.02, 5.03, 5.02, 5.04, 5.03, 5.02, 5.03, 5.04, 5.05,
5.04, 5.05, 5.05, 5.05, 4.99, 5.01, 5, 4.98, 4.97, 4.99, 4.97,
4.95, 4.96, 4.96, 4.94, 4.92, 4.91, 4.9, 4.93, 4.92, 4.91, 4.92,
4.94, 4.93, 4.93, 4.92, 4.91, 4.9, 4.91, 4.91, 4.92, 4.9, 4.91,
4.89, 4.89, 4.9, 4.89, 4.88, 4.88, 4.87, 4.86, 4.85, 4.85, 4.85,
4.84, 4.83, 4.82, 4.81, 4.79, 4.76, 4.77, 4.76, 4.76, 4.77, 4.76,
4.74, 4.73, 4.73, 4.73, 4.7, 4.62, 4.68, 4.7, 4.76, 4.79, 4.77,
4.77, 4.75, 4.76, 4.71, 4.6, 4.66, 4.68, 4.7, 4.67, 4.67, 4.64,
4.6, 4.59, 4.53, 4.52, 4.43, 4.51, 4.52, 4.61, 4.57, 4.59, 4.69,
4.69, 4.64, 4.64, 4.68, 4.81, 4.81, 4.81, 4.81, 4.83, 4.81, 4.81,
4.83, 4.83, 4.84, 4.82, 4.82, 4.84, 4.83, 4.88, 4.88, 4.85, 4.78,
4.72, 4.82, 4.82, 4.75, 4.75, 4.72, 4.74, 4.8, 4.81, 4.67, 4.44,
4.61, 4.51, 4.1, 3.69, 3.65, 3.08, 3.51, 3.58, 3.79, 4.13, 4.5,
4.28, 3.88, 3.74, 3.91, 4.35, 4.24, 4.18, 3.96, 3.86, 4, 3.93,
3.97, 3.9, 4.05, 3.91, 3.83, 3.69, 3.64, 3.76, 3.7, 3.64, 3.62,
3.72, 3.83, 3.86, 3.86, 3.85, 3.89, 3.96, 3.95, 4.01, 4.09, 4.19,
4.14, 3.91, 3.66, 3.75, 3.9, 3.88, 3.75, 3.84, 3.86, 3.91, 3.86,
3.84, 3.71, 3.52, 3.62, 3.66, 3.4, 3.3, 3.19, 3.41, 3.33, 3.22,
3.32, 3.32, 3.17, 3.02, 3.15, 3.06, 3.08, 2.98, 2.92, 3.08, 2.99,
3, 3, 3.02, 3.04, 2.98, 2.87, 2.81, 2.8, 2.81, 3.01, 2.98, 2.85,
2.85, 2.92, 3.26, 3.24, 3.09, 3.1, 3.29), 4.03, 1.285),
structure(c(0.373870157004648, 0.390221653620797, 0.39826113945707,
0.390221653620797, 0.365558146224773, 0.365558146224773, 0.35715529379703,
0.340077063997941, 0.35715529379703, 0.340077063997941, 0.331401686626595,
0.331401686626595, 0.313778406940302, 0.322635467607383, 0.313778406940302,
0.322635467607383, 0.313778406940302, 0.322635467607383, 0.313778406940302,
0.322635467607383, 0.331401686626595, 0.322635467607383, 0.313778406940302,
0.304830504625355, 0.313778406940302, 0.304830504625355, 0.295791760662538,
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0.295791760662538, 0.286662175051856, 0.277441747793305, 0.286662175051856,
0.277441747793305, 0.277441747793305, 0.277441747793305, 0.331401686626595,
0.313778406940302, 0.322635467607383, 0.340077063997941, 0.348661599721419,
0.331401686626595, 0.348661599721419, 0.365558146224773, 0.35715529379703,
0.35715529379703, 0.373870157004648, 0.390221653620797, 0.39826113945707,
0.406209783645475, 0.382091326136656, 0.390221653620797, 0.39826113945707,
0.390221653620797, 0.373870157004648, 0.382091326136656, 0.382091326136656,
0.390221653620797, 0.39826113945707, 0.406209783645475, 0.39826113945707,
0.39826113945707, 0.390221653620797, 0.406209783645475, 0.39826113945707,
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0.558097018879923, 0.546105921361413, 0.507952429257067, 0.487649320958682,
0.501275568138806, 0.501275568138806, 0.51453844872746, 0.507952429257067,
0.539974110130358, 0.602427743039259, 0.569724749806962, 0.558097018879923,
0.546105921361413, 0.563956305167376, 0.563956305167376, 0.580989114142531,
0.602427743039259, 0.607560296143772, 0.636447940165635, 0.640944601735076,
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0.617552877409196, 0.607560296143772, 0.552146890944602, 0.552146890944602,
0.580989114142531, 0.580989114142531, 0.558097018879923, 0.473659707187089,
0.473659707187089, 0.473659707187089, 0.473659707187089, 0.459306726824025,
0.473659707187089, 0.473659707187089, 0.459306726824025, 0.459306726824025,
0.451993974170692, 0.46652863782949, 0.46652863782949, 0.451993974170692,
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0.51453844872746, 0.51453844872746, 0.533751457251435, 0.521033626549986,
0.480699934896819, 0.473659707187089, 0.563956305167376, 0.673647594967373,
0.597204348286878, 0.645350421656649, 0.747774379627246, 0.697493527532589,
0.68441233023967, 0.340077063997941, 0.62718209208315, 0.658022831534164,
0.723837605414162, 0.745457917606625, 0.649665399930355, 0.721611985041409,
0.739780314614907, 0.711801087071719, 0.74345940135354, 0.703489076291844,
0.729969416645218, 0.739780314614907, 0.747774379627246, 0.736873381883147,
0.749591212584596, 0.745457917606625, 0.748364850338385, 0.742323880755197,
0.749818316704265, 0.74345940135354, 0.731831670426502, 0.697493527532589,
0.680914926796772, 0.716888219352299, 0.70053672273615, 0.680914926796772,
0.673647594967373, 0.70635058819967, 0.731831670426502, 0.736873381883147,
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0.74709306726824, 0.749818316704265, 0.748364850338385, 0.738372269072961,
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0.736873381883147, 0.74345940135354, 0.736873381883147, 0.733603082559918,
0.703489076291844, 0.631860436948326, 0.673647594967373, 0.687818892034701,
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0.527437962724644, 0.451993974170691, 0.521033626549985, 0.521033626549985,
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0.340077063997941, 0.249235416130448, 0.190370028312313, 0.340077063997941,
0.258728368332601, 0.268130478886887, 0.268130478886887, 0.286662175051855,
0.304830504625354, 0.249235416130448, 0.138817393147512, 0.0739564565701219,
0.0628283547063539, 0.0739564565701219, 0.277441747793305, 0.249235416130448,
0.117560447546518, 0.117560447546518, 0.190370028312313, 0.480699934896819,
0.46652863782949, 0.348661599721418, 0.357155293797029, 0.501275568138806
), .Dim = c(251L, 1L))
)
})
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