##### Load packages #####
require(testthat)
require(PortfolioAnalytics)
##### Source Demo Script #####
source(system.file("demo/demo_efficient_frontier.R", package="PortfolioAnalytics"))
context("mean-var efficient frontier")
test_that("meanvar.ef$frontier has 25 rows",
{ expect_equal(nrow(meanvar.ef$frontier), 25) })
test_that("colnames(meanvar.ef$frontier) are consistent",
{ expect_equal(colnames(meanvar.ef$frontier), c("mean", "StdDev", "out", "w.CA", "w.CTAG", "w.DS", "w.EM", "w.EQM")) })
test_that("first row of meanvar.ef$frontier is consistent",
{ expect_equal(as.numeric(meanvar.ef$frontier[1,]), c(0.006765658, 0.01334460, 178.0782, 0.15, 0.15, 0.15, 0.15, 0.4),
tolerance=1e-6) })
test_that("last row of meanvar.ef$frontier is consistent",
{ expect_equal(as.numeric(meanvar.ef$frontier[25,]), c(0.007326513, 0.02070151, 428.5526, 0.15, 0.15, 0.15, 0.4, 0.15),
tolerance=1e-6) })
context("mean-etl efficient frontier")
test_that("meanetl.ef$frontier has 25 rows",
{ expect_equal(nrow(meanetl.ef$frontier), 25) })
test_that("colnames(meanetl.ef$frontier) are consistent",
{ expect_equal(colnames(meanetl.ef$frontier), c("mean", "ES", "out", "w.CA", "w.CTAG", "w.DS", "w.EM", "w.EQM")) })
test_that("first row of meanetl.ef$frontier is consistent",
{ expect_equal(as.numeric(meanetl.ef$frontier[1,]), c(0.006887368, 0.02637039, 0.02637039, 0.15, 0.4, 0.15, 0.15, 0.15),
tolerance=1e-6) })
test_that("last row of meanetl.ef$frontier is consistent",
{ expect_equal(as.numeric(meanetl.ef$frontier[25,]), c(0.007326513, 0.04642908, 0.04642908, 0.15, 0.15, 0.15, 0.4, 0.15),
tolerance=1e-6) })
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