inst/tinytest/test_div_adjust.R

In enricoschumann/PMwR: Portfolio Management with R

## no adjustments
x <- 10
div <- 5
t <- 0
expect_equal(div_adjust(x, t, div), 10)
expect_equal(div_adjust(x, t, div, backward = FALSE), 10)
t <- 1
expect_equal(div_adjust(x, t, div), 10)
expect_equal(div_adjust(x, t, div, backward = FALSE), 10)
t <- 2
expect_equal(div_adjust(x, t, div), 10)
expect_equal(div_adjust(x, t, div, backward = FALSE), 10)


## one adjustment
x <- c(10, 5)
div <- 5
t <- 2
expect_equal(div_adjust(x, t, div),
            c(5, 5))
expect_equal(div_adjust(x, t, div, backward = FALSE),
            c(10, 10))


## two adjustments
x <- c(10,9,9,8)
div <- 1
t <- c(2,4)
expect_equal(div_adjust(x, t, div), rep(8, 4))
expect_equal(div_adjust(x, t, div, backward = FALSE), rep(10, 4))


## ADDITIVE tests
x <- c(10,10,8,8,8)
div <- 2
t <- 3
expect_equal(
    div_adjust(x, t, div, additive = TRUE),
    rep(8, 5))
expect_equal(
    div_adjust(x, t, div, additive = TRUE, backward = FALSE),
    rep(10, 5))


x <- c(10,10,8,8,6)
div <- c(2, 2)
t <- c(3, 5)
expect_equal(
    div_adjust(x, t, div, additive = TRUE),
    rep(6, 5))
expect_equal(
    div_adjust(x, t, div, additive = TRUE, backward = FALSE),
    rep(10, 5))



## MULTIPLICATIVE tests
### 1 div
x <- c(10,11,10,11,12)
div <- 2
t <- 3
R <- returns(x, pad = 0)
R[t] <- (x[t]+div)/x[t-1] - 1

expect_equivalent(
    div_adjust(x, t, div),
    scale1(cumprod(R+1), level = x[length(x)], when = length(x)))
expect_equivalent(
    div_adjust(x, t, div, backward = FALSE),
    scale1(cumprod(R+1), level = x[1], when = 1))

### 2 divs
x <- c(10, 11, 9, 10, 8)
div <- c(2, 2)
t <- c(3, 5)
R <- returns(x, pad = 0)
R[t] <- (x[t]+div)/x[t-1] - 1

expect_equivalent(
    div_adjust(x, t, div),
    scale1(cumprod(R+1), level = x[length(x)], when = length(x)))
expect_equivalent(
    div_adjust(x, t, div, backward = FALSE),
    scale1(cumprod(R+1), level = x[1], when = 1))

### 2 divs, not sorted in time
x <- c(10, 11, 9, 10, 8)
div <- c(2, 2)
t <- c(5, 3)  ## not in chronological order
R <- returns(x, pad = 0)
R[t] <- (x[t]+div)/x[t-1] - 1

expect_equivalent(
    div_adjust(x, t, div),
    scale1(cumprod(R+1), level = x[length(x)], when = length(x)))
expect_equivalent(
    div_adjust(x, t, div, backward = FALSE),
    scale1(cumprod(R+1), level = x[1], when = 1))



## cashflows
cf <- c(100, 100, -200)
t <- c(1, 4, 5)
x <- c(100, 101, 104, 203, 4)
ans <- div_adjust(x, t, div = -cf, backward = FALSE)
expect_equivalent(ans,
                  100*cumprod(c(1, (x[-1] + c(0,0,-100,+200)) / x[-length(x)])))



### 2 divs, same day
x <- c(10,11,9,9,9)
div <- c(1, 1)
t <- c(3, 3)
R <- returns(x, pad = 0)
R[t[1]] <- (x[t[1]]+sum(div))/x[t[1]-1] - 1

expect_equivalent(
    div_adjust(x, t, div),
    scale1(cumprod(R+1), level = x[length(x)], when = length(x)))
expect_equivalent(
    div_adjust(x, t, div, backward = FALSE),
    scale1(cumprod(R+1), level = x[1], when = 1))


### 2 divs same day + 1 div on other day
x <- c(11,11,9,9,8)
div <- c(1, 1, 1)
t <- c(5, 3, 3)
R <- returns(x, pad = 0)

expect_equivalent(div_adjust(x, t, div),
                  rep(tail(x, 1), length(x)))
expect_equivalent(div_adjust(x, t, div, backward = FALSE),
                  rep(head(x, 1), length(x)))


x <- c(11,11,9,9,8)
div <- c(1, 1, 1, 10, 20)
t <-   c(5, 3, 3,  1, 27) ## add irrelevant dividends on t=1 and t=27
R <- returns(x, pad = 0)

expect_equivalent(div_adjust(x, t, div),
                  rep(tail(x, 1), length(x)))
expect_equivalent(div_adjust(x, t, div, backward = FALSE),
                  rep(head(x, 1), length(x)))



### 2 divs that cancel, same day
x <- c(10,10,10,10,10)
div <- c(1, -1, 0)
t <- c(3, 3, 3)
expect_equivalent(div_adjust(x, t, div),
                  rep(tail(x, 1), length(x)))
expect_equivalent(div_adjust(x, t, div, backward = FALSE),
                  rep(head(x, 1), length(x)))