context("rollAR")
library(xts)
AR1 <- -0.6
AR2 <- -0.4
AR <- c(AR1, AR2)
data <- xts(data.frame(
A = c( 0.0100, 0.0050, 0.0220),
B = c(-0.0010, 0.0025, 0.0110),
C = c(-0.0045, -0.0086, 0.011),
D = c(-0.0123, -0.0234, -0.0345)),
order.by = as.Date("2018-12-03") + 1:3)
expect <- xts(
apply(data, 2, function(x){c(NA,sum(rev(x[1:2])*AR), sum(rev(x[2:3])*AR))}),
order.by = index(data))
result <- rollAR(data, AR)
test_that("rollAR result matches manual computation", {
expect_identical(result, expect)
})
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