tests/testthat/test_stress_HARA_RM.R

In spesenti/SWIM: Scenario Weights for Importance Measurement

context("Stress HARA Risk Measure")
library("SWIM")

set.seed(0)
x <- data.frame(cbind(
  "normal" = rnorm(1000), 
  "gamma" = rgamma(1000, shape = 2))) 

################ stress via function ################
res1 <- stress_wass(type = "HARA RM", x = x, a=1, b=5, eta=0.5, alpha=0.95,
                    q_ratio=1.05, hu_ratio=1.05, k=1)


# output test
output_test_w(res1, x)

# specs test
test_that("specs", {
  expect_named(get_specs(res1), c('type', 'k', 'q', 'alpha', 'hu', 'a', 'b', 'eta'))
  expect_equal(res1$type[[1]], "HARA RM")
  expect_type(res1$h, "list")
  expect_type(res1$lam, "list")
  expect_type(res1$str_fY, "list")
  expect_type(res1$str_FY, "list")
  expect_type(res1$str_FY_inv, "list")
  expect_type(res1$gamma, "list")
})

################ stress via scenraio weights ################
res2 <- stress_HARA_RM_w(x = x, a=1, b=5, eta=0.5, alpha=0.95,
                         q_ratio=1.05, hu_ratio=1.05, k=2)

# output test
output_test_w(res2, x)

# specs test
test_that("specs", {
  expect_named(get_specs(res2), c('type', 'k', 'q', 'alpha', 'hu', 'a', 'b', 'eta'))
  expect_equal(res2$type[[1]], "HARA RM")
  expect_type(res2$h, "list")
  expect_type(res2$lam, "list")
  expect_type(res2$str_fY, "list")
  expect_type(res2$str_FY, "list")
  expect_type(res2$str_FY_inv, "list")
  expect_type(res2$gamma, "list")
})

################ merge two stresses ################
merge_test_w(res1, res2)

################ summary ################
sum_test(res1)
sum_test(res2)