context("Stress 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 = "RM", x = x,
alpha = 0.9, q_ratio = 1.05)
# output test
output_test_w(res1, x)
# specs test
test_that("specs", {
expect_named(get_specs(res1), c('type', 'k', 'q', 'alpha'))
expect_equal(res1$type[[1]], "RM")
expect_type(res1$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$gamma, "list")
})
################ stress via scenraio weights ################
res2 <- stress_RM_w(x = x, alpha = 0.9,
q_ratio = 1.05, k = 2)
# output test
output_test_w(res2, x)
# specs test
test_that("specs", {
expect_named(get_specs(res2), c('type', 'k', 'q', 'alpha'))
expect_equal(res2$type[[1]], "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)
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