tests/testthat/test_active_risk.R
In yunching/tidymas: A collection of RMD utilities
context("Active Risks")
library(tidymas)
unwt_return <- read.table(text = " date strategy return
1 2018-11-16 Fltnr_US_ILB_5s10s:::jule -0.000753
2 2018-11-19 Fltnr_US_ILB_5s10s:::jule -0.000413
3 2018-11-20 Fltnr_US_ILB_5s10s:::jule 0.000332
4 2018-11-21 Fltnr_US_ILB_5s10s:::jule 0.000402
5 2018-11-22 Fltnr_US_ILB_5s10s:::jule 0
6 2018-11-23 Fltnr_US_ILB_5s10s:::jule 0.000647
7 2018-11-26 Fltnr_US_ILB_5s10s:::jule -0.000197
8 2018-11-27 Fltnr_US_ILB_5s10s:::jule 0.000183
9 2018-11-28 Fltnr_US_ILB_5s10s:::jule -0.000122
10 2018-11-29 Fltnr_US_ILB_5s10s:::jule -0.0000894
11 2018-11-30 Fltnr_US_ILB_5s10s:::jule 0.000399
12 2018-12-03 Fltnr_US_ILB_5s10s:::jule 0.000413
13 2018-12-04 Fltnr_US_ILB_5s10s:::jule 0.000883
14 2018-12-05 Fltnr_US_ILB_5s10s:::jule 0
15 2018-12-06 Fltnr_US_ILB_5s10s:::jule 0.000419
16 2018-12-07 Fltnr_US_ILB_5s10s:::jule 0
17 2018-11-16 L_ES_S_BE_10y:::eve 0.000535
18 2018-11-19 L_ES_S_BE_10y:::eve 0.000793
19 2018-11-20 L_ES_S_BE_10y:::eve -0.00126
20 2018-11-21 L_ES_S_BE_10y:::eve 0.00160
21 2018-11-22 L_ES_S_BE_10y:::eve -0.0000857
22 2018-11-23 L_ES_S_BE_10y:::eve -0.00163
23 2018-11-26 L_ES_S_BE_10y:::eve 0.00694
24 2018-11-27 L_ES_S_BE_10y:::eve -0.000511
25 2018-11-28 L_ES_S_BE_10y:::eve 0.000877
26 2018-11-29 L_ES_S_BE_10y:::eve 0.000379
27 2018-11-30 L_ES_S_BE_10y:::eve -0.000144
28 2018-12-03 L_ES_S_BE_10y:::eve 0.00161
29 2018-12-04 L_ES_S_BE_10y:::eve -0.00154
30 2018-12-05 L_ES_S_BE_10y:::eve 0.00248
31 2018-12-06 L_ES_S_BE_10y:::eve -0.00223
32 2018-12-07 L_ES_S_BE_10y:::eve 0
33 2018-11-16 L_EUR:::kev 0.00658
34 2018-11-19 L_EUR:::kev 0.00412
35 2018-11-20 L_EUR:::kev -0.00254
36 2018-11-21 L_EUR:::kev -0.00160
37 2018-11-22 L_EUR:::kev 0.000104
38 2018-11-23 L_EUR:::kev -0.00405
39 2018-11-26 L_EUR:::kev -0.000353
40 2018-11-27 L_EUR:::kev -0.00216
41 2018-11-28 L_EUR:::kev 0.00610
42 2018-11-29 L_EUR:::kev 0.00256
43 2018-11-30 L_EUR:::kev -0.00636
44 2018-12-03 L_EUR:::kev -0.000333
45 2018-12-04 L_EUR:::kev 0.00123
46 2018-12-05 L_EUR:::kev 0.00347
47 2018-12-06 L_EUR:::kev 0.00356
48 2018-12-07 L_EUR:::kev 0.000426
49 2018-11-16 L_Nikkei_eg_chgsize:::ben -0.00565
50 2018-11-19 L_Nikkei_eg_chgsize:::ben 0.00650
51 2018-11-20 L_Nikkei_eg_chgsize:::ben -0.0109
52 2018-11-21 L_Nikkei_eg_chgsize:::ben -0.00350
53 2018-11-22 L_Nikkei_eg_chgsize:::ben 0.00646
54 2018-11-23 L_Nikkei_eg_chgsize:::ben 0
55 2018-11-26 L_Nikkei_eg_chgsize:::ben 0.00764
56 2018-11-27 L_Nikkei_eg_chgsize:::ben 0.00644
57 2018-11-28 L_Nikkei_eg_chgsize:::ben 0.0102
58 2018-11-29 L_Nikkei_eg_chgsize:::ben 0.00386
59 2018-11-30 L_Nikkei_eg_chgsize:::ben 0.00397
60 2018-12-03 L_Nikkei_eg_chgsize:::ben 0.0100
61 2018-12-04 L_Nikkei_eg_chgsize:::ben -0.0239
62 2018-12-05 L_Nikkei_eg_chgsize:::ben -0.00530
63 2018-12-06 L_Nikkei_eg_chgsize:::ben -0.0191
64 2018-12-07 L_Nikkei_eg_chgsize:::ben 0.00104
65 2018-11-16 L_STOXX_S_FTSE:::eve 0.000429
66 2018-11-19 L_STOXX_S_FTSE:::eve -0.00456
67 2018-11-20 L_STOXX_S_FTSE:::eve -0.00644
68 2018-11-21 L_STOXX_S_FTSE:::eve -0.00258
69 2018-11-22 L_STOXX_S_FTSE:::eve 0.00412
70 2018-11-23 L_STOXX_S_FTSE:::eve 0.00444
71 2018-11-26 L_STOXX_S_FTSE:::eve -0.000642
72 2018-11-27 L_STOXX_S_FTSE:::eve 0.000739
73 2018-11-28 L_STOXX_S_FTSE:::eve 0.00235
74 2018-11-29 L_STOXX_S_FTSE:::eve -0.00306
75 2018-11-30 L_STOXX_S_FTSE:::eve 0.00802
76 2018-12-03 L_STOXX_S_FTSE:::eve 0.00142
77 2018-12-04 L_STOXX_S_FTSE:::eve -0.00239
78 2018-12-05 L_STOXX_S_FTSE:::eve 0.00215
79 2018-12-06 L_STOXX_S_FTSE:::eve -0.00165
80 2018-12-07 L_STOXX_S_FTSE:::eve 0
81 2018-11-16 L_US_BreakE_10y:::jule 0
82 2018-11-19 L_US_BreakE_10y:::jule 0
83 2018-11-20 L_US_BreakE_10y:::jule 0
84 2018-11-21 L_US_BreakE_10y:::jule 0
85 2018-11-22 L_US_BreakE_10y:::jule 0
86 2018-11-23 L_US_BreakE_10y:::jule 0
87 2018-11-26 L_US_BreakE_10y:::jule 0
88 2018-11-27 L_US_BreakE_10y:::jule 0
89 2018-11-28 L_US_BreakE_10y:::jule 0
90 2018-11-29 L_US_BreakE_10y:::jule 0
91 2018-11-30 L_US_BreakE_10y:::jule 0
92 2018-12-03 L_US_BreakE_10y:::jule 0
93 2018-12-04 L_US_BreakE_10y:::jule 0
94 2018-12-05 L_US_BreakE_10y:::jule 0
95 2018-12-06 L_US_BreakE_10y:::jule 0
96 2018-12-07 L_US_BreakE_10y:::jule 0
97 2018-11-16 S_DE_10y_fut:::eve 0
98 2018-11-19 S_DE_10y_fut:::eve 0
99 2018-11-20 S_DE_10y_fut:::eve 0
100 2018-11-21 S_DE_10y_fut:::eve 0
101 2018-11-22 S_DE_10y_fut:::eve 0
102 2018-11-23 S_DE_10y_fut:::eve 0
103 2018-11-26 S_DE_10y_fut:::eve 0
104 2018-11-27 S_DE_10y_fut:::eve 0
105 2018-11-28 S_DE_10y_fut:::eve 0
106 2018-11-29 S_DE_10y_fut:::eve 0
107 2018-11-30 S_DE_10y_fut:::eve 0
108 2018-12-03 S_DE_10y_fut:::eve 0
109 2018-12-04 S_DE_10y_fut:::eve 0
110 2018-12-05 S_DE_10y_fut:::eve 0
111 2018-12-06 S_DE_10y_fut:::eve 0
112 2018-12-07 S_DE_10y_fut:::eve 0
113 2018-11-16 S_US_IG_CDS:::ben 0.000428
114 2018-11-19 S_US_IG_CDS:::ben 0.000980
115 2018-11-20 S_US_IG_CDS:::ben 0.000913
116 2018-11-21 S_US_IG_CDS:::ben -0.000545
117 2018-11-22 S_US_IG_CDS:::ben 0
118 2018-11-23 S_US_IG_CDS:::ben 0.000771
119 2018-11-26 S_US_IG_CDS:::ben -0.000832
120 2018-11-27 S_US_IG_CDS:::ben -0.000299
121 2018-11-28 S_US_IG_CDS:::ben -0.00234
122 2018-11-29 S_US_IG_CDS:::ben 0.000335
123 2018-11-30 S_US_IG_CDS:::ben 0.000198
124 2018-12-03 S_US_IG_CDS:::ben -0.000569
125 2018-12-04 S_US_IG_CDS:::ben 0.00210
126 2018-12-05 S_US_IG_CDS:::ben -0.0000954
127 2018-12-06 S_US_IG_CDS:::ben -0.0000639
128 2018-12-07 S_US_IG_CDS:::ben 0
129 2018-11-16 S_US_ILB:::ben -0.00509
130 2018-11-19 S_US_ILB:::ben 0.000618
131 2018-11-20 S_US_ILB:::ben 0.000692
132 2018-11-21 S_US_ILB:::ben 0.000870
133 2018-11-22 S_US_ILB:::ben 0
134 2018-11-23 S_US_ILB:::ben 0.000811
135 2018-11-26 S_US_ILB:::ben 0.00128
136 2018-11-27 S_US_ILB:::ben 0.00237
137 2018-11-28 S_US_ILB:::ben -0.00292
138 2018-11-29 S_US_ILB:::ben -0.00387
139 2018-11-30 S_US_ILB:::ben -0.00201
140 2018-12-03 S_US_ILB:::ben -0.000770
141 2018-12-04 S_US_ILB:::ben -0.00350
142 2018-12-05 S_US_ILB:::ben 0
143 2018-12-06 S_US_ILB:::ben -0.000757
144 2018-12-07 S_US_ILB:::ben 0
145 2018-11-16 Stpnr_Euribor_3-7:::eve 0.000000135
146 2018-11-19 Stpnr_Euribor_3-7:::eve -0.000000135
147 2018-11-20 Stpnr_Euribor_3-7:::eve -0.0000501
148 2018-11-21 Stpnr_Euribor_3-7:::eve 0
149 2018-11-22 Stpnr_Euribor_3-7:::eve -0.0000500
150 2018-11-23 Stpnr_Euribor_3-7:::eve -0.0001000
151 2018-11-26 Stpnr_Euribor_3-7:::eve 0.0000500
152 2018-11-27 Stpnr_Euribor_3-7:::eve -0.0000501
153 2018-11-28 Stpnr_Euribor_3-7:::eve 0
154 2018-11-29 Stpnr_Euribor_3-7:::eve -0.000200
155 2018-11-30 Stpnr_Euribor_3-7:::eve -0.0000999
156 2018-12-03 Stpnr_Euribor_3-7:::eve 0
157 2018-12-04 Stpnr_Euribor_3-7:::eve -0.000200
158 2018-12-05 Stpnr_Euribor_3-7:::eve 0.000150
159 2018-12-06 Stpnr_Euribor_3-7:::eve -0.000150
160 2018-12-07 Stpnr_Euribor_3-7:::eve 0.0000501
161 2018-11-16 Stpnr_JP_10s30s:::ben 0.000157
162 2018-11-19 Stpnr_JP_10s30s:::ben -0.0000724
163 2018-11-20 Stpnr_JP_10s30s:::ben -0.000232
164 2018-11-21 Stpnr_JP_10s30s:::ben -0.000377
165 2018-11-22 Stpnr_JP_10s30s:::ben -0.000301
166 2018-11-23 Stpnr_JP_10s30s:::ben 0.000000868
167 2018-11-26 Stpnr_JP_10s30s:::ben -0.0000779
168 2018-11-27 Stpnr_JP_10s30s:::ben -0.000277
169 2018-11-28 Stpnr_JP_10s30s:::ben -0.0000129
170 2018-11-29 Stpnr_JP_10s30s:::ben 0.000371
171 2018-11-30 Stpnr_JP_10s30s:::ben -0.000385
172 2018-12-03 Stpnr_JP_10s30s:::ben 0.000328
173 2018-12-04 Stpnr_JP_10s30s:::ben -0.000769
174 2018-12-05 Stpnr_JP_10s30s:::ben 0.000336
175 2018-12-06 Stpnr_JP_10s30s:::ben 0.00112
176 2018-12-07 Stpnr_JP_10s30s:::ben 0 ", stringsAsFactors = FALSE)
curr_wt <- read.table(text = " date strategy size
1 2018-01-05 Fltnr_US_ILB_5s10s:::jule 0.0111
2 2018-01-05 L_ES_S_BE_10y:::eve 0.00992
3 2018-01-05 L_EUR:::kev 0.0241
4 2018-01-05 L_Nikkei_eg_chgsize:::ben 0.0023
5 2018-01-05 L_STOXX_S_FTSE:::eve 0.005
6 2018-01-05 S_US_IG_CDS:::ben 0.0177
7 2018-01-05 S_US_ILB:::ben 0.00575
8 2018-01-05 Stpnr_Euribor_3-7:::eve 0.0767
9 2018-01-05 Stpnr_JP_10s30s:::ben 0.00383", stringsAsFactors = FALSE)
# I think is correct
correct_results <- read.table(text = " strategy correct_ar
1 Fltnr_US_ILB_5s10s:::jule -4.616408e-05
2 L_ES_S_BE_10y:::eve 1.848666e-04
3 L_EUR:::kev 1.116318e-03
4 L_Nikkei_eg_chgsize:::ben 1.471873e-04
5 L_STOXX_S_FTSE:::eve -2.185902e-05
6 S_US_IG_CDS:::ben -1.344843e-04
7 S_US_ILB:::ben -1.439085e-05
8 Stpnr_Euribor_3-7:::eve 6.078667e-05
9 Stpnr_JP_10s30s:::ben 9.748790e-06")
test_that("calc_active_risk runs properly, but gives warning as inputs less than 20",
expect_warning(calc_active_risk(unwt_return, curr_wt, as.Date("2018-11-17"), as.Date("2018-12-06")))
)
test_that("calc_active_risk gives error when periods less than 5",
expect_error(calc_active_risk(unwt_return, curr_wt, as.Date("2018-12-02"), as.Date("2018-12-06"))))
test_that("calc_active_risk gives expected numbers", {
expect_warning(output <- calc_active_risk(unwt_return, curr_wt, as.Date("2018-11-17"), as.Date("2018-12-06")))
expect_true(all(
output %>%
left_join(correct_results, by = "strategy") %>%
mutate(diff = abs(.data$correct_ar - .data$active_risk)) %>%
.$diff < 1e-9)
)
}
)
yunching/tidymas documentation built on Feb. 5, 2023, 1:42 p.m.
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context("Active Risks")
library(tidymas)
unwt_return <- read.table(text = " date strategy return
1 2018-11-16 Fltnr_US_ILB_5s10s:::jule -0.000753
2 2018-11-19 Fltnr_US_ILB_5s10s:::jule -0.000413
3 2018-11-20 Fltnr_US_ILB_5s10s:::jule 0.000332
4 2018-11-21 Fltnr_US_ILB_5s10s:::jule 0.000402
5 2018-11-22 Fltnr_US_ILB_5s10s:::jule 0
6 2018-11-23 Fltnr_US_ILB_5s10s:::jule 0.000647
7 2018-11-26 Fltnr_US_ILB_5s10s:::jule -0.000197
8 2018-11-27 Fltnr_US_ILB_5s10s:::jule 0.000183
9 2018-11-28 Fltnr_US_ILB_5s10s:::jule -0.000122
10 2018-11-29 Fltnr_US_ILB_5s10s:::jule -0.0000894
11 2018-11-30 Fltnr_US_ILB_5s10s:::jule 0.000399
12 2018-12-03 Fltnr_US_ILB_5s10s:::jule 0.000413
13 2018-12-04 Fltnr_US_ILB_5s10s:::jule 0.000883
14 2018-12-05 Fltnr_US_ILB_5s10s:::jule 0
15 2018-12-06 Fltnr_US_ILB_5s10s:::jule 0.000419
16 2018-12-07 Fltnr_US_ILB_5s10s:::jule 0
17 2018-11-16 L_ES_S_BE_10y:::eve 0.000535
18 2018-11-19 L_ES_S_BE_10y:::eve 0.000793
19 2018-11-20 L_ES_S_BE_10y:::eve -0.00126
20 2018-11-21 L_ES_S_BE_10y:::eve 0.00160
21 2018-11-22 L_ES_S_BE_10y:::eve -0.0000857
22 2018-11-23 L_ES_S_BE_10y:::eve -0.00163
23 2018-11-26 L_ES_S_BE_10y:::eve 0.00694
24 2018-11-27 L_ES_S_BE_10y:::eve -0.000511
25 2018-11-28 L_ES_S_BE_10y:::eve 0.000877
26 2018-11-29 L_ES_S_BE_10y:::eve 0.000379
27 2018-11-30 L_ES_S_BE_10y:::eve -0.000144
28 2018-12-03 L_ES_S_BE_10y:::eve 0.00161
29 2018-12-04 L_ES_S_BE_10y:::eve -0.00154
30 2018-12-05 L_ES_S_BE_10y:::eve 0.00248
31 2018-12-06 L_ES_S_BE_10y:::eve -0.00223
32 2018-12-07 L_ES_S_BE_10y:::eve 0
33 2018-11-16 L_EUR:::kev 0.00658
34 2018-11-19 L_EUR:::kev 0.00412
35 2018-11-20 L_EUR:::kev -0.00254
36 2018-11-21 L_EUR:::kev -0.00160
37 2018-11-22 L_EUR:::kev 0.000104
38 2018-11-23 L_EUR:::kev -0.00405
39 2018-11-26 L_EUR:::kev -0.000353
40 2018-11-27 L_EUR:::kev -0.00216
41 2018-11-28 L_EUR:::kev 0.00610
42 2018-11-29 L_EUR:::kev 0.00256
43 2018-11-30 L_EUR:::kev -0.00636
44 2018-12-03 L_EUR:::kev -0.000333
45 2018-12-04 L_EUR:::kev 0.00123
46 2018-12-05 L_EUR:::kev 0.00347
47 2018-12-06 L_EUR:::kev 0.00356
48 2018-12-07 L_EUR:::kev 0.000426
49 2018-11-16 L_Nikkei_eg_chgsize:::ben -0.00565
50 2018-11-19 L_Nikkei_eg_chgsize:::ben 0.00650
51 2018-11-20 L_Nikkei_eg_chgsize:::ben -0.0109
52 2018-11-21 L_Nikkei_eg_chgsize:::ben -0.00350
53 2018-11-22 L_Nikkei_eg_chgsize:::ben 0.00646
54 2018-11-23 L_Nikkei_eg_chgsize:::ben 0
55 2018-11-26 L_Nikkei_eg_chgsize:::ben 0.00764
56 2018-11-27 L_Nikkei_eg_chgsize:::ben 0.00644
57 2018-11-28 L_Nikkei_eg_chgsize:::ben 0.0102
58 2018-11-29 L_Nikkei_eg_chgsize:::ben 0.00386
59 2018-11-30 L_Nikkei_eg_chgsize:::ben 0.00397
60 2018-12-03 L_Nikkei_eg_chgsize:::ben 0.0100
61 2018-12-04 L_Nikkei_eg_chgsize:::ben -0.0239
62 2018-12-05 L_Nikkei_eg_chgsize:::ben -0.00530
63 2018-12-06 L_Nikkei_eg_chgsize:::ben -0.0191
64 2018-12-07 L_Nikkei_eg_chgsize:::ben 0.00104
65 2018-11-16 L_STOXX_S_FTSE:::eve 0.000429
66 2018-11-19 L_STOXX_S_FTSE:::eve -0.00456
67 2018-11-20 L_STOXX_S_FTSE:::eve -0.00644
68 2018-11-21 L_STOXX_S_FTSE:::eve -0.00258
69 2018-11-22 L_STOXX_S_FTSE:::eve 0.00412
70 2018-11-23 L_STOXX_S_FTSE:::eve 0.00444
71 2018-11-26 L_STOXX_S_FTSE:::eve -0.000642
72 2018-11-27 L_STOXX_S_FTSE:::eve 0.000739
73 2018-11-28 L_STOXX_S_FTSE:::eve 0.00235
74 2018-11-29 L_STOXX_S_FTSE:::eve -0.00306
75 2018-11-30 L_STOXX_S_FTSE:::eve 0.00802
76 2018-12-03 L_STOXX_S_FTSE:::eve 0.00142
77 2018-12-04 L_STOXX_S_FTSE:::eve -0.00239
78 2018-12-05 L_STOXX_S_FTSE:::eve 0.00215
79 2018-12-06 L_STOXX_S_FTSE:::eve -0.00165
80 2018-12-07 L_STOXX_S_FTSE:::eve 0
81 2018-11-16 L_US_BreakE_10y:::jule 0
82 2018-11-19 L_US_BreakE_10y:::jule 0
83 2018-11-20 L_US_BreakE_10y:::jule 0
84 2018-11-21 L_US_BreakE_10y:::jule 0
85 2018-11-22 L_US_BreakE_10y:::jule 0
86 2018-11-23 L_US_BreakE_10y:::jule 0
87 2018-11-26 L_US_BreakE_10y:::jule 0
88 2018-11-27 L_US_BreakE_10y:::jule 0
89 2018-11-28 L_US_BreakE_10y:::jule 0
90 2018-11-29 L_US_BreakE_10y:::jule 0
91 2018-11-30 L_US_BreakE_10y:::jule 0
92 2018-12-03 L_US_BreakE_10y:::jule 0
93 2018-12-04 L_US_BreakE_10y:::jule 0
94 2018-12-05 L_US_BreakE_10y:::jule 0
95 2018-12-06 L_US_BreakE_10y:::jule 0
96 2018-12-07 L_US_BreakE_10y:::jule 0
97 2018-11-16 S_DE_10y_fut:::eve 0
98 2018-11-19 S_DE_10y_fut:::eve 0
99 2018-11-20 S_DE_10y_fut:::eve 0
100 2018-11-21 S_DE_10y_fut:::eve 0
101 2018-11-22 S_DE_10y_fut:::eve 0
102 2018-11-23 S_DE_10y_fut:::eve 0
103 2018-11-26 S_DE_10y_fut:::eve 0
104 2018-11-27 S_DE_10y_fut:::eve 0
105 2018-11-28 S_DE_10y_fut:::eve 0
106 2018-11-29 S_DE_10y_fut:::eve 0
107 2018-11-30 S_DE_10y_fut:::eve 0
108 2018-12-03 S_DE_10y_fut:::eve 0
109 2018-12-04 S_DE_10y_fut:::eve 0
110 2018-12-05 S_DE_10y_fut:::eve 0
111 2018-12-06 S_DE_10y_fut:::eve 0
112 2018-12-07 S_DE_10y_fut:::eve 0
113 2018-11-16 S_US_IG_CDS:::ben 0.000428
114 2018-11-19 S_US_IG_CDS:::ben 0.000980
115 2018-11-20 S_US_IG_CDS:::ben 0.000913
116 2018-11-21 S_US_IG_CDS:::ben -0.000545
117 2018-11-22 S_US_IG_CDS:::ben 0
118 2018-11-23 S_US_IG_CDS:::ben 0.000771
119 2018-11-26 S_US_IG_CDS:::ben -0.000832
120 2018-11-27 S_US_IG_CDS:::ben -0.000299
121 2018-11-28 S_US_IG_CDS:::ben -0.00234
122 2018-11-29 S_US_IG_CDS:::ben 0.000335
123 2018-11-30 S_US_IG_CDS:::ben 0.000198
124 2018-12-03 S_US_IG_CDS:::ben -0.000569
125 2018-12-04 S_US_IG_CDS:::ben 0.00210
126 2018-12-05 S_US_IG_CDS:::ben -0.0000954
127 2018-12-06 S_US_IG_CDS:::ben -0.0000639
128 2018-12-07 S_US_IG_CDS:::ben 0
129 2018-11-16 S_US_ILB:::ben -0.00509
130 2018-11-19 S_US_ILB:::ben 0.000618
131 2018-11-20 S_US_ILB:::ben 0.000692
132 2018-11-21 S_US_ILB:::ben 0.000870
133 2018-11-22 S_US_ILB:::ben 0
134 2018-11-23 S_US_ILB:::ben 0.000811
135 2018-11-26 S_US_ILB:::ben 0.00128
136 2018-11-27 S_US_ILB:::ben 0.00237
137 2018-11-28 S_US_ILB:::ben -0.00292
138 2018-11-29 S_US_ILB:::ben -0.00387
139 2018-11-30 S_US_ILB:::ben -0.00201
140 2018-12-03 S_US_ILB:::ben -0.000770
141 2018-12-04 S_US_ILB:::ben -0.00350
142 2018-12-05 S_US_ILB:::ben 0
143 2018-12-06 S_US_ILB:::ben -0.000757
144 2018-12-07 S_US_ILB:::ben 0
145 2018-11-16 Stpnr_Euribor_3-7:::eve 0.000000135
146 2018-11-19 Stpnr_Euribor_3-7:::eve -0.000000135
147 2018-11-20 Stpnr_Euribor_3-7:::eve -0.0000501
148 2018-11-21 Stpnr_Euribor_3-7:::eve 0
149 2018-11-22 Stpnr_Euribor_3-7:::eve -0.0000500
150 2018-11-23 Stpnr_Euribor_3-7:::eve -0.0001000
151 2018-11-26 Stpnr_Euribor_3-7:::eve 0.0000500
152 2018-11-27 Stpnr_Euribor_3-7:::eve -0.0000501
153 2018-11-28 Stpnr_Euribor_3-7:::eve 0
154 2018-11-29 Stpnr_Euribor_3-7:::eve -0.000200
155 2018-11-30 Stpnr_Euribor_3-7:::eve -0.0000999
156 2018-12-03 Stpnr_Euribor_3-7:::eve 0
157 2018-12-04 Stpnr_Euribor_3-7:::eve -0.000200
158 2018-12-05 Stpnr_Euribor_3-7:::eve 0.000150
159 2018-12-06 Stpnr_Euribor_3-7:::eve -0.000150
160 2018-12-07 Stpnr_Euribor_3-7:::eve 0.0000501
161 2018-11-16 Stpnr_JP_10s30s:::ben 0.000157
162 2018-11-19 Stpnr_JP_10s30s:::ben -0.0000724
163 2018-11-20 Stpnr_JP_10s30s:::ben -0.000232
164 2018-11-21 Stpnr_JP_10s30s:::ben -0.000377
165 2018-11-22 Stpnr_JP_10s30s:::ben -0.000301
166 2018-11-23 Stpnr_JP_10s30s:::ben 0.000000868
167 2018-11-26 Stpnr_JP_10s30s:::ben -0.0000779
168 2018-11-27 Stpnr_JP_10s30s:::ben -0.000277
169 2018-11-28 Stpnr_JP_10s30s:::ben -0.0000129
170 2018-11-29 Stpnr_JP_10s30s:::ben 0.000371
171 2018-11-30 Stpnr_JP_10s30s:::ben -0.000385
172 2018-12-03 Stpnr_JP_10s30s:::ben 0.000328
173 2018-12-04 Stpnr_JP_10s30s:::ben -0.000769
174 2018-12-05 Stpnr_JP_10s30s:::ben 0.000336
175 2018-12-06 Stpnr_JP_10s30s:::ben 0.00112
176 2018-12-07 Stpnr_JP_10s30s:::ben 0 ", stringsAsFactors = FALSE)
curr_wt <- read.table(text = " date strategy size
1 2018-01-05 Fltnr_US_ILB_5s10s:::jule 0.0111
2 2018-01-05 L_ES_S_BE_10y:::eve 0.00992
3 2018-01-05 L_EUR:::kev 0.0241
4 2018-01-05 L_Nikkei_eg_chgsize:::ben 0.0023
5 2018-01-05 L_STOXX_S_FTSE:::eve 0.005
6 2018-01-05 S_US_IG_CDS:::ben 0.0177
7 2018-01-05 S_US_ILB:::ben 0.00575
8 2018-01-05 Stpnr_Euribor_3-7:::eve 0.0767
9 2018-01-05 Stpnr_JP_10s30s:::ben 0.00383", stringsAsFactors = FALSE)
# I think is correct
correct_results <- read.table(text = " strategy correct_ar
1 Fltnr_US_ILB_5s10s:::jule -4.616408e-05
2 L_ES_S_BE_10y:::eve 1.848666e-04
3 L_EUR:::kev 1.116318e-03
4 L_Nikkei_eg_chgsize:::ben 1.471873e-04
5 L_STOXX_S_FTSE:::eve -2.185902e-05
6 S_US_IG_CDS:::ben -1.344843e-04
7 S_US_ILB:::ben -1.439085e-05
8 Stpnr_Euribor_3-7:::eve 6.078667e-05
9 Stpnr_JP_10s30s:::ben 9.748790e-06")
test_that("calc_active_risk runs properly, but gives warning as inputs less than 20",
expect_warning(calc_active_risk(unwt_return, curr_wt, as.Date("2018-11-17"), as.Date("2018-12-06")))
)
test_that("calc_active_risk gives error when periods less than 5",
expect_error(calc_active_risk(unwt_return, curr_wt, as.Date("2018-12-02"), as.Date("2018-12-06"))))
test_that("calc_active_risk gives expected numbers", {
expect_warning(output <- calc_active_risk(unwt_return, curr_wt, as.Date("2018-11-17"), as.Date("2018-12-06")))
expect_true(all(
output %>%
left_join(correct_results, by = "strategy") %>%
mutate(diff = abs(.data$correct_ar - .data$active_risk)) %>%
.$diff < 1e-9)
)
}
)
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