inst/RUnit/runit.COPPosterior.r

In BLCOP: Black-Litterman and copula-opinion pooling frameworks

test.COPPosterior <- function()
{
    if(!require("sn", quiet = TRUE))
	{
		warning("This test relies on the sn package which is not available \n")
		return()
	}
	NUMTESTSIMULATIONS <- 1000
    .unitTestPath <- BLCOPOptions("unitTestPath")
    testEnvironment <- new.env()
    dispersion <- c(.376,.253,.360,.333,.360,.600,.397,.396,.578,.775) / 1000
    sigma <- BLCOP:::.symmetricMatrix(dispersion, dim = 4)
    caps <- rep(1/4, 4)
    mu <- 2.5 * sigma %*% caps
    dim(mu) <- NULL
    marketDistribution <- mvdistribution("mt", mean = mu, S = sigma, df = 5 )
    pick <- matrix(0, ncol = 4, nrow = 1, dimnames = list(NULL, c("SP", "FTSE", "CAC", "DAX")))
    pick[1,4] <- 1
    vdist <- list(distribution("unif", min = -0.02, max = 0))

    views <- COPViews(pick, vdist, 0.2, c("SP", "FTSE", "CAC", "DAX"))
    tmp <- load(file.path(.unitTestPath, "posteriorsims.RData"))
    assign(tmp, value = get(tmp), envir = testEnvironment)
    set.seed(3)
    posterior <- COPPosterior(marketDistribution, views, numSimulations = NUMTESTSIMULATIONS)
    # TODO: check why this is not exactly equal
    checkEquals(posterior@posteriorSims, testEnvironment$posteriorSims, tol = 1.5)
	
	checkEquals(colnames(posterior@posteriorSims), assetSet(views))
	rm(testEnvironment)
}

test.COPPosteriorExtractors <- function()
{
	if(!require("sn", quiet = TRUE))
	{
		warning("This test relies on the sn package which is not available \n")
		return()
	}
	NUMTESTSIMULATIONS <- 1000
	dispersion <- c(.376,.253,.360,.333,.360,.600,.397,.396,.578,.775) / 1000
	sigma <- BLCOP:::.symmetricMatrix(dispersion, dim = 4)
	caps <- rep(1/4, 4)
	mu <- 2.5 * sigma %*% caps
	dim(mu) <- NULL
	marketDistribution <- mvdistribution("mt", mean = mu, S = sigma, df = 5 )
	pick <- matrix(0, ncol = 4, nrow = 1, dimnames = list(NULL, c("SP", "FTSE", "CAC", "DAX")))
	pick[1,4] <- 1
	vdist <- list(distribution("unif", min = -0.02, max = 0))
	
	views <- COPViews(pick, vdist, 0.2, c("SP", "FTSE", "CAC", "DAX"))
	# test posterior extractor functions
	posterior <- COPPosterior(marketDistribution, views, numSimulations = NUMTESTSIMULATIONS)
	checkEquals(posteriorSimulations(posterior), posterior@posteriorSims)
	checkEquals(numSimulations(posterior), NUMTESTSIMULATIONS)
	
	checkEquals(priorViews(posterior), views)
}