Nothing
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)
}
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