Nothing
test.addBLViews <- function()
{
# very simple case first
stocks <- colnames(monthlyReturns)
viewInput <- matrix(0, ncol = 6, nrow = 2, dimnames = list(NULL, stocks))
viewInput[1,"IBM"] <- 1
viewInput[1, "DELL"] <- 0.04
viewInput[2, "C"] <- 1
viewInput[2, "JPM"] <- 0.6
confidences <- 1 / c(0.7, 0.1)
views <- new("BLViews", P = viewInput, qv = c(1,1) ,
confidences = confidences, assets = stocks)
x <- BLViews(P = viewInput, confidences = confidences, q = c(1,1), assetNames = stocks)
checkEquals(x, views)
pick <- matrix(0, ncol = 2, nrow = 1, dimnames = list(NULL, c("MS", "BAC")))
pick[1, "MS"] <- 1
pick[1, "BAC"] <- 0.01
x <- addBLViews(pick, 0.15, 1/ 0.03 , views = x)
views2 <- BLViews(P = matrix(0,nrow = 3, ncol = 6, dimnames=list(NULL,stocks)),
q = rep(0, 3), confidences = 1 / c(0.7,0.1,0.03),stocks)
views2@P[1:2,] <- viewInput
views2@P[3, c("MS", "BAC")] <- c(1, 0.01)
views2@qv <- c(1,1,0.15)
checkEquals(x, views2)
}
test.addCOPViews <- function()
{
stocks <- colnames(monthlyReturns)
viewInput <- matrix(0, ncol = 6, nrow = 2, dimnames = list(NULL, stocks))
viewInput[1,"IBM"] <- 1
viewInput[1, "DELL"] <- 0.04
viewInput[2, "C"] <- 1
viewInput[2, "JPM"] <- 0.6
confidences <- c(0.7, 0.1)
viewDist <- list(distribution("unif", min = 0.04, max = 0.1), distribution("norm", sd = 10, mean = 0.05))
views1 <- COPViews(viewInput, viewDist, confidences, stocks)
views2 <- new("COPViews", pick = viewInput, viewDist = viewDist, confidences = confidences, assets = stocks)
checkEquals(views1, views2)
pick <- matrix(0, ncol = 2, nrow = 1, dimnames = list(NULL, c("MS", "BAC")))
pick[1, "MS"] <- 1
pick[1, "BAC"] <- 0.01
if(!require("sn", quiet = TRUE))
{
warning("The next tests require the sn package, which could not be loaded \n")
return()
}
viewDist2 <- list(distribution("sn", location = 0.05, scale = 10, shape = 0.001))
views1 <- addCOPViews(pick, viewDist2, 0.4, views1 )
views2 <- COPViews(pickMatrix = matrix(0, ncol = 6, nrow = 3, dimnames = list(NULL, stocks)),
c(viewDist, viewDist2), c(confidences, 0.4), stocks )
views2@pick[1:2,] <- viewInput
views2@pick[3, c("MS", "BAC")] <- c(1, 0.01)
checkEquals(views1, views2)
}
test.newPMatrix <- function()
{
x <- newPMatrix(c("DAX", "FTSE", "CAC"), 2)
checkEquals(x, matrix(0, ncol = 3, nrow = 2, dimnames = list(NULL, c("DAX", "FTSE", "CAC"))))
}
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