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braverock
GitHub Repository: braverock/portfolioanalytics
 Path: blob/master/inst/tests/test_backwards_compat.R
1433 views
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##### Load packages #####

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require(testthat)

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require(PortfolioAnalytics)

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##### Source Demo Script #####

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source(system.file("demo/backwards_compat.R", package="PortfolioAnalytics"))

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context("Backwards compatibility is maintained")

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# class

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test_that("Class of gen.constr is v1_constraint", 

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          { expect_that(inherits(gen.constr, "v1_constraint"), is_true()) })

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# assets

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test_that("Initial assets form an equal weight portfolio", 

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          { expect_that(all.equal(as.numeric(gen.constr$assets), rep(1/4, 4)), is_true()) })

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# min

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test_that("Box constraints min vector is all 0s", 

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          { expect_that(all.equal(as.numeric(gen.constr$min), rep(0, 4)), is_true()) })

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# max

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test_that("Box constraints max vector is all 0.55", 

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          { expect_that(all.equal(as.numeric(gen.constr$max), rep(0.55, 4)), is_true()) })

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# min_mult

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test_that("min_mult is null", 

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          { expect_that(is.null(gen.constr$min_mult), is_true()) })

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# max_mult

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test_that("max_mult is null", 

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          { expect_that(is.null(gen.constr$max_mult), is_true()) })

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# min_sum

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test_that("min_sum is 0.99", 

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          { expect_that(all.equal(gen.constr$min_sum, 0.99), is_true()) })

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# max_sum

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test_that("min_sum is 1.01", 

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          { expect_that(all.equal(gen.constr$max_sum, 1.01), is_true()) })

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# mean objective

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test_that("The objective name is 'mean'", 

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          { expect_that(all.equal(gen.constr$objectives[[1]]$name, "mean"), is_true()) })

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context("Optimization output")

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# Not sure how to test for exact values of optimization results for DEoptim

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# and random portfolios

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# - use a specific data set of rp weights

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# random portfolios optimization

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test_that("random portfolios updated portfolio object", 

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          { expect_that(inherits(optrpv1$portfolio, "portfolio.spec"), is_true()) })

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test_that("random portfolios returns optimal weights", 

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          { expect_that(is.numeric(extractWeights(optrpv1)), is_true()) })

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test_that("random portfolios returns an objective measure", 

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          { expect_that(is.numeric(extractObjectiveMeasures(optrpv1)$mean), is_true()) })

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# DEoptim optimization

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test_that("DE optim updated portfolio object", 

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          { expect_that(inherits(optdev1$portfolio, "portfolio.spec"), is_true()) })

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test_that("DE optim returns optimal weights", 

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          { expect_that(is.numeric(extractWeights(optdev1)), is_true()) })

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test_that("DE optim returns an objective measure", 

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          { expect_that(is.numeric(extractObjectiveMeasures(optdev1)$mean), is_true()) })

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# ROI optimization

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test_that("ROI updated portfolio object", 

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          { expect_that(inherits(optroiv1$portfolio, "portfolio.spec"), is_true()) })

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test_that("ROI returns optimal weights equal to c(0, 0, 0.46, 0.55)", 

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          { expect_equal(as.numeric(extractWeights(optroiv1)), c(0, 0, 0.46, 0.55)) })

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test_that("ROI returns an objective measure mean=0.008193842", 

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          { expect_equal(as.numeric(extractObjectiveMeasures(optroiv1)$mean), 0.008193842) })

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