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braverock
GitHub Repository: braverock/portfolioanalytics
 Path: blob/master/inst/tests/test_demo_efficient_frontier.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/demo_efficient_frontier.R", package="PortfolioAnalytics"))

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context("mean-var efficient frontier")

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test_that("meanvar.ef$frontier has 25 rows", 

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          { expect_equal(nrow(meanvar.ef$frontier), 25) })

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test_that("colnames(meanvar.ef$frontier) are consistent", 

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          { expect_equal(colnames(meanvar.ef$frontier), c("mean", "StdDev", "out", "w.CA", "w.CTAG", "w.DS", "w.EM", "w.EQM")) })

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test_that("first row of meanvar.ef$frontier is consistent", 

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          { expect_equal(as.numeric(meanvar.ef$frontier[1,]), c(0.006765658, 0.01334460, 178.0782, 0.15, 0.15, 0.15, 0.15, 0.4), 

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                         tolerance=1e-6) })

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test_that("last row of meanvar.ef$frontier is consistent", 

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          { expect_equal(as.numeric(meanvar.ef$frontier[25,]), c(0.007326513, 0.02070151, 428.5526, 0.15, 0.15, 0.15, 0.4, 0.15),

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                         tolerance=1e-6) })

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context("mean-etl efficient frontier")

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test_that("meanetl.ef$frontier has 25 rows", 

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          { expect_equal(nrow(meanetl.ef$frontier), 25) })

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test_that("colnames(meanetl.ef$frontier) are consistent", 

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          { expect_equal(colnames(meanetl.ef$frontier), c("mean", "ES", "out", "w.CA", "w.CTAG", "w.DS", "w.EM", "w.EQM")) })

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test_that("first row of meanetl.ef$frontier is consistent", 

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          { expect_equal(as.numeric(meanetl.ef$frontier[1,]), c(0.006887368, 0.02637039, 0.02637039, 0.15, 0.4, 0.15, 0.15, 0.15),

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                         tolerance=1e-6) })

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test_that("last row of meanetl.ef$frontier is consistent", 

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          { expect_equal(as.numeric(meanetl.ef$frontier[25,]), c(0.007326513, 0.04642908, 0.04642908, 0.15, 0.15, 0.15, 0.4, 0.15),

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                         tolerance=1e-6) })

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