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

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context("dollar neutral portfolio")

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test_that("dollar.neutral.portf min_sum constraint is -0.01", 

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          { expect_equal(dollar.neutral.portf$constraints[[1]]$min_sum, -0.01) })

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test_that("dollar.neutral.portf max_sum constraint is 0.01", 

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          { expect_equal(dollar.neutral.portf$constraints[[1]]$max_sum, 0.01) })

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test_that("dollar.neutral.portf leverage exposure constraint is 2", 

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          { expect_equal(dollar.neutral.portf$constraints[[3]]$leverage, 2) })

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test_that("dollar.neutral.portf weights is a numeric vector", 

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          { expect_that(is.numeric(extractWeights(dollar.neutral.opt)), is_true()) })

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test_that("dollar.neutral.portf leverage exposure constraint is not violated", 

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          { expect_that(sum(abs(extractWeights(dollar.neutral.opt))) <= 2, is_true()) })

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test_that("dollar.neutral.portf objective measure mean is numeric", 

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          { expect_that(is.numeric(extractObjectiveMeasures(dollar.neutral.opt)$mean), is_true()) })

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test_that("dollar.neutral.portf objective measure ES is numeric", 

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          { expect_that(is.numeric(extractObjectiveMeasures(dollar.neutral.opt)$ES), is_true()) })

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context("leveraged portfolio")

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test_that("leveraged.portf min_sum constraint is 0.99", 

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          { expect_equal(leveraged.portf$constraints[[1]]$min_sum, 0.99) })

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test_that("leveraged.portf max_sum constraint is 1.01", 

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          { expect_equal(leveraged.portf$constraints[[1]]$max_sum, 1.01) })

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test_that("leveraged.portf leverage exposure constraint is 1.6", 

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          { expect_equal(leveraged.portf$constraints[[3]]$leverage, 1.6) })

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test_that("leveraged.opt weights is a numeric vector", 

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          { expect_that(is.numeric(extractWeights(leveraged.opt)), is_true()) })

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test_that("leveraged.opt leverage exposure constraint is not violated", 

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          { expect_that(sum(abs(extractWeights(leveraged.opt))) <= 1.6, is_true()) })

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test_that("leveraged.opt objective measure mean is numeric", 

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

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test_that("leveraged.opt objective measure ES is numeric", 

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          { expect_that(is.numeric(extractObjectiveMeasures(leveraged.opt)$ES), is_true()) })

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