Book a Demo!
CoCalc Logo Icon
StoreFeaturesDocsShareSupportNewsAboutPoliciesSign UpSign In
braverock
GitHub Repository: braverock/portfolioanalytics
 Path: blob/master/inst/tests/test_demo_min_expected_shortfall.R
1433 views
1


2
##### Load packages #####

3
require(testthat)

4
require(PortfolioAnalytics)

5


6
##### Source Demo Script #####

7
source(system.file("demo/demo_min_expected_shortfall.R", package="PortfolioAnalytics"))

8


9
context("demo_min_expected_shortfall")

10


11
###### ROI, full_investment, long only, min ES ######

12
context("minES.lo.ROI")

13


14
test_that("minES.lo.ROI contains ES as an objective", 

15
          { expect_that(minES.lo.ROI$portfolio$objectives[[1]]$name == "ES", is_true()) })

16


17
test_that("minES.lo.ROI ES objective p=0.9", 

18
          { expect_equal(minES.lo.ROI$portfolio$objectives[[1]]$arguments$p, 0.9) })

19


20
test_that("minES.lo.ROI objective measure ES = 0.01013571", 

21
          { expect_equal(extractObjectiveMeasures(minES.lo.ROI)$ES, 0.01013571, tolerance=1e-6) })

22


23
test_that("minES.lo.ROI min box constraints are not violated", 

24
          { expect_that(all(extractWeights(minES.lo.ROI) >= minES.lo.ROI$portfolio$constraints[[2]]$min), is_true()) })

25


26
test_that("minES.lo.ROI max box constraints are not violated", 

27
          { expect_that(all(extractWeights(minES.lo.ROI) <= minES.lo.ROI$portfolio$constraints[[2]]$max), is_true()) })

28


29
###### ROI, full_investment, long only, min ES ######

30
context("minES.box.ROI")

31


32
test_that("minES.box.ROI contains ES as an objective", 

33
          { expect_that(minES.box.ROI$portfolio$objectives[[1]]$name == "ES", is_true()) })

34


35
test_that("minES.box.ROI ES objective p=0.9", 

36
          { expect_equal(minES.box.ROI$portfolio$objectives[[1]]$arguments$p, 0.9) })

37


38
test_that("minES.box.ROI objective measure ES = 0.01477709", 

39
          { expect_equal(as.numeric(extractObjectiveMeasures(minES.box.ROI)$ES), 0.01477709, tolerance=1e-6) })

40


41
test_that("minES.box.ROI min box constraints are not violated", 

42
          { expect_that(all(extractWeights(minES.box.ROI) >= minES.box.ROI$portfolio$constraints[[2]]$min), is_true()) })

43


44
test_that("minES.box.ROI max box constraints are not violated", 

45
          { expect_that(all(extractWeights(minES.box.ROI) <= minES.box.ROI$portfolio$constraints[[2]]$max), is_true()) })

46


47
###### RP, full_investment, box, min ES ######

48
context("minES.box1.RP")

49


50
test_that("minES.box1.RP contains ES as an objective", 

51
          { expect_that(minES.box1.RP$portfolio$objectives[[1]]$name == "ES", is_true()) })

52


53
test_that("minES.box1.RP ES objective p=0.9", 

54
          { expect_equal(minES.box1.RP$portfolio$objectives[[1]]$arguments$p, 0.9) })

55


56
test_that("minES.box1.RP contains mean as an objective", 

57
          { expect_that(minES.box1.RP$portfolio$objectives[[2]]$name == "mean", is_true()) })

58


59
test_that("minES.box1.RP objective measure ES is numeric", 

60
          { expect_that(is.numeric(extractObjectiveMeasures(minES.box1.RP)$ES), is_true()) })

61


62
test_that("minES.box1.RP objective measure mean is numeric", 

63
          { expect_that(is.numeric(extractObjectiveMeasures(minES.box1.RP)$mean), is_true()) })

64


65
test_that("minES.box1.RP min box constraints are not violated", 

66
          { expect_that(all(extractWeights(minES.box1.RP) >= minES.box1.RP$portfolio$constraints[[2]]$min), is_true()) })

67


68
test_that("minES.box1.RP max box constraints are not violated", 

69
          { expect_that(all(extractWeights(minES.box1.RP) <= minES.box1.RP$portfolio$constraints[[2]]$max), is_true()) })

70


71
###### RP, full_investment, box, min ES ######

72
context("minES.box2.RP")

73


74
test_that("minES.box2.RP contains ES as an objective", 

75
          { expect_that(minES.box2.RP$portfolio$objectives[[1]]$name == "ES", is_true()) })

76


77
test_that("minES.box2.RP ES objective p=0.9", 

78
          { expect_equal(minES.box2.RP$portfolio$objectives[[1]]$arguments$p, 0.9) })

79


80
test_that("minES.box2.RP contains mean as an objective", 

81
          { expect_that(minES.box2.RP$portfolio$objectives[[2]]$name == "mean", is_true()) })

82


83
test_that("minES.box2.RP objective measure ES is numeric", 

84
          { expect_that(is.numeric(extractObjectiveMeasures(minES.box2.RP)$ES), is_true()) })

85


86
test_that("minES.box2.RP objective measure mean is numeric", 

87
          { expect_that(is.numeric(extractObjectiveMeasures(minES.box2.RP)$mean), is_true()) })

88


89
test_that("minES.box2.RP min box constraints are not violated", 

90
          { expect_that(all(extractWeights(minES.box2.RP) >= minES.box2.RP$portfolio$constraints[[2]]$min), is_true()) })

91


92
test_that("minES.box2.RP max box constraints are not violated", 

93
          { expect_that(all(extractWeights(minES.box2.RP) <= minES.box2.RP$portfolio$constraints[[2]]$max), is_true()) })

94


95
###### DE, full_investment, box, min ES ######

96
context("minES.box1.DE")

97


98
test_that("minES.box.DE contains ES as an objective", 

99
          { expect_that(minES.box.DE$portfolio$objectives[[1]]$name == "ES", is_true()) })

100


101
test_that("minES.box.DE ES objective p=0.9", 

102
          { expect_equal(minES.box.DE$portfolio$objectives[[1]]$arguments$p, 0.9) })

103


104
test_that("minES.box2.DE contains mean as an objective", 

105
          { expect_that(minES.box.DE$portfolio$objectives[[2]]$name == "mean", is_true()) })

106


107
test_that("minES.box.DE objective measure ES is numeric", 

108
          { expect_that(is.numeric(extractObjectiveMeasures(minES.box.DE)$ES), is_true()) })

109


110
test_that("minES.box.DE objective measure mean is numeric", 

111
          { expect_that(is.numeric(extractObjectiveMeasures(minES.box.DE)$mean), is_true()) })

112


113
test_that("minES.box.DE min box constraints are not violated", 

114
          { expect_that(all(extractWeights(minES.box.DE) >= minES.box.DE$portfolio$constraints[[2]]$min), is_true()) })

115


116
test_that("minES.box.DE max box constraints are not violated", 

117
          { expect_that(all(extractWeights(minES.box.DE) <= minES.box.DE$portfolio$constraints[[2]]$max), is_true()) })

118


119


120


121