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braverock
GitHub Repository: braverock/portfolioanalytics
 Path: blob/master/inst/tests/test_objectives.R
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require(testthat)

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require(PortfolioAnalytics)

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context("objectives")

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N <- 4

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init.portf <- portfolio.spec(assets=N)

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init.portf <- add.objective(portfolio=init.portf, type="return", name="mean", target=0.005)

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init.portf <- add.objective(portfolio=init.portf, type="risk", name="ES", arguments=list(p=0.95))

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init.portf <- add.objective(portfolio=init.portf, type="risk_budget", name="ES")

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test_that("return objective is consistent", {

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  expect_that(init.portf$objectives[[1]]$name, equals("mean"))

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  expect_that(init.portf$objectives[[1]]$target, equals(0.005))

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  expect_that(init.portf$objectives[[1]]$enabled, is_true())

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  expect_that(init.portf$objectives[[1]]$multiplier, equals(-1))

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  expect_that(class(init.portf$objectives[[1]]), equals(c("return_objective", "objective")))

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})

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test_that("risk objective is consistent", {

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  expect_that(init.portf$objectives[[2]]$name, equals("ES"))

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  expect_that(is.null(init.portf$objectives[[2]]$target), is_true())

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  expect_that(init.portf$objectives[[2]]$arguments$portfolio_method, equals("single"))

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  expect_that(init.portf$objectives[[2]]$arguments$p, equals(0.95))

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  expect_that(init.portf$objectives[[2]]$enabled, is_true())

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  expect_that(init.portf$objectives[[2]]$multiplier, equals(1))

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  expect_that(class(init.portf$objectives[[2]]), equals(c("portfolio_risk_objective", "objective")))

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})

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test_that("risk objective is consistent", {

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  expect_that(init.portf$objectives[[3]]$name, equals("ES"))

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  expect_that(is.null(init.portf$objectives[[3]]$target), is_true())

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  expect_that(init.portf$objectives[[3]]$arguments$portfolio_method, equals("component"))

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  expect_that(init.portf$objectives[[3]]$enabled, is_true())

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  expect_that(init.portf$objectives[[3]]$multiplier, equals(1))

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  expect_that(init.portf$objectives[[3]]$min_concentration, is_true())

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  expect_that(init.portf$objectives[[3]]$min_difference, is_false())

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  expect_that(class(init.portf$objectives[[3]]), equals(c("risk_budget_objective", "objective")))

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})

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