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

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require(PortfolioAnalytics)

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context("random portfolios sample method")

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data(edhec)

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ret <- edhec[, 1:4]

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funds <- colnames(ret)

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

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init.portf <- add.constraint(init.portf, type="weight_sum", 

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                             min_sum=0.99, max_sum=1.01)

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init.portf <- add.constraint(init.portf, type="box", 

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                             min=-0.3, max=0.65)

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# generate portfolios to satisfy weight_sum and box constraints

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rp1 <- random_portfolios(init.portf, 1000, eliminate=FALSE)

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test_that("we have created at least 1 feasible portfolio to satisfy weight_sum and box constraints", {

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  expect_that(any(apply(rp1, 1, PortfolioAnalytics:::check_constraints, portfolio=group.portf)), is_true())

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})

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# portfolio with group constraints

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group.portf <- add.constraint(init.portf, type="group", 

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                              groups=list(1:2,3:4), 

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                              group_min=c(0.08, 0.05), 

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                              group_max=c(0.55, 0.85),

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                              group_pos=c(2,2))

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# generate portfolios to satisfy weight_sum, box, and group constraints

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rp2 <- random_portfolios(group.portf, 1000, eliminate=FALSE)

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test_that("we have created at least 1 feasible portfolio to satisfy weight_sum, box, and group constraints", {

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  expect_that(any(apply(rp2, 1, PortfolioAnalytics:::check_constraints, portfolio=group.portf)), is_true())

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})

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# add leverage exposure constraint

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lev.portf <- add.constraint(init.portf, type="leverage_exposure", 

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                            leverage=1.6)

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# generate portfolios to satisfy weight_sum, box, and leverage constraints

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rp3 <- random_portfolios(lev.portf, 1000, eliminate=FALSE)

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test_that("we have created at least 1 feasible portfolio to satisfy weight_sum, box, and leverage constraints", {

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  expect_that(any(apply(rp3, 1, PortfolioAnalytics:::check_constraints, portfolio=group.portf)), is_true())

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})

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# add position limit constraint

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pos1.portf <- add.constraint(init.portf, type="position_limit", 

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                             max_pos=3)

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# generate portfolios to satisfy weight_sum, box, and position limit constraints

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rp4 <- random_portfolios(pos1.portf, 1000, eliminate=FALSE)

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test_that("we have created at least 1 feasible portfolio to satisfy weight_sum, box, and position limit constraints", {

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  expect_that(any(apply(rp4, 1, PortfolioAnalytics:::check_constraints, portfolio=group.portf)), is_true())

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})

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# add position limit constraint with long and short position limits

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pos2.portf <- add.constraint(init.portf, type="position_limit", 

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                       max_pos_long=3, max_pos_short=1)

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# generate portfolios to satisfy weight_sum, box, and position limit constraints

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rp5 <- random_portfolios(pos2.portf, 1000, eliminate=FALSE)

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test_that("we have created at least 1 feasible portfolio to satisfy weight_sum, box, and long/short position limit constraints", {

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  expect_that(any(apply(rp5, 1, PortfolioAnalytics:::check_constraints, portfolio=group.portf)), is_true())

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})

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