test: update single period EF tests

Author: chilango74

okama/frontier/single_period.py

@@ -1055,16 +1055,16 @@ def plot_cml(self, rf_return: float = 0, figsize: Optional[tuple] = None):
         tg = self.get_tangency_portfolio(rf_return)
         fig, ax = plt.subplots(figsize=figsize)
         ax.plot(ef.Risk, ef["Mean return"], color="black")
-        ax.scatter(tg["Risk"], tg["Mean_return"], linewidth=0, color="green", zorder=10)
+        ax.scatter(tg["Risk"], tg["Rate_of_return"], linewidth=0, color="green", zorder=10)
         ax.annotate(
             "MSR",
-            (tg["Risk"], tg["Mean_return"]),
+            (tg["Risk"], tg["Rate_of_return"]),
             textcoords="offset points",  # how to position the text
             xytext=(-10, 10),  # distance from text to points (x,y)
             ha="center",  # horizontal alignment can be left, right or center
         )
         # plot the line
-        x, y = [0, tg["Risk"]], [rf_return, tg["Mean_return"]]
+        x, y = [0, tg["Risk"]], [rf_return, tg["Rate_of_return"]]
         ax.plot(x, y, linewidth=1)
         # set the axis size
         risk_monthly = self.assets_ror.std()

tests/test_asset.py

@@ -40,8 +40,8 @@ def test_close_monthly(init_asset_spy):
     assert init_asset_spy.close_monthly.loc["2000-01"] == 139.625  # changed in 2022 MAY from 139.5625
 
 
-def test_adj_close(init_asset_spy):
-    assert init_asset_spy.adj_close.loc["2000-01-20"] == approx(97.0629, rel=1e-2)
+def test_adj_close(init_asset_pif):
+    assert init_asset_pif.adj_close.loc["2015-01-20"] == approx(3172.88, rel=1e-2)
 
 
 def test_price(init_asset_spy):

tests/test_asset_list.py

@@ -80,7 +80,7 @@ def test_make_asset_list(self):
         assert self.asset_list.assets_first_dates["MCFTR.INDX"].strftime("%Y-%m-%d") == "2003-03-01"
         last_year = int(self.asset_list.last_date.year)
         assert int(self.asset_list.assets_last_dates["MCFTR.INDX"].year) > last_year
-        assert self.asset_list.newest_asset == "RUB"
+        assert self.asset_list.newest_asset == "MCFTR.INDX"
         assert self.asset_list.eldest_asset == "RUB.FX"
         assert list(self.asset_list.assets_ror) == ["RUB.FX", "MCFTR.INDX"]
         assert self.asset_list.assets_ror.columns.name == "Symbols"

tests/test_frontier.py

@@ -111,13 +111,21 @@ def test_ef_points(init_efficient_frontier):
     assert init_efficient_frontier.ef_points["Mean return"].iloc[-1] == approx(0.20007879286573038, rel=1e-2)
 
 
+test_tangency_data = [
+    (False, [0.409596, 0.590404], 0.1627),   # cagr = False
+    (True, [0.424916, 0.575084], 0.15617)  # cagr = True
+]
+
+
+@pytest.mark.parametrize("cagr, expected_weights, expected_return",
+                         test_tangency_data,
+                         ids=["MSR Arithmetic mean", "MSR geometric mean"])
 @mark.frontier
-def test_get_tangency_portfolio(init_efficient_frontier):
+def test_get_tangency_portfolio(init_efficient_frontier, cagr, expected_weights, expected_return):
     rf_rate = 0.05
-    dic = init_efficient_frontier.get_tangency_portfolio(rf_return=rf_rate)
-    expected = [0.409596, 0.590404]
-    assert_allclose(dic["Weights"], expected, atol=1e-2)
-    assert dic["Mean_return"] == approx(0.1627, rel=1e-2)
+    dic = init_efficient_frontier.get_tangency_portfolio(cagr=cagr, rf_return=rf_rate)
+    assert_allclose(dic["Weights"], expected_weights, atol=1e-2)
+    assert dic["Rate_of_return"] == approx(expected_return, rel=1e-2)
 
 
 @mark.frontier