test: move PortfolioDCF tests to separate file

tests/test_cash_flow.py

@@ -0,0 +1,68 @@
+import numpy as np
+import pandas as pd
+import pytest
+from pytest import approx
+from pytest import mark
+from numpy.testing import assert_array_equal, assert_allclose
+from pandas.testing import assert_series_equal, assert_frame_equal
+
+import okama as ok
+from okama.common.error import LongRollingWindowLengthError, RollingWindowLengthBelowOneYearError
+
+from tests import conftest
+
+# DCF Methods
+def test_dcf_discount_rate(
+    portfolio_cashflows_inflation, portfolio_cashflows_NO_inflation, portfolio_cashflows_NO_inflation_NO_discount_rate
+):
+    assert portfolio_cashflows_inflation.discount_rate == approx(0.0554, abs=1e-3)  # average inflation
+    assert portfolio_cashflows_NO_inflation.discount_rate == approx(0.09, abs=1e-3)  # defined discount rate
+    assert portfolio_cashflows_NO_inflation_NO_discount_rate.discount_rate == approx(0.05, abs=1e-3)  # default rate
+
+
+def test_dcf_wealth_index(portfolio_cashflows_inflation, portfolio_cashflows_NO_inflation):
+    assert portfolio_cashflows_inflation.dcf.wealth_index.iloc[-1, 0] == approx(179950.30, rel=1e-2)
+    assert portfolio_cashflows_inflation.dcf.wealth_index.iloc[-1, 1] == approx(100050.78, rel=1e-2)
+    assert portfolio_cashflows_NO_inflation.dcf.wealth_index.iloc[-1, 0] == approx(152642.54, rel=1e-2)
+
+
+def test_dcf_survival_date(portfolio_cashflows_inflation):
+    assert portfolio_cashflows_inflation.dcf.survival_date_hist == pd.to_datetime("2020-01-31")
+
+
+def test_dcf_cashflow_pv(portfolio_cashflows_inflation, portfolio_cashflows_NO_inflation_NO_discount_rate):
+    assert portfolio_cashflows_inflation.dcf.cashflow_pv == approx(-76.33, rel=1e-2)
+    assert portfolio_cashflows_NO_inflation_NO_discount_rate.dcf.cashflow_pv == approx(-78.35, rel=1e-2)
+
+
+def test_dcf_initial_amount_pv(portfolio_cashflows_inflation, portfolio_cashflows_NO_inflation_NO_discount_rate):
+    assert portfolio_cashflows_inflation.dcf.initial_amount_pv == approx(76339.31, rel=1e-2)
+    assert portfolio_cashflows_NO_inflation_NO_discount_rate.dcf.initial_amount_pv == approx(78352.61, rel=1e-2)
+
+
+def test_dcf_survival_period(portfolio_cashflows_inflation):
+    assert portfolio_cashflows_inflation.dcf.survival_period_hist == approx(5.1, rel=1e-2)
+
+
+@mark.parametrize(
+    "distribution, expected",
+    [("norm", 93899.64), ("lognorm", 92155.15), ("t", 93123.36)],
+)
+def test_dcf_monte_carlo_wealth(portfolio_cashflows_inflation_large_cf, distribution, expected):
+    result = portfolio_cashflows_inflation_large_cf.dcf.monte_carlo_wealth(
+        first_value=100_000, distr=distribution, years=1, n=100
+    )
+    assert result.iloc[-1].mean() == approx(expected, rel=1e-1)
+
+
+@mark.parametrize(
+    "distribution, expected",
+    [("norm", 6.2), ("lognorm", 6.2), ("t", 5.9)],
+)
+def test_dcf_monte_carlo_survival_period(portfolio_cashflows_inflation_large_cf, distribution, expected):
+    result = portfolio_cashflows_inflation_large_cf.dcf.monte_carlo_survival_period(distr=distribution, years=25, n=100)
+    assert result.mean() == approx(expected, rel=1e-1)
+
+
+def test_find_the_largest_withdrawals_size():
+    assert False

tests/test_portfolio.py

@@ -375,55 +375,3 @@ def test_init_portfolio_failing():
     with pytest.raises(ValueError, match="Weights sum is not equal to one."):
         ok.Portfolio(["RGBITR.INDX", "MCFTR.INDX"], weights=[0.1, 0.2])
 
-
-# DCF Methods
-def test_dcf_discount_rate(
-    portfolio_cashflows_inflation, portfolio_cashflows_NO_inflation, portfolio_cashflows_NO_inflation_NO_discount_rate
-):
-    assert portfolio_cashflows_inflation.discount_rate == approx(0.0554, abs=1e-3)  # average inflation
-    assert portfolio_cashflows_NO_inflation.discount_rate == approx(0.09, abs=1e-3)  # defined discount rate
-    assert portfolio_cashflows_NO_inflation_NO_discount_rate.discount_rate == approx(0.05, abs=1e-3)  # default rate
-
-
-def test_dcf_wealth_index(portfolio_cashflows_inflation, portfolio_cashflows_NO_inflation):
-    assert portfolio_cashflows_inflation.dcf.wealth_index.iloc[-1, 0] == approx(179950.30, rel=1e-2)
-    assert portfolio_cashflows_inflation.dcf.wealth_index.iloc[-1, 1] == approx(100050.78, rel=1e-2)
-    assert portfolio_cashflows_NO_inflation.dcf.wealth_index.iloc[-1, 0] == approx(152642.54, rel=1e-2)
-
-
-def test_dcf_survival_date(portfolio_cashflows_inflation):
-    assert portfolio_cashflows_inflation.dcf.survival_date_hist == pd.to_datetime("2020-01-31")
-
-
-def test_dcf_cashflow_pv(portfolio_cashflows_inflation, portfolio_cashflows_NO_inflation_NO_discount_rate):
-    assert portfolio_cashflows_inflation.dcf.cashflow_pv == approx(-76.33, rel=1e-2)
-    assert portfolio_cashflows_NO_inflation_NO_discount_rate.dcf.cashflow_pv == approx(-78.35, rel=1e-2)
-
-
-def test_dcf_initial_amount_pv(portfolio_cashflows_inflation, portfolio_cashflows_NO_inflation_NO_discount_rate):
-    assert portfolio_cashflows_inflation.dcf.initial_amount_pv == approx(76339.31, rel=1e-2)
-    assert portfolio_cashflows_NO_inflation_NO_discount_rate.dcf.initial_amount_pv == approx(78352.61, rel=1e-2)
-
-
-def test_dcf_survival_period(portfolio_cashflows_inflation):
-    assert portfolio_cashflows_inflation.dcf.survival_period_hist == approx(5.1, rel=1e-2)
-
-
-@mark.parametrize(
-    "distribution, expected",
-    [("norm", 93899.64), ("lognorm", 92155.15), ("t", 93123.36)],
-)
-def test_dcf_monte_carlo_wealth(portfolio_cashflows_inflation_large_cf, distribution, expected):
-    result = portfolio_cashflows_inflation_large_cf.dcf.monte_carlo_wealth(
-        first_value=100_000, distr=distribution, years=1, n=100
-    )
-    assert result.iloc[-1].mean() == approx(expected, rel=1e-1)
-
-
-@mark.parametrize(
-    "distribution, expected",
-    [("norm", 6.2), ("lognorm", 6.2), ("t", 5.9)],
-)
-def test_dcf_monte_carlo_survival_period(portfolio_cashflows_inflation_large_cf, distribution, expected):
-    result = portfolio_cashflows_inflation_large_cf.dcf.monte_carlo_survival_period(distr=distribution, years=25, n=100)
-    assert result.mean() == approx(expected, rel=1e-1)