test: update tests for PortfolioDCF

Author: chilango74

tests/conftest.py

@@ -101,7 +101,7 @@ def _init_asset_list(request, portfolio_short_history, portfolio_dividends, asse
 @pytest.fixture(scope="package")
 def init_portfolio_values():
     return dict(
-        assets=["RGBITR.INDX", "MCFTR.INDX"],
+        assets=["RGBITR.INDX", "MCFTR.INDX"],   # index values are better as they are not changing (adjusted_close)
         ccy="RUB",
         first_date="2015-01",
         last_date="2020-01",
@@ -153,40 +153,62 @@ def portfolio_dividends(init_portfolio_values):
 
 
 # DCF Scenarios
-# @pytest.fixture(scope="package")
-# def portfolio_cashflows_inflation(init_portfolio_values):
-#     _portfolio_cashflows_inflation = deepcopy(init_portfolio_values)
-#     _portfolio_cashflows_inflation["cashflow"] = -100
-#     _portfolio_cashflows_inflation["initial_amount"] = 100_000
-#     return ok.Portfolio(**_portfolio_cashflows_inflation)
-#
-#
-# @pytest.fixture(scope="package")
-# def portfolio_cashflows_NO_inflation(init_portfolio_values):
-#     _portfolio_cashflows_NO_inflation = deepcopy(init_portfolio_values)
-#     _portfolio_cashflows_NO_inflation["cashflow"] = -100.0
-#     _portfolio_cashflows_NO_inflation["initial_amount"] = 100_000.0
-#     _portfolio_cashflows_NO_inflation["inflation"] = False
-#     _portfolio_cashflows_NO_inflation["discount_rate"] = 0.09
-#     return ok.Portfolio(**_portfolio_cashflows_NO_inflation)
-#
-#
-# @pytest.fixture(scope="package")
-# def portfolio_cashflows_NO_inflation_NO_discount_rate(init_portfolio_values):
-#     _portfolio_cashflows_NO_inflation_NO_discount_rate = deepcopy(init_portfolio_values)
-#     _portfolio_cashflows_NO_inflation_NO_discount_rate["cashflow"] = -100.0
-#     _portfolio_cashflows_NO_inflation_NO_discount_rate["initial_amount"] = 100_000.0
-#     _portfolio_cashflows_NO_inflation_NO_discount_rate["inflation"] = False
-#     _portfolio_cashflows_NO_inflation_NO_discount_rate["discount_rate"] = None
-#     return ok.Portfolio(**_portfolio_cashflows_NO_inflation_NO_discount_rate)
-#
-#
-# @pytest.fixture(scope="package")
-# def portfolio_cashflows_inflation_large_cf(init_portfolio_values):
-#     _portfolio_cashflows_inflation_large_cf = deepcopy(init_portfolio_values)
-#     _portfolio_cashflows_inflation_large_cf["cashflow"] = -2000
-#     _portfolio_cashflows_inflation_large_cf["initial_amount"] = 100_000
-#     return ok.Portfolio(**_portfolio_cashflows_inflation_large_cf)
+@pytest.fixture(scope="package")
+def init_portfolio_dcf(init_portfolio_values):
+    _portfolio_values = deepcopy(init_portfolio_values)
+    _portfolio_dcf_values = dict(
+        discount_rate = None,
+        use_discounted_values = True,
+    )
+    return [_portfolio_values, _portfolio_dcf_values]
+
+
+@pytest.fixture(scope="package")
+def init_mc():
+    return dict(
+        distribution="t",
+        period=10,
+        number=100
+    )
+
+@pytest.fixture(scope="package")
+def portfolio_dcf(init_portfolio_dcf):
+    pf = ok.Portfolio(**init_portfolio_dcf[0])
+    pf_dcf = ok.PortfolioDCF(pf, **init_portfolio_dcf[1])
+    return pf_dcf
+
+
+@pytest.fixture(scope="package")
+def portfolio_dcf_no_inflation(init_portfolio_dcf):
+    values_list = deepcopy(init_portfolio_dcf)
+    values_list[0]["inflation"] = False
+    # Create Portfolio
+    pf = ok.Portfolio(**values_list[0])
+    pf_dcf = ok.PortfolioDCF(pf, **values_list[1])
+    return pf_dcf
+
+@pytest.fixture(scope="package")
+def portfolio_dcf_discount_rate(init_portfolio_dcf):
+    values_list = deepcopy(init_portfolio_dcf)
+    values_list[1]["discount_rate"] = 0.08
+    # Create Portfolio
+    pf = ok.Portfolio(**values_list[0])
+    pf_dcf = ok.PortfolioDCF(pf, **values_list[1])
+    return pf_dcf
+
+@pytest.fixture(scope="package")
+def portfolio_dcf_indexation(init_portfolio_dcf, init_mc):
+    pf = ok.Portfolio(**init_portfolio_dcf[0])
+    pf_dcf = ok.PortfolioDCF(pf, **init_portfolio_dcf[1])
+    pf_dcf.set_mc_parameters(**init_mc)
+    # Cash Flow
+    ind = ok.IndexationStrategy(pf)  # create IndexationStrategy linked to the portfolio
+    ind.initial_investment = 10_000  # add initial investments size
+    ind.frequency = "year"  # set cash flow frequency
+    ind.amount = -1_500  # set withdrawal size
+    ind.indexation = "inflation"
+    pf_dcf.cashflow_parameters = ind
+    return pf_dcf
 
 
 # Macro

tests/test_cash_flow.py

@@ -1,68 +1,14 @@
-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 okama.settings import DEFAULT_DISCOUNT_RATE
 
-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_discount_rate(portfolio_dcf, portfolio_dcf_no_inflation, portfolio_dcf_discount_rate):
+    assert portfolio_dcf.discount_rate == approx(0.05548, rel=1e-2)  # average inflation
+    assert portfolio_dcf_no_inflation.discount_rate == DEFAULT_DISCOUNT_RATE  # no inflation
+    assert portfolio_dcf_discount_rate.discount_rate == approx(0.08, abs=1e-3)  # defined discount_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_initial_investment_pv(portfolio_dcf_indexation):
+    assert portfolio_dcf_indexation.initial_investment_pv == approx(7633.93, 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