risk tested

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+c

tests/core/test_risk_acc.py

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+# This file is part of the
+#   Garpar Project (https://github.com/quatrope/garpar).
+# Copyright (c) 2021, 2022, Nadia Luczywo, Juan Cabral and QuatroPe
+# License: MIT
+#   Full Text: https://github.com/quatrope/garpar/blob/master/LICENSE
+
+
+# =============================================================================
+# IMPORTS
+# =============================================================================
+
+from garpar.core import div_acc
+
+import numpy as np
+
+import pandas as pd
+
+import pytest
+
+
+# =============================================================================
+# DRISK TESTS
+# =============================================================================
+
+
+def test_RiskAccessor_stock_beta(risso_portfolio):
+    pf = risso_portfolio(random_state=42, stocks=3)
+    expected = pd.Series(
+        [0.42396259758517374, 1.748117962092154, 0.8279194403226721],
+        name="beta",
+        index=["S0", "S1", "S2"],
+    )
+    expected.index.name = "Stocks"
+    pd.testing.assert_series_equal(pf.risk.stock_beta(), expected)
+
+
+def test_RiskAccessor_stock_beta_force_another_market_column(
+    risso_portfolio,
+):
+    pf = risso_portfolio(random_state=42, stocks=4)
+    other_pf = pf.copy(stocks=["_mkt_", "_mkt_0_", "_mkt_1_", "_mkt_2_"])
+    np.testing.assert_allclose(other_pf.risk.pf_beta(), pf.risk.pf_beta())
+
+
+def test_RiskAccessor_portfolio_beta(risso_portfolio):
+    pf = risso_portfolio(random_state=42)
+    expected = 1.0
+    np.testing.assert_allclose(pf.risk.portfolio_beta(), expected)
+
+
+def test_RiskAccessor_treynor_ratio(risso_portfolio):
+    pf = risso_portfolio(random_state=42)
+    expected = -0.51879158
+    np.testing.assert_allclose(pf.risk.treynor_ratio(), expected)
+
+
+def test_RiskAccessor_portfolio_variance(risso_portfolio):
+    pf = risso_portfolio(random_state=42)
+    expected = 0.01078666
+    np.testing.assert_allclose(pf.risk.portfolio_variance(), expected)
+
+
+def test_RiskAccessor_sharpe_ratio(risso_portfolio):
+    pf = risso_portfolio(random_state=42)
+    expected = -4.802591
+    np.testing.assert_allclose(pf.risk.sharpe_ratio(), expected)
+
+
+def test_RiskAccessor_value_at_risk(risso_portfolio):
+    pf = risso_portfolio(random_state=42, stocks=3)
+    expected = pd.Series(
+        [0.0016324583798860148, 0.0030751474549569613, 0.0037714120615394142],
+        name="VaR",
+        index=["S0", "S1", "S2"],
+    )
+    expected.index.name = "Stocks"
+
+    pd.testing.assert_series_equal(pf.risk.value_at_risk(), expected)