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added ir test
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@bbcho
bbcho committed Oct 2, 2023
1 parent f38ca88 commit 5cfe31d
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12 changes: 11 additions & 1 deletion notebooks/scratchpad.ipynb
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Expand Up @@ -11,14 +11,24 @@
},
{
"cell_type": "code",
"execution_count": 5,
"execution_count": 31,
"metadata": {},
"outputs": [],
"source": [
"import requests\n",
"import json"
]
},
{
"cell_type": "code",
"execution_count": 32,
"metadata": {},
"outputs": [],
"source": [
"import os\n",
"import pandas as pd"
]
},
{
"cell_type": "code",
"execution_count": null,
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1 change: 1 addition & 0 deletions pytest/archive/ir_df_us.json
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2 changes: 1 addition & 1 deletion pytest/data/ir_df_us.json
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54 changes: 26 additions & 28 deletions pytest/test_risktools.py
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Original file line number Diff line number Diff line change
Expand Up @@ -29,7 +29,7 @@
pass

# Github Actions CI Env Vars
up = {"m*": {"user": "", "pass": ""}, "eia": "", "quandl": ""}
up = {"m*": {"user": "", "pass": ""}, "eia": "", "quandl": None}

up["eia"] = os.getenv("EIA", upf['eia'])
up["quandl"] = os.getenv("QUANDL", upf["quandl"])
Expand Down Expand Up @@ -108,33 +108,31 @@ def test_get_prices():


def test_ir_df_us():
pass
# df = _load_json("ir_df_us.json")
# df = df[
# [
# "yield",
# "maturity",
# "discountfactor",
# "discountfactor_plus",
# "discountfactor_minus",
# ]
# ]
# ir = rt.ir_df_us(quandl_key=up["quandl"], date=test_date)
# ir = ir[
# [
# "yield",
# "maturity",
# "discountfactor",
# "discountfactor_plus",
# "discountfactor_minus",
# ]
# ].reset_index(drop=True)

# print(df)

# assert df.round(4).equals(
# ir.round(4)
# ), "ir_df_us test failed, returned dataframe does not equal RTL results"

df = _load_json("./data/ir_df_us.json")
df = df[
[
"yield",
"maturity",
"discountfactor",
"discountfactor_plus",
"discountfactor_minus",
]
]
ir = rt.ir_df_us(quandl_key=up["quandl"], date='2021-12-18')
ir = ir[
[
"yield",
"maturity",
"discountfactor",
"discountfactor_plus",
"discountfactor_minus",
]
].reset_index(drop=True)

assert df.round(4).equals(
ir.round(4)
), "ir_df_us test failed, returned dataframe does not equal RTL results"


def test_bond():
Expand Down
4 changes: 2 additions & 2 deletions src/risktools/_main_functions.py
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Original file line number Diff line number Diff line change
Expand Up @@ -79,10 +79,10 @@ def ir_df_us(quandl_key=None, ir_sens=0.01, date=None):
x.columns = ["maturity", "yield"]
x["index"] = x["maturity"]
x["yield"] /= 100
x["maturity"] = x.maturity.str.extract("(\d+)").astype("int")
x["maturity"] = x.maturity.str.extract("(\d+)").astype("float")

# change maturity numbers to year fraction for first four rows
x.iloc[1:4, x.columns.get_loc("maturity")] /= 12
x.iloc[1:4, x.columns.get_loc("maturity")] /= 12.0
x.iloc[0, x.columns.get_loc("maturity")] = 1 / 365
# x.maturity[1:4] /= 12
# x.maturity[0] = 1/365
Expand Down

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