[Returnanalytics-commits] r3276 - in pkg/PortfolioAnalytics: . inst inst/tests

[noreply at r-forge.r-project.org]

Author: rossbennett34
Date: 2013-12-15 05:35:02 +0100 (Sun, 15 Dec 2013)
New Revision: 3276

Added:
   pkg/PortfolioAnalytics/inst/
   pkg/PortfolioAnalytics/inst/tests/
   pkg/PortfolioAnalytics/inst/tests/test_backwards_compat.R
Log:
adding folder for tests and an initial test for backwards compatibility demo

Added: pkg/PortfolioAnalytics/inst/tests/test_backwards_compat.R
===================================================================
--- pkg/PortfolioAnalytics/inst/tests/test_backwards_compat.R	                        (rev 0)
+++ pkg/PortfolioAnalytics/inst/tests/test_backwards_compat.R	2013-12-15 04:35:02 UTC (rev 3276)
@@ -0,0 +1,82 @@
+
+##### Load packages #####
+require(testthat)
+require(PortfolioAnalytics)
+
+##### Source Demo Script #####
+source("demo/backwards_compat.R")
+
+context("Backwards compatibility is maintained")
+
+# class
+test_that("Class of gen.constr is v1_constraint", 
+          { expect_that(inherits(gen.constr, "v1_constraint", is_true()) })
+
+# assets
+test_that("Initial assets form an equal weight portfolio", 
+          { expect_that(all.equal(as.numeric(gen.constr$assets), rep(1/4, 4)), is_true()) })
+
+# min
+test_that("Box constraints min vector is all 0s", 
+          { expect_that(all.equal(as.numeric(gen.constr$min), rep(0, 4)), is_true()) })
+
+# max
+test_that("Box constraints max vector is all 1s", 
+          { expect_that(all.equal(as.numeric(gen.constr$max), rep(1, 4)), is_true()) })
+
+# min_mult
+test_that("min_mult is null", 
+          { expect_that(is.null(gen.constr$min_mult), is_true()) })
+
+# max_mult
+test_that("max_mult is null", 
+          { expect_that(is.null(gen.constr$max_mult), is_true()) })
+
+# min_sum
+test_that("min_sum is 0.99", 
+          { expect_that(all.equal(gen.constr$min_sum, 0.99), is_true()) })
+
+# max_sum
+test_that("min_sum is 1.01", 
+          { expect_that(all.equal(gen.constr$max_sum, 1.01), is_true()) })
+
+# mean objective
+test_that("The objective name is 'mean'", 
+          { expect_that(all.equal(gen.constr$objectives[[1]]$name, "mean"), is_true()) })
+
+context("Optimization output")
+
+# Not sure how to test for exact values of optimization results for DEoptim
+# and random portfolios
+# - use a specific data set of rp weights
+
+# random portfolios optimization
+test_that("random portfolios updated portfolio object", 
+          { expect_that(inherits(optrpv1$portfolio, "portfolio.spec"), is_true()) })
+
+test_that("random portfolios returns optimal weights", 
+          { expect_that(is.numeric(extractWeights(optrpv1)), is_true()) })
+
+test_that("random portfolios returns an objective measure", 
+          { expect_that(is.numeric(extractObjectiveMeasures(optrpv1)$mean), is_true()) })
+
+# DEoptim optimization
+test_that("DE optim updated portfolio object", 
+          { expect_that(inherits(optrdev1$portfolio, "portfolio.spec"), is_true()) })
+
+test_that("DE optim returns optimal weights", 
+          { expect_that(is.numeric(extractWeights(optdev1)), is_true()) })
+
+test_that("DE optim returns an objective measure", 
+          { expect_that(is.numeric(extractObjectiveMeasures(optdev1)$mean), is_true()) })
+
+# ROI optimization
+test_that("ROI updated portfolio object", 
+          { expect_that(inherits(optroiv1$portfolio, "portfolio.spec"), is_true()) })
+
+test_that("ROI returns optimal weights equal to c(0, 0, 0.46, 0.55)", 
+          { expect_equal(as.numeric(extractWeights(optroiv1)), c(0, 0, 0.46, 0.55)) })
+
+test_that("ROI returns an objective measure mean=0.008193842", 
+          { expect_equal(is.numeric(extractObjectiveMeasures(optroiv1)$mean), 0.008193842) })
+