Using fixtures (#96)

* new release 0.6.0 (#92) * better description of development process (#70) * Update README.rst (#71) * feat: bump version to latest release +1 (#69) * Wavgfix (#62) * initial commit * small fix * stash for the weekend * Fixed wavg to handle surplus values. * Re-instated 'Europe/Berlin' as default for tz in standardize. For now. * small fix in docs * docs and better unit handling * Kind available at project root * fixed init tests (?) * new release * fixed for pyton 3.9 too * additional tests (#74) * Portfolyo Release 0.5.10 (#75) * Slice (#78) * added slice property & tests * changed toml * fixed tz issue and added tz test for slicing * added test-cases with tz --------- Co-authored-by: Alina Voilova <[email protected]> Co-authored-by: rwijtvliet <[email protected]> * Standardise sod (#82) * refactoring and additional assertion on start-of-day * fixed test and assertion * fixed? * fixed some * not working * fixed some things * tests for slice * final test for slice for 15T * docs * try to fix docs * another try to fix * poetry shell * fixing 2.0 * fixing 2.1 * fixing 3.0 * fixing 4.0 * fixing 5.0 * fixing 6.0 * fixng 7.0 * fixng 8.0 * fixing 11 * fixing 12 * fixing 13 * fixng 14 * fixing 15 * fixing 16 * fixing 17 * deleted python 3.0 from tests * deleted hmtl folder * changed toml * updated lock file --------- Co-authored-by: rwijtvliet <[email protected]> Co-authored-by: Alina Voilova <[email protected]> * Concat (#83) * added slice property & tests * changed toml * created branch concat * first commit * works for flat pflines, nested not yet * draft of concat function done, need more testing though * created error_case tests for concat * wrote test_func for concat_pflines, improved the code for concat * added test cases for concat pfstates, requires approval(!) * changed test_function * change general to take iterable as argument --------- Co-authored-by: Alina Voilova <[email protected]> * Toplevelfunctions (#84) * initial commit * gitignore * Intersect (#79) * added slice property & tests * changed toml * created branch for intersect_flex function * new test function * added tests for intersect_flex frames * all test are passing * test ignore all for intersect frame * fixed documentation * deleted req docs * added DST testcase * not working help * Added back missing file * added valuerror for sod with less than daily freq * deleted unnecessary files * tests for indexable * tests for indexable with 2 obj * added oneliner in docs and test for 3 obj. case --------- Co-authored-by: Alina Voilova <[email protected]> Co-authored-by: rwijtvliet <[email protected]> * Plot children (#87) * changed to poetry * fixed pint problem (groups in unitdef.txt) and pint-pandas dependency problem by fixing pandas to 2.0 * ci pipeline * ci pipeline * ci with poetry * solve dependency problems between pandas and pint-pandas * workaround pint-pandas bug * typo * seaborn pinned version to 0.8 * fixed to_excel function, updated version of pint * fixed arithmatic on pflines without overlap * small changes small changes * more consistent functions to get random pfline * deleted comment * change the python version for push request to 3.11 * test * Removed unused dependency * updated toml * added exception if no clipboard available * updated toml * fixed pfline_excelclipboad.py * changed lock file for pre-commit * install poetry libraries in pre-commit step * use black on all files in pre-commit * updated flake8 version in pre-commit.yaml * exclude .venv folder from flake8 * changed setup.cfg to ignore flake8 error messages * initial commit * first try at plotting children * bar plot with children * created plot_children(),fixed bug with darken * area plots for children stacked on top of each other. for daily it plots only parent * changed the logic of all plot_timeseries_as functions, now based on frequency * created a function to test plotting pfline * created slice attr, wrote tests for it * more flexible intersec function with ignore freq, tz, start_of_day + tests * small changes to intersect * intersect_flex function is finished, more testing with frames needed * finished intersect_flex, more testing with frames needed * added children bool to plot pfstate * added hash function for colors for children * deleted unnecessary test * changed hash function, and width of hline * deleted unnecessary test * plot with children * changed plot_pfstate to work with new logic * tests for plot function * added function to set limits to plot pfstate * fixed strict variable for test cases * Deleted unnecessary files * changed yaml file to exclude python 3.10 with mac 14 --------- Co-authored-by: rwijtvliet <[email protected]> Co-authored-by: Alina Voilova <[email protected]> * Structure (#90) * changed to poetry * fixed pint problem (groups in unitdef.txt) and pint-pandas dependency problem by fixing pandas to 2.0 * ci pipeline * ci pipeline * ci with poetry * solve dependency problems between pandas and pint-pandas * workaround pint-pandas bug * typo * seaborn pinned version to 0.8 * fixed to_excel function, updated version of pint * fixed arithmatic on pflines without overlap * small changes small changes * more consistent functions to get random pfline * deleted comment * change the python version for push request to 3.11 * test * Removed unused dependency * updated toml * added exception if no clipboard available * updated toml * fixed pfline_excelclipboad.py * changed lock file for pre-commit * install poetry libraries in pre-commit step * use black on all files in pre-commit * updated flake8 version in pre-commit.yaml * exclude .venv folder from flake8 * changed setup.cfg to ignore flake8 error messages * initial commit * first try at plotting children * bar plot with children * created plot_children(),fixed bug with darken * area plots for children stacked on top of each other. for daily it plots only parent * changed the logic of all plot_timeseries_as functions, now based on frequency * created a function to test plotting pfline * created slice attr, wrote tests for it * more flexible intersec function with ignore freq, tz, start_of_day + tests * small changes to intersect * intersect_flex function is finished, more testing with frames needed * finished intersect_flex, more testing with frames needed * added children bool to plot pfstate * added hash function for colors for children * deleted unnecessary test * changed hash function, and width of hline * deleted unnecessary test * plot with children * changed plot_pfstate to work with new logic * tests for plot function * refactoring * more powerful peak/offpeak functions * removed longer_or_shorter from frequency tools; Use the up_or_down function instead * tests for peakfn and peakconvert * fixed test * removed all Union and replaced with | --------- Co-authored-by: rwijtvliet <[email protected]> Co-authored-by: Alina Voilova <[email protected]> * Portfolyo Release 0.6.0 * Portfolyo Release 0.6.0 (#91) * 0.6.0 (#93) * 0.6.0 (#94) --------- Co-authored-by: Stefan Keidel <[email protected]> Co-authored-by: Alina Voilova <[email protected]> Co-authored-by: Alina Voilova <[email protected]> * tests using fixtures * cov report --------- Co-authored-by: Stefan Keidel <[email protected]> Co-authored-by: Alina Voilova <[email protected]> Co-authored-by: Alina Voilova <[email protected]>
rwijtvliet · May 28, 2024 · 9364444 · 9364444
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diff --git a/setup.cfg b/setup.cfg
@@ -12,7 +12,7 @@ max-line-length = 120
 ignore = E501, W503, E202, E226
 
 [tool:pytest]
-#addopts = --cov=.
+addopts = --cov=.
 markers =
     only_on_pr: marks tests as slow (select with -m only_on_pr and deselect with -m "not only_on_pr")
 pythonpath = ./tests

diff --git a/tests/tools/test_hedge1.py b/tests/tools/test_hedge1.py
@@ -0,0 +1,105 @@
+"""Testing hedge functions using hard-coded hedge values."""
+
+import numpy as np
+import pandas as pd
+import pytest
+
+from portfolyo import testing, tools
+
+
+@pytest.mark.parametrize("how", ["vol", "val"])
+@pytest.mark.parametrize(
+    "w_vals,start,w_expected",
+    [
+        ([1, 2, 3], "2020-01-01", 2),
+        (range(12), "2020-01-01", 5.5),
+        ([*[10] * (23 + 8), *[15] * 5], "2020-03-29", 10.69444),
+        ([*[10] * (25 + 8), *[15] * 5], "2020-10-25", 10.65789),
+    ],
+)
+def test_onehedge_uniformpricesandduration(w_vals, start, w_expected, how):
+    """Test hedge with uniform prices and durations."""
+    i = pd.date_range(start, freq="H", periods=len(w_vals), tz="Europe/Berlin")
+    df = pd.DataFrame({"w": w_vals, "p": 100.0}, i)
+    df["duration"] = tools.duration.index(i)
+
+    result = tools.hedge.one_hedge(df, how=how)
+    expected = pd.Series({"w": w_expected, "p": 100.0})
+    testing.assert_series_equal(result, expected)
+
+
+@pytest.mark.parametrize("how", ["vol", "val"])
+@pytest.mark.parametrize(
+    "w_vals,start,w_expected,tz",
+    [
+        ([1, 2], "2020-01-01", 1.483333333, None),  # 29 days in Feb
+        ([1, 2], "2021-01-01", 1.474576271, None),  # 28 days in Feb
+        (range(12), "2020-01-01", 5.51366120, None),  # no DST
+        (range(12), "2020-01-01", 5.514458106, "Europe/Berlin"),  # DST
+    ],
+)
+def test_onehedge_uniformprices(w_vals, start, w_expected, how, tz):
+    """Test hedge with uniform prices but distinct durations."""
+    i = pd.date_range(start, freq="MS", periods=len(w_vals), tz=tz)
+    df = pd.DataFrame({"w": w_vals, "p": 100.0}, i)
+    df["duration"] = tools.duration.index(i)
+
+    result = tools.hedge.one_hedge(df, how=how)
+    expected = pd.Series({"w": w_expected, "p": 100.0})
+    testing.assert_series_equal(result, expected)
+
+
+@pytest.mark.parametrize("how", ["vol", "val"])
+@pytest.mark.parametrize(
+    "w_vals,p_vals,start,p_expected,w_expected_vol,w_expected_val,tz",
+    [
+        (
+            [1, 2],
+            [100, 200],
+            "2020-01-01",
+            148.333333333,
+            1.4833333,
+            1.651685393,
+            None,
+        ),  # 29 days in Feb
+        (
+            [1, 2],
+            [100, 200],
+            "2021-01-01",
+            147.4576271,
+            1.474576271,
+            1.643678161,
+            None,
+        ),  # 28 days in Feb
+        (
+            np.arange(12),
+            np.arange(12) * 100,
+            "2020-01-01",
+            551.366120,
+            5.51366120,
+            7.673934589,
+            None,
+        ),  # no DST
+        (
+            np.arange(12),
+            np.arange(12) * 100,
+            "2020-01-01",
+            551.4458106,
+            5.514458106,
+            7.674415244,
+            "Europe/Berlin",
+        ),  # DST
+    ],
+)
+def test_onehedge(
+    w_vals, p_vals, start, w_expected_val, w_expected_vol, p_expected, how, tz
+):
+    """Test value hedge."""
+    i = pd.date_range(start, freq="MS", periods=len(w_vals), tz=tz)
+    df = pd.DataFrame({"w": w_vals, "p": p_vals}, i)
+    df["duration"] = tools.duration.index(i)
+
+    result = tools.hedge.one_hedge(df, how=how)
+    w_expected = w_expected_val if how == "val" else w_expected_vol
+    expected = pd.Series({"w": w_expected, "p": p_expected})
+    testing.assert_series_equal(result, expected)
diff --git a/tests/tools/test_hedge2.py b/tests/tools/test_hedge2.py
@@ -0,0 +1,127 @@
+"""Testing hedge functions using pre-calculated hedge values from excel."""
+
+from pathlib import Path
+
+import pandas as pd
+import pytest
+
+from portfolyo import testing, tools
+
+PATH = Path(__file__).parent / "test_hedge_data.xlsx"
+
+
+def sheetname(freq, tz):
+    return f'{freq}_{"None" if tz is None else tz.replace("/", "")}'
+
+
+@pytest.fixture(
+    scope="session",
+    params=[pytest.param(True, id="withunits"), pytest.param(False, id="withoutunits")],
+)
+def has_units(request):
+    return request.param
+
+
+@pytest.fixture(scope="session", params=["H", "D"])
+def freq(request):
+    return request.param
+
+
+@pytest.fixture(scope="session", params=[None, "Europe/Berlin"])
+def tz(request):
+    return request.param
+
+
+@pytest.fixture(scope="session", params=["vol", "val"])
+def how(request):
+    return request.param
+
+
+@pytest.fixture(
+    scope="session",
+    params=[
+        pytest.param(None, id="base"),
+        pytest.param(tools.product.germanpower_peakfn, id="peakoffpeakgerman"),
+    ],
+)
+def peak_fn(request):
+    return request.param
+
+
+@pytest.fixture(scope="session", params=["MS", "QS", "AS"])
+def aggfreq(request):
+    return request.param
+
+
+@pytest.fixture
+def dfin(freq: str, tz: str) -> pd.DataFrame:
+    df = pd.read_excel(
+        PATH, sheetname(freq, tz), header=6, index_col=0, usecols="A,B:C"
+    )
+    if tz:
+        df = df.tz_localize(tz, ambiguous="infer")
+    df.index.freq = pd.infer_freq(df.index)
+    return df
+
+
+@pytest.fixture
+def dfexp(freq: str, tz: str) -> pd.DataFrame:
+    df = pd.read_excel(
+        PATH, f"{sheetname(freq, tz)}_out", header=[3, 4, 5, 6], index_col=0
+    )
+    if tz:
+        df = df.tz_localize(tz, ambiguous="infer")
+    df.index.freq = pd.infer_freq(df.index)
+    return df
+
+
+@pytest.fixture
+def win(dfin: pd.DataFrame, has_units: bool) -> pd.Series:
+    s = dfin["w"]
+    return s if not has_units else s.astype("pint[MW]")
+
+
+@pytest.fixture
+def pin(dfin: pd.DataFrame, has_units: bool) -> pd.Series:
+    s = dfin["p"]
+    return s if not has_units else s.astype("pint[Eur/MWh]")
+
+
+@pytest.fixture
+def wexp(
+    dfexp: pd.DataFrame,
+    has_units: bool,
+    aggfreq: str,
+    peak_fn: tools.peakfn.PeakFunction,
+    how: str,
+) -> pd.Series:
+    if dfexp.index.freq == "D" and peak_fn is not None:
+        pytest.skip("Don't decompose in peak and offpeak if daily values")
+    s = dfexp[aggfreq][peak_fn is not None][how]["w"]
+    return s if not has_units else s.astype("pint[MW]")
+
+
+@pytest.fixture
+def pexp(
+    dfexp: pd.DataFrame,
+    has_units: bool,
+    aggfreq: str,
+    peak_fn: tools.peakfn.PeakFunction,
+) -> pd.Series:
+    s = dfexp[aggfreq][peak_fn is not None].iloc[:, 0]  # price is first column
+    return s if not has_units else s.astype("pint[Eur/MWh]")
+
+
+def test_hedge_fromexcel(
+    win: pd.Series,
+    pin: pd.Series,
+    wexp: pd.Series,
+    pexp: pd.Series,
+    how: str,
+    aggfreq: str,
+    peak_fn: tools.peakfn.PeakFunction,
+):
+    """Test if hedge results are correctly calculated, by comparing against previously calculated results."""
+    wresult, presult = tools.hedge.hedge(win, pin, how, peak_fn, aggfreq)
+    testing.assert_series_equal(wresult, wexp, check_names=False)
+    testing.assert_series_equal(presult, pexp, check_names=False)