thomas
/
ing-engineer-risk-management
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Fix test warnings

This commit is contained in:
Thomas Rijpstra 2025-03-05 20:54:35 +01:00
parent 7e4a880ca9
commit c94fe5312c
Signed by: thomas
SSH Key Fingerprint: SHA256:sFF5HPNPaaW14qykTkmRi1FGGO0YMUPBenlKOqepUpw
2 changed files with 2 additions and 1 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

2
src/var.py
View File

@ -17,4 +17,4 @@ def var(portfolio, prices, sort="ascending"):
pnl = portfolio.dot(returns.T) pnl = portfolio.dot(returns.T)
daily_pnl = pnl.sum(axis=0) daily_pnl = pnl.sum(axis=0)
daily_pnl_asc = daily_pnl.sort_values(ascending=True) daily_pnl_asc = daily_pnl.sort_values(ascending=True)
return 0.4 * daily_pnl_asc[1] + 0.6 * daily_pnl_asc[2] return 0.4 * daily_pnl_asc.iloc[1] + 0.6 * daily_pnl_asc.iloc[2]

1
src/var_test.py
View File

@ -39,6 +39,7 @@ def test_end_to_end():
os.path.join(os.path.dirname(os.path.abspath(__file__)), "data", "var_fx_prices.csv"), os.path.join(os.path.dirname(os.path.abspath(__file__)), "data", "var_fx_prices.csv"),
parse_dates=["date"], parse_dates=["date"],
index_col="date", index_col="date",
dayfirst=True,
dtype=float, dtype=float,
) )
fx_prices.sort_index(inplace=True, ascending=True) fx_prices.sort_index(inplace=True, ascending=True)