FinancePy/unit_tests/test_FinStatistics.py at master · domokane/FinancePy · GitHub

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# Copyright (C) 2018, 2019, 2020 Dominic O'Kane

import numpy as np

from financepy.utils.stats import mean, stdev, correlation

seed = 1972
np.random.seed(seed)
num_trials = 1000000
x = np.random.normal(0.0, 1.0, size=num_trials)
y = np.random.normal(0.0, 1.0, size=num_trials)

########################################################################################


def test_mean():

    np_result = x.mean()
    fp_result = mean(x)
    assert round(fp_result, 10) == round(np_result, 10)


########################################################################################


def test_stdev():

    np_result = x.std()
    fp_result = stdev(x)
    assert round(fp_result, 10) == round(np_result, 10)


# TODO: tests for stderr, var, moment

########################################################################################


def test_correlation():

    beta = 0.4
    z = x * beta + y * np.sqrt(1.0 - beta * beta)

    np_result = np.corrcoef(x, z)[0, 1]
    fp_result = correlation(x, z)
    assert round(fp_result, 10) == round(np_result, 10)