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test_famafrench.py
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test_famafrench.py
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import numpy as np
import pandas as pd
from pandas import testing as tm
import pytest
from pandas_datareader import data as web
from pandas_datareader.famafrench import get_available_datasets
pytestmark = pytest.mark.stable
class TestFamaFrench(object):
def test_get_data(self):
keys = [
"F-F_Research_Data_Factors",
"F-F_ST_Reversal_Factor",
"6_Portfolios_2x3",
"Portfolios_Formed_on_ME",
"Prior_2-12_Breakpoints",
"ME_Breakpoints",
]
for name in keys:
ff = web.DataReader(name, "famafrench")
assert "DESCR" in ff
assert len(ff) > 1
def test_get_available_datasets(self):
pytest.importorskip("lxml")
avail = get_available_datasets()
assert len(avail) > 100
def test_index(self):
ff = web.DataReader("F-F_Research_Data_Factors", "famafrench")
assert ff[0].index.freq == "M"
assert ff[1].index.freq == "A-DEC"
def test_f_f_research(self):
results = web.DataReader(
"F-F_Research_Data_Factors",
"famafrench",
start="2010-01-01",
end="2010-12-01",
)
assert isinstance(results, dict)
assert len(results) == 3
exp = pd.DataFrame(
{
"Mkt-RF": [
-3.36,
3.40,
6.31,
2.00,
-7.89,
-5.57,
6.93,
-4.77,
9.54,
3.88,
0.60,
6.82,
],
"SMB": [
0.37,
1.19,
1.44,
4.86,
0.14,
-1.84,
0.18,
-3.02,
3.93,
1.07,
3.78,
0.68,
],
"HML": [
0.33,
3.19,
2.11,
2.91,
-2.39,
-4.52,
-0.36,
-1.90,
-3.23,
-2.46,
-0.95,
3.64,
],
"RF": [
0.00,
0.00,
0.01,
0.01,
0.01,
0.01,
0.01,
0.01,
0.01,
0.01,
0.01,
0.01,
],
},
index=pd.period_range("2010-01-01", "2010-12-01", freq="M", name="Date"),
columns=["Mkt-RF", "SMB", "HML", "RF"],
)
received = results[0]
np.testing.assert_allclose(received, exp)
tm.assert_index_equal(received.index, exp.index)
tm.assert_index_equal(received.columns, exp.columns)
def test_me_breakpoints(self):
results = web.DataReader(
"ME_Breakpoints", "famafrench", start="2010-01-01", end="2010-12-01"
)
assert isinstance(results, dict)
assert len(results) == 2
assert results[0].shape == (12, 21)
exp_columns = pd.Index(
[
"Count",
(0, 5),
(5, 10),
(10, 15),
(15, 20),
(20, 25),
(25, 30),
(30, 35),
(35, 40),
(40, 45),
(45, 50),
(50, 55),
(55, 60),
(60, 65),
(65, 70),
(70, 75),
(75, 80),
(80, 85),
(85, 90),
(90, 95),
(95, 100),
],
dtype="object",
)
tm.assert_index_equal(results[0].columns, exp_columns)
exp_index = pd.period_range("2010-01-01", "2010-12-01", freq="M", name="Date")
tm.assert_index_equal(results[0].index, exp_index)
def test_prior_2_12_breakpoints(self):
results = web.DataReader(
"Prior_2-12_Breakpoints", "famafrench", start="2010-01-01", end="2010-12-01"
)
assert isinstance(results, dict)
assert len(results) == 2
assert results[0].shape == (12, 22)
exp_columns = pd.Index(
[
"<=0",
">0",
(0, 5),
(5, 10),
(10, 15),
(15, 20),
(20, 25),
(25, 30),
(30, 35),
(35, 40),
(40, 45),
(45, 50),
(50, 55),
(55, 60),
(60, 65),
(65, 70),
(70, 75),
(75, 80),
(80, 85),
(85, 90),
(90, 95),
(95, 100),
],
dtype="object",
)
tm.assert_index_equal(results[0].columns, exp_columns)
exp_index = pd.period_range("2010-01-01", "2010-12-01", freq="M", name="Date")
tm.assert_index_equal(results[0].index, exp_index)