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Pramit Dutta
24 lines
924 B
Python
24 lines
924 B
Python
import numpy as np
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import pandas as pd
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from fx_quant_engine.models.relative_value import RelativeValueModel
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def test_relative_value_model_outputs_hedge_ratio_and_score() -> None:
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idx = pd.date_range("2025-01-01", periods=120, freq="B")
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base = np.linspace(100, 110, len(idx))
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a = pd.Series(base + np.sin(np.arange(len(idx)) * 0.2), index=idx)
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b = pd.Series(base * 0.8 + np.cos(np.arange(len(idx)) * 0.2), index=idx)
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fa = pd.DataFrame({"momentum_multi_horizon": 0.2, "carry_proxy": 0.01}, index=idx)
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fb = pd.DataFrame({"momentum_multi_horizon": -0.1, "carry_proxy": -0.02}, index=idx)
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model = RelativeValueModel(lookback=60)
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rv = model.generate("USDINR", "EURINR", a, b, fa, fb)
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assert 0.0 <= rv.score <= 1.0
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assert abs(rv.hedge_ratio) > 0.0
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assert rv.long_asset in {"USDINR", "EURINR"}
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assert rv.short_asset in {"USDINR", "EURINR"}
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assert "hedge_ratio" in rv.drivers
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