@Test
public void testVolatilityOfSharesHeldIsIdenticalToExcel() throws IOException {
ReportingPeriod report =
new ReportingPeriod.FromXtoY(Dates.date("2014-01-31"), Dates.date("2014-07-31"));
List<Exception> warnings = new ArrayList<>();
PerformanceIndex index = PerformanceIndex.forClient(client, report, warnings);
assertThat(warnings, empty());
assertThat(
index.getVolatility().getStandardDeviation(), closeTo(0.01251323582, 0.000001)); // excel
}
@Test
public void testVolatilityIfSecurityIsSoldAndLaterBoughtDuringReportingPeriod()
throws IOException {
ReportingPeriod report =
new ReportingPeriod.FromXtoY(Dates.date("2014-01-31"), Dates.date("2015-02-20"));
List<Exception> warnings = new ArrayList<>();
Security basf =
client.getSecurities().stream().filter(s -> "Basf SE".equals(s.getName())).findAny().get();
PerformanceIndex index = PerformanceIndex.forInvestment(client, basf, report, warnings);
assertThat(warnings, empty());
assertThat(
index.getVolatility().getStandardDeviation(),
closeTo(0.0134468200485513, 0.00001)); // excel
assertThat(index.getDates()[index.getDates().length - 1], is(Dates.date("2015-02-20")));
}
@Test
public void testVolatilityIfBenchmarkHasNoQuotes() throws IOException {
ReportingPeriod report =
new ReportingPeriod.FromXtoY(Dates.date("2014-01-31"), Dates.date("2015-01-31"));
List<Exception> warnings = new ArrayList<>();
PerformanceIndex index = PerformanceIndex.forClient(client, report, warnings);
Security sap =
client.getSecurities().stream().filter(s -> "Sap AG".equals(s.getName())).findAny().get();
PerformanceIndex sapIndex = PerformanceIndex.forSecurity(index, sap, warnings);
assertThat(warnings, empty());
// quotes only until December 31st
assertThat(sapIndex.getDates()[sapIndex.getDates().length - 1], is(Dates.date("2014-12-31")));
assertThat(
sapIndex.getVolatility().getStandardDeviation(),
closeTo(0.0126152529671108, 0.00001)); // excel
}
@Test
public void testVolatilityIfSecurityIsSoldDuringReportingPeriod() throws IOException {
ReportingPeriod report =
new ReportingPeriod.FromXtoY(Dates.date("2014-01-31"), Dates.date("2015-01-31"));
List<Exception> warnings = new ArrayList<>();
Security basf =
client.getSecurities().stream().filter(s -> "Basf SE".equals(s.getName())).findAny().get();
PerformanceIndex index = PerformanceIndex.forInvestment(client, basf, report, warnings);
assertThat(warnings, empty());
assertThat(
index.getVolatility().getStandardDeviation(), closeTo(0.01371839502, 0.00001)); // excel
assertThat(index.getDates()[index.getDates().length - 1], is(Dates.date("2015-01-31")));
// compare with client -> must be lower because cash has volatility of 0
PerformanceIndex clientIndex = PerformanceIndex.forClient(client, report, warnings);
assertThat(
clientIndex.getVolatility().getStandardDeviation(),
lessThan(index.getVolatility().getStandardDeviation()));
}