60 lines
2.0 KiB
Python
60 lines
2.0 KiB
Python
import tempfile
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import unittest
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from pathlib import Path
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from unittest import mock
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import pandas as pd
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from factor_attribution import load_external_us_factors
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class ExternalFactorLoaderTests(unittest.TestCase):
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def test_load_external_us_factors_parses_percent_values_and_dates(self):
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csv_text = (
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"This line is ignored\n"
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",Mkt-RF,SMB,HML,RMW,CMA,RF\n"
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"20260102,1.00,0.50,-0.25,0.10,-0.05,0.02\n"
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"20260105,-0.20,0.10,0.30,-0.15,0.05,0.02\n"
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"\n"
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)
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with tempfile.TemporaryDirectory() as tmpdir:
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with mock.patch(
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"factor_attribution._download_kf_zip_bytes",
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return_value=csv_text.encode("utf-8"),
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):
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factors = load_external_us_factors(cache_dir=Path(tmpdir))
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self.assertListEqual(
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list(factors.columns),
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["MKT_RF", "SMB", "HML", "RMW", "CMA", "RF"],
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)
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self.assertAlmostEqual(factors.iloc[0]["MKT_RF"], 0.01)
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self.assertAlmostEqual(factors.iloc[0]["RF"], 0.0002)
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self.assertEqual(str(factors.index[0].date()), "2026-01-02")
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def test_load_external_us_factors_falls_back_to_cache_when_download_fails(self):
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cached = pd.DataFrame(
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{
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"MKT_RF": [0.01],
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"SMB": [0.0],
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"HML": [0.0],
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"RMW": [0.0],
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"CMA": [0.0],
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"RF": [0.0001],
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},
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index=pd.to_datetime(["2026-01-02"]),
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)
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with tempfile.TemporaryDirectory() as tmpdir:
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cache_dir = Path(tmpdir)
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cached.to_csv(cache_dir / "ff5_us_daily.csv")
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with mock.patch(
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"factor_attribution._download_kf_zip_bytes",
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side_effect=RuntimeError("boom"),
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):
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factors = load_external_us_factors(cache_dir=cache_dir)
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self.assertEqual(len(factors), 1)
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self.assertAlmostEqual(factors.iloc[0]["MKT_RF"], 0.01)
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