test: add parametric tests for default and configurable bounds

Author: DNTNTRSRNM

tests/conftest.py

@@ -303,6 +303,31 @@ def bounds_frontier_params():
     )
 
 
+@pytest.fixture(scope="module")
+def without_bounds_params():
+    return dict(
+        assets=["GLD.US", "PGJ.US", "GC.COMM", "VB.US"],
+        ccy="RUB",
+        first_date="2004-12",
+        last_date="2020-12",
+        rebalancing_period="year",    
+        inflation=True,
+    )
+
+
+@pytest.fixture(scope="module")
+def with_bounds_params():
+    return dict(
+        assets=["GLD.US", "PGJ.US", "GC.COMM", "VB.US"],
+        ccy="RUB",
+        first_date="2004-12",
+        last_date="2020-12",
+        rebalancing_period="year",    
+        bounds=((0, 1), (0, 1), (0, 1), (0, 0.4)),
+        inflation=True,
+    )
+
+
 @pytest.fixture(scope="module")
 def convex_frontier_params():
     return dict(
@@ -334,6 +359,16 @@ def init_bounds_frontier(bounds_frontier_params):
     return ok.EfficientFrontierReb(**bounds_frontier_params)
 
 
+@pytest.fixture(scope="module")
+def init_frontier_without_bounds(without_bounds_params):
+    return ok.EfficientFrontierReb(**without_bounds_params)
+
+
+@pytest.fixture(scope="module")
+def init_frontier_with_bounds(with_bounds_params):
+    return ok.EfficientFrontierReb(**with_bounds_params)
+
+
 @pytest.fixture(scope="module")
 def init_convex_frontier(convex_frontier_params):
     return ok.EfficientFrontierReb(**convex_frontier_params)

tests/test_frontier_reb.py

@@ -68,6 +68,53 @@ def test_ef_points_reb(init_efficient_frontier_reb):
     assert init_efficient_frontier_reb.ef_points["CAGR"].iloc[1] == approx(0.1889, abs=1e-2)
 
 
+test_params = [
+    (
+        {  
+            'GLD.US': 0.0,
+            'PGJ.US': 0.084373066707716,
+            'GC.COMM': 0.3657553971903911,
+            'VB.US': 0.549871536101893,
+            'CAGR': 0.17674807724452934,
+            'Risk': 0.1942250533311337
+        },
+        { 
+            'GLD.US': 0.4824328877342874,
+            'PGJ.US': 0.1175671122657124,
+            'GC.COMM': 1.759024851233533e-16,
+            'VB.US': 0.4,
+            'CAGR': 0.17674807724452934,
+            'Risk': 0.19857284519244595
+        }
+    )
+]
+
+
+@mark.rebalance
+@mark.frontier
+@pytest.mark.parametrize("dict_1, dict_2", test_params)
+def test_minimize_risk_without_bounds(init_frontier_without_bounds, dict_1, dict_2):
+
+    target_cagr = 0.17674807724452934
+    
+    result = init_frontier_without_bounds.minimize_risk(target_cagr)
+    
+    for key in dict_1:
+        assert np.isclose(result[key], dict_1[key], rtol=1e-2)
+
+@mark.rebalance
+@mark.frontier
+@pytest.mark.parametrize("dict_1, dict_2", test_params)
+def test_minimize_risk_with_bounds(init_frontier_with_bounds, dict_1, dict_2):
+
+    target_cagr = 0.17674807724452934
+    
+    result = init_frontier_with_bounds.minimize_risk(target_cagr)
+    
+    for key in dict_2:
+        assert np.isclose(result[key], dict_2[key], rtol=1e-2)
+
+
 @mark.rebalance
 @mark.frontier
 def test_convex_right_frontier(init_convex_frontier):