test_famafrench.py 文件源码

def test_f_f_research(self):
        results = web.DataReader("F-F_Research_Data_Factors", "famafrench",
                                 start='2010-01-01', end='2010-12-01')
        self.assertTrue(isinstance(results, dict))
        self.assertEqual(len(results), 3)

        exp = pd.DataFrame({'Mkt-RF': [-3.36, 3.4, 6.31, 2., -7.89, -5.56,
                                       6.93, -4.77, 9.54, 3.88, 0.6, 6.82],
                            'SMB': [0.2, 1.44, 1.57, 4.92, -0.09, -2.15,
                                    0.24, -3.03, 3.84, 1.01, 3.69, 0.85],
                            'HML': [0.61, 2.74, 2.01, 3.12, -2.32, -4.27,
                                    0.04, -1.51, -2.94, -2.23, -0.58, 3.47],
                            'RF': [0., 0., 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'])
        tm.assert_frame_equal(results[0], exp)