| """The point-in-time table, and the arithmetic it is allowed to do.""" |
|
|
| from __future__ import annotations |
|
|
| from datetime import UTC, date, datetime |
|
|
| import polars as pl |
|
|
| from recipe.pipeline import with_rate_changes |
| from recipe.pit import build_pit, horizon_label, weighted_median |
| from recipe.schema import EVENT_SCHEMA, align |
|
|
|
|
| def test_horizon_is_relative_to_the_meeting_that_projected_it(): |
| assert horizon_label("2026", 2026) == "Y0" |
| assert horizon_label("2028", 2026) == "Y2" |
| assert horizon_label("longer_run", 2026) == "LR" |
| |
| |
| assert horizon_label("2019", 2026) is None |
|
|
|
|
| def test_the_median_dot_counts_each_participant_once(): |
| assert weighted_median([3.0, 3.5, 4.0], [1, 1, 1]) == 3.5 |
| assert weighted_median([3.0, 4.0], [2, 2]) == 3.5 |
| assert weighted_median([3.0, 3.5, 4.0], [5, 1, 1]) == 3.0 |
| assert weighted_median([], []) is None |
|
|
|
|
| def _events() -> pl.DataFrame: |
| rows = [ |
| { |
| "event_id": "US_FOMC_2026-01-28_STATEMENT", "meeting_id": "US_FOMC_2026-01-28", |
| "event_type": "STATEMENT", |
| "knowledge_at": datetime(2026, 1, 28, 19, 0, tzinfo=UTC), |
| "target_rate_lower": 3.75, "target_rate_upper": 4.0, "target_rate_mid": 3.875, |
| "decision": "hold", "vote_for": 12, "vote_against": 0, |
| "knowledge_time_precision": "exact", "source_url": "https://example.invalid/a", |
| "parser_version": "1.0.0", |
| }, |
| { |
| "event_id": "US_FOMC_2026-03-18_STATEMENT", "meeting_id": "US_FOMC_2026-03-18", |
| "event_type": "STATEMENT", |
| "knowledge_at": datetime(2026, 3, 18, 18, 0, tzinfo=UTC), |
| "target_rate_lower": 3.5, "target_rate_upper": 3.75, "target_rate_mid": 3.625, |
| "decision": "cut", "vote_for": 11, "vote_against": 1, |
| "knowledge_time_precision": "exact", "source_url": "https://example.invalid/b", |
| "parser_version": "1.0.0", |
| }, |
| ] |
| return align(pl.DataFrame(rows, infer_schema_length=None), EVENT_SCHEMA) |
|
|
|
|
| def _meetings() -> pl.DataFrame: |
| return pl.DataFrame( |
| { |
| "meeting_id": ["US_FOMC_2026-01-28", "US_FOMC_2026-03-18"], |
| "meeting_end_date": [date(2026, 1, 28), date(2026, 3, 18)], |
| } |
| ) |
|
|
|
|
| def test_rate_change_is_measured_against_the_previous_statement(): |
| events = with_rate_changes(_events()) |
| changes = dict(zip(events["event_id"], events["rate_change_bp"], strict=True)) |
| assert changes["US_FOMC_2026-01-28_STATEMENT"] is None |
| assert changes["US_FOMC_2026-03-18_STATEMENT"] == -25.0 |
|
|
|
|
| def test_pit_rows_carry_the_instant_the_event_did(): |
| frames = { |
| "events": _events(), |
| "meetings": _meetings(), |
| "sep": pl.DataFrame(schema={"meeting_id": pl.String, "median": pl.Float64}), |
| "dot_plot": pl.DataFrame( |
| schema={ |
| "meeting_id": pl.String, "projection_year": pl.String, |
| "rate_level": pl.Float64, "dot_count": pl.Int32, |
| "knowledge_at": pl.Datetime(time_unit="us", time_zone="UTC"), |
| "source_url": pl.String, |
| } |
| ), |
| } |
| pit = build_pit(frames) |
| assert set(pit["entity_id"].unique()) == { |
| "US_FOMC_TARGET_RATE_LOWER", "US_FOMC_TARGET_RATE_UPPER", "US_FOMC_TARGET_RATE_MID", |
| } |
| mid = pit.filter(pl.col("entity_id") == "US_FOMC_TARGET_RATE_MID").sort("knowledge_date") |
| assert mid["actual"].to_list() == [3.875, 3.625] |
| assert mid["previous"].to_list() == [None, 3.875] |
| assert mid["change"].to_list() == [None, -0.25] |
| |
| assert (mid["knowledge_date"] >= mid["event_date"].cast(pl.Datetime("us", "UTC"))).all() |
|
|
|
|
| def test_forecast_is_always_null(): |
| """Consensus estimates are licensed data; this dataset carries none.""" |
|
|
| frames = { |
| "events": _events(), "meetings": _meetings(), |
| "sep": pl.DataFrame(schema={"meeting_id": pl.String, "median": pl.Float64}), |
| "dot_plot": pl.DataFrame( |
| schema={ |
| "meeting_id": pl.String, "projection_year": pl.String, |
| "rate_level": pl.Float64, "dot_count": pl.Int32, |
| "knowledge_at": pl.Datetime(time_unit="us", time_zone="UTC"), |
| "source_url": pl.String, |
| } |
| ), |
| } |
| assert build_pit(frames)["forecast"].null_count() == build_pit(frames).height |
|
|
