FinanceRoutines.jl

Financial data routines for Julia
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KenFrench.jl (798B)

      1 @testset "Importing Fama-French factors from Ken French library" begin
      2 
      3         import Dates
      4 
      5         df_FF3_annual = FinanceRoutines.import_FF3(frequency=:annual)
      6         @test names(df_FF3_annual) == ["datey", "mktrf", "smb", "hml",  "rf"]
      7         @test nrow(df_FF3_annual) >= Dates.year(Dates.today() - Dates.Month(1)) - 1926 - 1
      8 
      9         df_FF3_monthly = FinanceRoutines.import_FF3(frequency=:monthly);
     10         @test names(df_FF3_monthly) == ["datem", "mktrf", "smb", "hml",  "rf"]
     11         @test nrow(df_FF3_monthly) >= (Dates.year(Dates.today()) - 1926 - 1) * 12
     12 
     13         df_FF3_daily = FinanceRoutines.import_FF3(frequency=:daily);
     14         @test names(df_FF3_daily) == ["date", "mktrf", "smb", "hml",  "rf"]
     15         @test nrow(df_FF3_daily) >= 25_900 & nrow(df_FF3_daily) <= 26_500
     16     
     17 
     18 end