added more test for linear build

alphamind/tests/portfolio/test_linearbuild.py

@@ -31,6 +31,24 @@ class TestLinearBuild(unittest.TestCase):
         expected_risk = np.zeros(self.risk_exp.shape[1])
         np.testing.assert_array_almost_equal(calc_risk, expected_risk)
 
+    def test_linear_build_with_inequality_constraints(self):
+        bm = self.bm / self.bm.sum()
+        eplson = 1e-6
+
+        status, value, w = linear_build(self.er,
+                                        0.,
+                                        0.01,
+                                        self.risk_exp,
+                                        bm,
+                                        risk_target=(-1e-2, 1e-2))
+        self.assertEqual(status, 'optimal')
+        self.assertAlmostEqual(np.sum(w), 1.)
+        self.assertTrue(np.all(w <= 0.01 + eplson))
+        self.assertTrue(np.all(w >= -eplson))
+
+        calc_risk = (w - bm) @ self.risk_exp / np.abs(bm @ self.risk_exp)
+        self.assertTrue(np.all(np.abs(calc_risk) <= 1e-2))
+
 
 if __name__ == '__main__':
     unittest.main()
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