Allow None as rounding precision

pypfopt/base_optimizer.py

@@ -52,11 +52,11 @@ class BaseOptimizer:
         :return: asset weights
         :rtype: dict
         """
-        if not isinstance(rounding, int) or rounding < 1:
-            raise ValueError("rounding must be a positive integer")
         clean_weights = self.weights.copy()
         clean_weights[np.abs(clean_weights) < cutoff] = 0
         if rounding is not None:
+            if not isinstance(rounding, int) or rounding < 1:
+                raise ValueError("rounding must be a positive integer")
             clean_weights = np.round(clean_weights, rounding)
         return dict(zip(self.tickers, clean_weights))
 

tests/test_base_optimizer.py

@@ -1,9 +1,9 @@
 import numpy as np
 import pytest
+from unittest import mock
 from pypfopt.efficient_frontier import EfficientFrontier
 from tests.utilities_for_tests import get_data, setup_efficient_frontier
 
-
 def test_custom_upper_bound():
     ef = EfficientFrontier(
         *setup_efficient_frontier(data_only=True), weight_bounds=(0, 0.10)
@@ -84,6 +84,25 @@ def test_clean_weights_error():
         ef.clean_weights(rounding=0)
     assert ef.clean_weights(rounding=3)
 
+def test_clean_weights_no_rounding():
+    ef = setup_efficient_frontier()
+    ef.max_sharpe()
+    # ensure the call does not fail
+    # in previous commits, this call would raise a ValueError
+    assert ef.clean_weights(rounding=None)
+
+    # ensure the call does not round
+    with mock.patch('pypfopt.efficient_frontier.np.round') as rounding_method:
+        # rather than check the weights before and after for rounding, which
+        # could probably have floating point issues, ensure the rounding method,
+        # `np.round` is not called
+        ef.clean_weights(rounding=None)
+        assert rounding_method.call_count == 0
+
+        # sanity check to ensure the mock has been created correctly
+        ef.clean_weights(rounding=1)
+        assert rounding_method.call_count == 1
+
 
 def test_efficient_frontier_init_errors():
     df = get_data()