TST: assert_produces_warning multiple warnings/messages

[jbrockmendel]

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Reproducible Example

NA

Issue Description

Sometimes when deprecating something I will find a test like:

def test_foo():
    with tm.assert_produces_warning(UnrelatedWarning, match=unrelated_msg):
        thing_that_i_am_deprecating()

When this happens, the only viable option I'm aware of is to change UnrelatedWarning to (UnrelatedWarning, FutureWarning). But this doesn't a) check that we get both or b) check that we get a reasonable message for the FutureWarning.

The request here is for a way to specify a list of (warning, msg) pairs and check that we get all of them and no others. Or to make @pytest.mark.filterwarnings("ignore:my_message:FutureWarning") actually work in this context.

Expected Behavior

NA

Installed Versions

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[Jorewin]

take