def test_duplicate_instrument(mocker):
set_session()
dollar_price_values = [[[{
'$type': 'Risk',
'val': 0.01
}], [{
'$type': 'Risk',
'val': 0.02
}], [{
'$type': 'Risk',
'val': 0.03
}]]]
mocker.return_value = [dollar_price_values]
swap1 = IRSwap('Pay', '10y', 'USD', fixed_rate=0.01, name='swap1')
swap2 = IRSwap('Pay', '10y', 'USD', fixed_rate=0.02, name='swap2')
swap3 = IRSwap('Pay', '10y', 'USD', fixed_rate=0.03, name='swap3')
portfolio = Portfolio((swap1, swap2, swap3, swap1))
assert portfolio.paths('swap1') == (PortfolioPath(0), PortfolioPath(3))
assert portfolio.paths('swap2') == (PortfolioPath(1), )
prices: PortfolioRiskResult = portfolio.dollar_price()
assert tuple(prices) == (0.01, 0.02, 0.03, 0.01)
assert round(prices.aggregate(), 2) == 0.07
assert tuple(prices[swap1]) == (0.01, 0.01)
def test_single_instrument_new_mock(mocker):
with MockCalc(mocker):
with PricingContext(pricing_date=dt.date(2020, 10, 15)):
swap1 = IRSwap('Pay', '10y', 'USD', name='swap1')
portfolio = Portfolio(swap1)
fwd: PortfolioRiskResult = portfolio.calc(risk.IRFwdRate)
assert portfolio.paths('swap1') == (PortfolioPath(0), )
assert tuple(map(lambda x: round(x, 6), fwd)) == (0.007512, )
assert round(fwd.aggregate(), 2) == 0.01
assert round(fwd[swap1], 6) == 0.007512
def test_single_instrument(mocker):
with MockCalc(mocker):
swap1 = IRSwap('Pay', '10y', 'USD', fixed_rate=0.0, name='10y@0')
portfolio = Portfolio(swap1)
assert portfolio.paths('10y@0') == (PortfolioPath(0), )
with PricingContext(pricing_date=dt.date(2020, 10, 15)):
prices: PortfolioRiskResult = portfolio.dollar_price()
assert tuple(map(lambda x: round(x, 0), prices)) == (7391258.0, )
assert round(prices.aggregate(), 0) == 7391258.0
assert round(prices[swap1], 0) == 7391258.0
def test_single_instrument(mocker):
set_session()
mocker.return_value = [[[[{'$type': 'Risk', 'val': 0.01}]]]]
swap1 = IRSwap('Pay', '10y', 'USD', fixed_rate=0.01, name='swap1')
portfolio = Portfolio(swap1)
assert portfolio.paths('swap1') == (PortfolioPath(0), )
prices: PortfolioRiskResult = portfolio.dollar_price()
assert tuple(prices) == (0.01, )
assert round(prices.aggregate(), 2) == 0.01
assert prices[swap1] == 0.01
def test_duplicate_instrument(mocker):
with MockCalc(mocker):
swap1 = IRSwap('Pay', '1y', 'EUR', name='EUR1y')
swap2 = IRSwap('Pay', '2y', 'EUR', name='EUR2y')
swap3 = IRSwap('Pay', '3y', 'EUR', name='EUR3y')
portfolio = Portfolio((swap1, swap2, swap3, swap1))
assert portfolio.paths('EUR1y') == (PortfolioPath(0), PortfolioPath(3))
assert portfolio.paths('EUR2y') == (PortfolioPath(1), )
with PricingContext(pricing_date=dt.date(2020, 10, 15)):
fwds: PortfolioRiskResult = portfolio.calc(risk.IRFwdRate)
assert tuple(map(lambda x: round(x, 6),
fwds)) == (-0.005378, -0.005224, -0.00519, -0.005378)
assert round(fwds.aggregate(), 6) == -0.02117
assert round(fwds[swap1], 6) == -0.005378
def test_nested_portfolios(mocker):
swap1 = IRSwap('Pay', '10y', 'USD', name='USD-swap')
swap2 = IRSwap('Pay', '10y', 'EUR', name='EUR-swap')
swap3 = IRSwap('Pay', '10y', 'GBP', name='GBP-swap')
swap4 = IRSwap('Pay', '10y', 'JPY', name='JPY-swap')
swap5 = IRSwap('Pay', '10y', 'HUF', name='HUF-swap')
swap6 = IRSwap('Pay', '10y', 'CHF', name='CHF-swap')
portfolio2_1 = Portfolio((swap1, swap2, swap3), name='portfolio2_1')
portfolio2_2 = Portfolio((swap1, swap2, swap3), name='portfolio2_2')
portfolio1_1 = Portfolio((swap4, portfolio2_1), name='portfolio1_1')
portfolio1_2 = Portfolio((swap5, portfolio2_2), name='USD-swap')
portfolio = Portfolio((swap6, portfolio1_1, portfolio1_2), name='portfolio')
assert portfolio.paths('USD-swap') == (PortfolioPath(2), PortfolioPath((1, 1, 0)), PortfolioPath((2, 1, 0)))
