def test_cache_addition_removal():
# Don't use a mocker here as it will hold refs to things and break the cache removal test
set_session()
p1 = IRSwap('Pay', '10y', 'DKK')
with PricingContext(use_cache=True):
market_data_location = PricingContext.current.market_data_location
pricing_date = PricingContext.current.pricing_date
p1.price()
assert PricingCache.get(p1, market_data_location, risk.Price, pricing_date)
assert not PricingCache.get(p1, market_data_location, risk.IRDelta,
pricing_date)
# Assert that deleting the cached instrument removes it from the PricingCache
# N.B, this may not work when debugging tests
del p1
p2 = IRSwap('Pay', '10y', 'DKK')
assert not PricingCache.get(p2, market_data_location, risk.Price,
pricing_date)
with PricingContext(use_cache=True):
p2.price()
assert PricingCache.get(p2, market_data_location, risk.Price, pricing_date)
# Change a property and assert that p2 is no longer cached
p2.notional_currency = 'EUR'
assert not PricingCache.get(p2, market_data_location, risk.Price,
pricing_date)
def test_cache_subset(mocker):
set_session()
ir_swap = IRSwap('Pay', '10y', 'DKK')
values = [{'$type': 'Risk', 'val': 0.01}]
mocker.return_value = [[[values]], [[values]]]
dates = (dt.date(2019, 10, 7), dt.date(2019, 10, 8))
with HistoricalPricingContext(dates=dates, use_cache=True):
price_f = ir_swap.price()
price_f.result()
for date in dates:
risk_key = PricingContext(pricing_date=date)._PricingContext__risk_key(
risk.Price, ir_swap.provider)
cached_scalar = PricingCache.get(risk_key, ir_swap)
assert cached_scalar
assert isinstance(cached_scalar, float)
risk_key = PricingContext(
pricing_date=dt.date(2019, 10, 9))._PricingContext__risk_key(
risk.Price, ir_swap.provider)
cached2 = PricingCache.get(risk_key, ir_swap)
assert cached2 is None
values = [{
'$type':
'RiskVector',
'asset': [0.01, 0.015],
'points': [{
'type': 'IR',
'asset': 'USD',
'class_': 'Swap',
'point': '1y'
}, {
'type': 'IR',
'asset': 'USD',
'class_': 'Swap',
'point': '2y'
}]
}]
# Check that we can return the same values from the cache, after calculating once (with return values set to None)
for return_values in ([[[values]], [[values]], [[values]]], None):
mocker.return_value = return_values
with HistoricalPricingContext(dates=dates, use_cache=True):
risk_f = ir_swap.calc(risk.IRDelta)
risk_frame = risk_f.result()
assert isinstance(risk_frame, pd.DataFrame)
assert len(risk_frame.index.unique()) == len(dates)
def test_multiple_measures(mocker):
day = [
[
[{
'$type': 'RiskVector',
'asset': [0.01, 0.015],
'points': [
{'type': 'IR Vol', 'asset': 'USD-LIBOR-BBA', 'class_': 'Swap', 'point': '1y'},
{'type': 'IR Vol', 'asset': 'USD-LIBOR-BBA', 'class_': 'Swap', 'point': '2y'}
]
}]
],
[
[{
'$type': 'RiskVector',
'asset': [0.01, 0.015],
'points': [
{'type': 'IR', 'asset': 'USD', 'class_': 'Swap', 'point': '1y'},
{'type': 'IR', 'asset': 'USD', 'class_': 'Swap', 'point': '2y'}
]
}],
],
[
[{'$type': 'Risk', 'val': 0.01}]
]
]
mocker.return_value = [day, day, day]
set_session()
ir_swaption = IRSwaption('Pay', '10y', 'USD')
dates = (dt.date(2019, 10, 7), dt.date(2019, 10, 8), dt.date(2019, 10, 9))
with HistoricalPricingContext(dates=dates, use_cache=True):
ir_swaption.price()
ir_swaption.calc(risk.IRDelta)
ir_swaption.calc(risk.IRVega)
# make sure all the risk measures got cached correctly
for date in dates:
with PricingContext(pricing_date=date) as pc:
for risk_measure in (risk.Price, risk.IRDelta, risk.IRVega):
val = PricingCache.get(pc._PricingContext__risk_key(risk_measure, ir_swaption.provider), ir_swaption)
assert val is not None
with PricingContext(pricing_date=dt.date(2019, 10, 11)) as pc:
for risk_measure in (risk.Price, risk.IRDelta, risk.IRVega):
val = PricingCache.get(pc._PricingContext__risk_key(risk_measure, ir_swaption.provider), ir_swaption)
assert val is None
def test_cache_subset(mocker):
set_session()
ir_swap = IRSwap('Pay', '10y', 'DKK')
values = [
{'date': '2019-10-07', 'value': 0.01},
{'date': '2019-10-08', 'value': 0.01}
]
mocker.return_value = [[values]]
dates = (dt.date(2019, 10, 7), dt.date(2019, 10, 8))
with HistoricalPricingContext(dates=dates, use_cache=True) as hpc:
pricing_key = hpc.pricing_key
price_f = ir_swap.price()
price_f.result()
cached = PricingCache.get(ir_swap, risk.Price, pricing_key)
assert len(cached) == len(dates)
cached_scalar = PricingCache.get(ir_swap, risk.Price, PricingContext(pricing_date=dates[0]).pricing_key)
assert isinstance(cached_scalar, float)
dates = dates + (dt.date(2019, 10, 9),)
pricing_key = HistoricalPricingContext(dates=dates).pricing_key
cached2 = PricingCache.get(ir_swap, risk.Price, pricing_key)
assert cached2 is None
cached3 = PricingCache.get(ir_swap, risk.Price, pricing_key, return_partial=True)
assert len(cached3) < len(dates)
values = [
{'date': '2019-10-07', 'marketDataType': 'IR', 'assetId': 'USD', 'pointClass': 'Swap',
'point': '1y', 'value': 0.01},
{'date': '2019-10-07', 'marketDataType': 'IR', 'assetId': 'USD', 'pointClass': 'Swap',
'point': '2y', 'value': 0.015},
{'date': '2019-10-08', 'marketDataType': 'IR', 'assetId': 'USD', 'pointClass': 'Swap',
'point': '1y', 'value': 0.01},
{'date': '2019-10-08', 'marketDataType': 'IR', 'assetId': 'USD', 'pointClass': 'Swap',
'point': '2y', 'value': 0.015},
{'date': '2019-10-09', 'marketDataType': 'IR', 'assetId': 'USD', 'pointClass': 'Swap',
'point': '1y', 'value': 0.01},
{'date': '2019-10-09', 'marketDataType': 'IR', 'assetId': 'USD', 'pointClass': 'Swap',
'point': '2y', 'value': 0.015}
]
mocker.return_value = [[values]]
with HistoricalPricingContext(dates=dates, use_cache=True) as hpc:
pricing_key = hpc.pricing_key
risk_f = ir_swap.calc(risk.IRDelta)
risk_frame = risk_f.result()
assert isinstance(risk_frame, pd.DataFrame)
assert len(risk_frame.index.unique()) == len(dates)
cached4 = PricingCache.get(ir_swap, risk.IRDelta, pricing_key)
assert len(cached4.index.unique()) == len(dates)
cached5 = PricingCache.get(ir_swap, risk.IRDelta, PricingContext(pricing_date=dates[0]).pricing_key)
assert len(cached5.index.unique()) == len(cached5)
def test_cache_addition_removal():
set_session()
p1 = IRSwap('Pay', '10y', 'DKK')
with mock.patch('gs_quant.api.gs.risk.GsRiskApi._exec') as mocker:
mocker.return_value = [[[[{'$type': 'Risk', 'val': 0.07}]]]]
with PricingContext(use_cache=True) as pc:
p1.price()
price_key = pc._PricingContext__risk_key(risk.Price, p1.provider)
delta_key = pc._PricingContext__risk_key(risk.IRDelta, p1.provider)
assert PricingCache.get(price_key, p1)
assert not PricingCache.get(delta_key, p1)
# Assert that deleting the cached instrument removes it from the PricingCache
# N.B, this may not work when debugging tests
del p1
del mocker
import gc
gc.collect()
p2 = IRSwap('Pay', '10y', 'DKK')
p2_price_key = PricingContext.current._PricingContext__risk_key(
risk.Price, p2.provider)
# assert not PricingCache.get(p2_price_key)
with mock.patch('gs_quant.api.gs.risk.GsRiskApi._exec') as mocker:
mocker.return_value = [[[[{'$type': 'Risk', 'val': 0.07}]]]]
with PricingContext(use_cache=True):
p2_price = p2.price()
assert PricingCache.get(p2_price_key, p2) == p2_price.result()
# Assert that running under a scenario does not retrieve the base result
with mock.patch('gs_quant.api.gs.risk.GsRiskApi._exec') as mocker:
mocker.return_value = [[[[{'$type': 'Risk', 'val': 0.08}]]]]
with risk.RollFwd(date='1m'), PricingContext(use_cache=True) as spc:
# Don't want the price without the scenario
scenario_risk_key = spc._PricingContext__risk_key(
risk.Price, p2.provider)
assert not PricingCache.get(scenario_risk_key, p2)
scenario_price = p2.price()
assert PricingCache.get(scenario_risk_key,
p2) == scenario_price.result()
with PricingContext(use_cache=True) as pc, risk.RollFwd(date='1m'):
cached_scenario_price = PricingCache.get(
pc._PricingContext__risk_key(risk.Price, p2.provider), p2)
# Check that we get the cached scenario price
assert cached_scenario_price == scenario_price.result()
# Check the base result is still correct
assert PricingCache.get(p2_price_key, p2) == p2_price.result()
# Assert that caching respects parameters, such as csa
with mock.patch('gs_quant.api.gs.risk.GsRiskApi._exec') as mocker:
mocker.return_value = [[[[{'$type': 'Risk', 'val': 0.08}]]]]
with PricingContext(use_cache=True, csa_term='INVALID') as pc:
# Don't want the price with default csa
assert not PricingCache.get(
pc._PricingContext__risk_key(risk.Price, p2.provider), p2)
csa_price = p2.price()
with PricingContext(use_cache=True, csa_term='INVALID') as pc:
cached_csa_price = PricingCache.get(
pc._PricingContext__risk_key(risk.Price, p2.provider), p2)
# Check that we get the cached csa price
assert cached_csa_price == csa_price.result()
# Check the base result is still correct
assert PricingCache.get(p2_price_key, p2) == p2_price.result()
# Change a property and assert that p2 is no longer cached
p2.notional_currency = 'EUR'
assert not PricingCache.get(p2_price_key, p2)
def test_cache_subset(mocker):
set_session()
ir_swap = IRSwap('Pay', '10y', 'DKK')
values = [{
'date': '2019-10-07',
'value': 0.01
}, {
'date': '2019-10-08',
'value': 0.01
}]
mocker.return_value = [[values]]
dates = (dt.date(2019, 10, 7), dt.date(2019, 10, 8))
with HistoricalPricingContext(dates=dates, use_cache=True):
market_data_location = PricingContext.current.market_data_location
price_f = ir_swap.price()
price_f.result()
cached = PricingCache.get(ir_swap, market_data_location, risk.Price, dates)
assert len(cached) == len(dates)
cached_scalar = PricingCache.get(ir_swap, market_data_location, risk.Price,
dates[0])
assert isinstance(cached_scalar, float)
dates = dates + (dt.date(2019, 10, 9), )
cached2 = PricingCache.get(ir_swap, market_data_location, risk.Price,
dates)
assert len(cached2)
assert len(cached2) < len(dates)
values = [{
'date': '2019-10-07',
'marketDataType': 'IR',
'assetId': 'USD',
'pointClass': 'Swap',
'point': '1y',
'value': 0.01
}, {
'date': '2019-10-07',
'marketDataType': 'IR',
'assetId': 'USD',
'pointClass': 'Swap',
'point': '2y',
'value': 0.015
}, {
'date': '2019-10-08',
'marketDataType': 'IR',
'assetId': 'USD',
'pointClass': 'Swap',
'point': '1y',
'value': 0.01
}, {
'date': '2019-10-08',
'marketDataType': 'IR',
'assetId': 'USD',
'pointClass': 'Swap',
'point': '2y',
'value': 0.015
}, {
'date': '2019-10-09',
'marketDataType': 'IR',
'assetId': 'USD',
'pointClass': 'Swap',
'point': '1y',
'value': 0.01
}, {
'date': '2019-10-09',
'marketDataType': 'IR',
'assetId': 'USD',
'pointClass': 'Swap',
'point': '2y',
'value': 0.015
}]
mocker.return_value = [[values]]
with HistoricalPricingContext(dates=dates, use_cache=True):
market_data_location = PricingContext.current.market_data_location
risk_f = ir_swap.calc(risk.IRDelta)
risk_frame = risk_f.result()
assert isinstance(risk_frame, pd.DataFrame)
assert len(risk_frame.index.unique()) == len(dates)
cached3 = PricingCache.get(ir_swap, market_data_location, risk.IRDelta,
dates)
assert len(cached3.index.unique()) == len(dates)
cached4 = PricingCache.get(ir_swap, market_data_location, risk.IRDelta,
dates[0])
assert len(cached4.index.unique()) == len(cached4)
def test_multiple_measures(mocker):
values = [[[{
'date': '2019-10-07',
'marketDataType': 'IR Vol',
'assetId': 'USD-LIBOR-BBA',
'pointClass': 'Swap',
'point': '1y',
'value': 0.01
}, {
'date': '2019-10-07',
'marketDataType': 'IR Vol',
'assetId': 'USD-LIBOR-BBA',
'pointClass': 'Swap',
'point': '2y',
'value': 0.015
}, {
'date': '2019-10-08',
'marketDataType': 'IR Vol',
'assetId': 'USD-LIBOR-BBA',
'pointClass': 'Swap',
'point': '1y',
'value': 0.01
}, {
'date': '2019-10-08',
'marketDataType': 'IR Vol',
'assetId': 'USD-LIBOR-BBA',
'pointClass': 'Swap',
'point': '2y',
'value': 0.015
}, {
'date': '2019-10-09',
'marketDataType': 'IR Vol',
'assetId': 'USD-LIBOR-BBA',
'pointClass': 'Swap',
'point': '1y',
'value': 0.01
}, {
'date': '2019-10-09',
'marketDataType': 'IR Vol',
'assetId': 'USD-LIBOR-BBA',
'pointClass': 'Swap',
'point': '2y',
'value': 0.015
}]],
[[{
'date': '2019-10-07',
'marketDataType': 'IR',
'assetId': 'USD',
'pointClass': 'Swap',
'point': '1y',
'value': 0.01
}, {
'date': '2019-10-07',
'marketDataType': 'IR',
'assetId': 'USD',
'pointClass': 'Swap',
'point': '2y',
'value': 0.015
}, {
'date': '2019-10-08',
'marketDataType': 'IR',
'assetId': 'USD',
'pointClass': 'Swap',
'point': '1y',
'value': 0.01
}, {
'date': '2019-10-08',
'marketDataType': 'IR',
'assetId': 'USD',
'pointClass': 'Swap',
'point': '2y',
'value': 0.015
}, {
'date': '2019-10-09',
'marketDataType': 'IR',
'assetId': 'USD',
'pointClass': 'Swap',
'point': '1y',
'value': 0.01
}, {
'date': '2019-10-09',
'marketDataType': 'IR',
'assetId': 'USD',
'pointClass': 'Swap',
'point': '2y',
'value': 0.015
}]],
[[{
'date': '2019-10-07',
'value': 0.01
}, {
'date': '2019-10-08',
'value': 0.01
}, {
'date': '2019-10-09',
'value': 0.01
}]]]
mocker.return_value = values
set_session()
ir_swaption = IRSwaption('Pay', '10y', 'USD')
dates = (dt.date(2019, 10, 7), dt.date(2019, 10, 8), dt.date(2019, 10, 9))
with HistoricalPricingContext(dates=dates, use_cache=True):
market_data_location = PricingContext.current.market_data_location
ir_swaption.price()
ir_swaption.calc(risk.IRDelta)
ir_swaption.calc(risk.IRVega)
# make sure all the risk measures got cached correctly
cached = PricingCache.get(ir_swaption, market_data_location, risk.Price,
dates)
assert len(cached) == len(dates)
cached1 = PricingCache.get(ir_swaption, market_data_location, risk.IRDelta,
dates)
assert len(cached1.index.unique()) == len(dates)
cached2 = PricingCache.get(ir_swaption, market_data_location, risk.IRVega,
dates)
assert len(cached2.index.unique()) == len(dates)
# date not in cache
cached3 = PricingCache.get(ir_swaption, market_data_location, risk.IRVega,
dt.date(2019, 10, 11))
assert cached3 is None
# subset from cache
subset = dates[0:2]
cached4 = PricingCache.get(ir_swaption, market_data_location, risk.Price,
subset)
assert len(cached4) == len(subset)
# intersection
subset += (dt.date(2019, 10, 2), )
cached5 = PricingCache.get(ir_swaption, market_data_location, risk.Price,
subset)
assert len(cached5) == len(subset) - 1
def test_cache_addition_removal():
set_session()
p1 = IRSwap('Pay', '10y', 'DKK')
with mock.patch('gs_quant.api.gs.risk.GsRiskApi._exec') as mocker:
mocker.return_value = [[[{'date': '2019-10-07', 'value': 0.07}]]]
with PricingContext(use_cache=True):
p1.price()
assert PricingCache.get(p1, risk.Price)
assert not PricingCache.get(p1, risk.IRDelta)
# Assert that deleting the cached instrument removes it from the PricingCache
# N.B, this may not work when debugging tests
del p1
del mocker
import gc
gc.collect()
p2 = IRSwap('Pay', '10y', 'DKK')
assert not PricingCache.get(p2, risk.Price)
with mock.patch('gs_quant.api.gs.risk.GsRiskApi._exec') as mocker:
mocker.return_value = [[[{'date': '2019-10-07', 'value': 0.07}]]]
with PricingContext(use_cache=True):
p2_price = p2.price()
assert PricingCache.get(p2, risk.Price) == p2_price.result()
# Assert that running under a scenario does not retrieve the base result
with mock.patch('gs_quant.api.gs.risk.GsRiskApi._exec') as mocker:
mocker.return_value = [[[{'date': '2019-10-07', 'value': 0.08}]]]
with risk.CarryScenario(time_shift=30), PricingContext(use_cache=True) as spc:
# Don't want the price without the scenario
assert not PricingCache.get(p2, risk.Price)
scenario_price = p2.price()
scenario_pricing_key = spc.pricing_key
assert PricingCache.get(p2, risk.Price, scenario_pricing_key) == scenario_price.result()
with PricingContext(use_cache=True), risk.CarryScenario(time_shift=30):
cached_scenario_price = PricingCache.get(p2, risk.Price)
# Check that we get the cached scenario price
assert cached_scenario_price == scenario_price.result()
# Check the base result is still correct
assert PricingCache.get(p2, risk.Price) == p2_price.result()
# Assert that caching respects parameters, such as csa
with mock.patch('gs_quant.api.gs.risk.GsRiskApi._exec') as mocker:
mocker.return_value = [[[{'date': '2019-10-07', 'value': 0.08}]]]
with PricingContext(use_cache=True, csa_term='INVALID'):
# Don't want the price with default csa
assert not PricingCache.get(p2, risk.Price)
csa_price = p2.price()
with PricingContext(use_cache=True, csa_term='INVALID'):
cached_csa_price = PricingCache.get(p2, risk.Price)
# Check that we get the cached csa price
assert cached_csa_price == csa_price.result()
# Check the base result is still correct
assert PricingCache.get(p2, risk.Price) == p2_price.result()
# Change a property and assert that p2 is no longer cached
p2.notional_currency = 'EUR'
assert not PricingCache.get(p2, risk.Price)
def test_multiple_measures(mocker):
values = [[[{
'$type':
'RiskVector',
'asset': [0.01, 0.015],
'points': [{
'type': 'IR Vol',
'asset': 'USD-LIBOR-BBA',
'class_': 'Swap',
'point': '1y'
}, {
'type': 'IR Vol',
'asset': 'USD-LIBOR-BBA',
'class_': 'Swap',
'point': '2y'
}]
}, {
'$type':
'RiskVector',
'asset': [0.01, 0.015],
'points': [{
'type': 'IR Vol',
'asset': 'USD-LIBOR-BBA',
'class_': 'Swap',
'point': '1y'
}, {
'type': 'IR Vol',
'asset': 'USD-LIBOR-BBA',
'class_': 'Swap',
'point': '2y'
}]
}, {
'$type':
'RiskVector',
'asset': [0.01, 0.015],
'points': [{
'type': 'IR Vol',
'asset': 'USD-LIBOR-BBA',
'class_': 'Swap',
'point': '1y'
}, {
'type': 'IR Vol',
'asset': 'USD-LIBOR-BBA',
'class_': 'Swap',
'point': '2y'
}]
}]],
[[{
'$type':
'RiskVector',
'asset': [0.01, 0.015],
'points': [{
'type': 'IR',
'asset': 'USD',
'class_': 'Swap',
'point': '1y'
}, {
'type': 'IR',
'asset': 'USD',
'class_': 'Swap',
'point': '2y'
}]
}, {
'$type':
'RiskVector',
'asset': [0.01, 0.015],
'points': [{
'type': 'IR',
'asset': 'USD',
'class_': 'Swap',
'point': '1y'
}, {
'type': 'IR',
'asset': 'USD',
'class_': 'Swap',
'point': '2y'
}]
}, {
'$type':
'RiskVector',
'asset': [0.01, 0.015],
'points': [{
'type': 'IR',
'asset': 'USD',
'class_': 'Swap',
'point': '1y'
}, {
'type': 'IR',
'asset': 'USD',
'class_': 'Swap',
'point': '2y'
}]
}]],
[[{
'$type': 'Risk',
'val': 0.01
}, {
'$type': 'Risk',
'val': 0.01
}, {
'$type': 'Risk',
'val': 0.01
}]]]
mocker.return_value = [values]
set_session()
ir_swaption = IRSwaption('Pay', '10y', 'USD')
dates = (dt.date(2019, 10, 7), dt.date(2019, 10, 8), dt.date(2019, 10, 9))
with HistoricalPricingContext(dates=dates, use_cache=True) as hpc:
pricing_key = hpc.pricing_key
ir_swaption.price()
ir_swaption.calc(risk.IRDelta)
ir_swaption.calc(risk.IRVega)
# make sure all the risk measures got cached correctly
cached = PricingCache.get(ir_swaption, risk.Price, pricing_key)
assert len(cached) == len(dates)
cached1 = PricingCache.get(ir_swaption, risk.IRDelta, pricing_key)
assert len(cached1.index.unique()) == len(dates)
cached2 = PricingCache.get(ir_swaption, risk.IRVega, pricing_key)
assert len(cached2.index.unique()) == len(dates)
# date not in cache
cached3 = PricingCache.get(
ir_swaption, risk.IRVega,
PricingContext(pricing_date=dt.date(2019, 10, 11)).pricing_key)
assert cached3 is None
# subset from cache
subset_key = HistoricalPricingContext(dates=dates[0:2]).pricing_key
cached4 = PricingCache.get(ir_swaption, risk.Price, subset_key)
assert len(cached4) == 2
# intersection
subset_key = HistoricalPricingContext(dates=dates[0:2] +
(dt.date(2019, 10, 2), )).pricing_key
cached5 = PricingCache.get(ir_swaption,
risk.Price,
subset_key,
return_partial=True)
assert len(cached5) == 2