def test_structured_calc(mocker):
set_session()
for priceable in priceables:
if priceable.assetClass == AssetClass.Rates:
for measure in (risk.IRDelta, risk.IRGamma, risk.IRVega):
structured_calc(mocker, priceable, measure)
elif priceable.assetClass == AssetClass.FX:
for measure in (risk.FXDelta, risk.FXGamma, risk.FXVega):
structured_calc(mocker, priceable, measure)
values = [{
'marketDataType': 'IR',
'assetId': 'USD',
'pointClass': 'Swap',
'point': '1y',
'value': 0.01
}, {
'marketDataType': 'IR',
'assetId': 'USD',
'pointClass': 'Swap',
'point': '2y',
'value': 0.015
}]
mocker.return_value = [[values] * len(priceables)]
with risk.PricingContext():
delta_f = [p.calc(risk.IRDelta) for p in priceables]
delta = risk.aggregate_risk(delta_f, threshold=0)
assert len(delta) == 2
def test_async_calc(mocker):
set_session()
results = [[{'value': 0.01 * idx}] for idx in range(len(priceables))]
mocker.return_value = [results]
with risk.PricingContext():
dollar_price_f = [p.dollar_price() for p in priceables]
prices = tuple(f.result() for f in dollar_price_f)
assert prices == tuple(0.01 * i for i in range(len(priceables)))