def test_get_reports(mocker):
id_1 = 'RX1'
id_2 = 'RX2'
mock_response = {'results': (
Report.from_dict({'id': id_1, 'positionSourceType': 'Portfolio', 'positionSourceId': 'MP1',
'type': 'Portfolio Performance Analytics', 'parameters': {'transactionCostModel': 'FIXED'}}),
Report.from_dict({'id': id_2, 'positionSourceType': 'Portfolio', 'positionSourceId': 'MP2',
'type': 'Portfolio Performance Analytics', 'parameters': {'transactionCostModel': 'FIXED'}})
), 'totalResults': 2}
expected_response = (
Report(id=id_1, positionSourceType='Portfolio', positionSourceId='MP1', type='Portfolio Performance Analytics',
parameters=ReportParameters(transactionCostModel='FIXED')),
Report(id=id_2, positionSourceType='Portfolio', positionSourceId='MP2', type='Portfolio Performance Analytics',
parameters=ReportParameters(transactionCostModel='FIXED'))
)
# mock GsSession
mocker.patch.object(
GsSession.__class__,
'default_value',
return_value=GsSession.get(
Environment.QA,
'client_id',
'secret'))
mocker.patch.object(GsSession.current, '_get', return_value=mock_response)
# run test
response = GsReportApi.get_reports()
GsSession.current._get.assert_called_with('/reports?limit=100', cls=Report)
assert response == expected_response
def test_get_report_jobs(mocker):
id_1 = 'RJW55950MF0S0HKN'
mock_response = {'results': (
ReportJob.from_dict({'id': id_1, 'positionSourceType': 'Portfolio', 'positionSourceId': 'MP1',
'parameters': {'transactionCostModel': 'FIXED'}}),
ReportJob.from_dict({'id': id_1, 'positionSourceType': 'Portfolio', 'positionSourceId': 'MP2',
'parameters': {'transactionCostModel': 'FIXED'}})
), 'totalResults': 2}
expected_response = (
ReportJob(id=id_1, positionSourceType='Portfolio', positionSourceId='MP1',
parameters=ReportParameters(transactionCostModel='FIXED')),
ReportJob(id=id_1, positionSourceType='Portfolio', positionSourceId='MP2',
parameters=ReportParameters(transactionCostModel='FIXED'))
)
# mock GsSession
mocker.patch.object(
GsSession.__class__,
'default_value',
return_value=GsSession.get(
Environment.QA,
'client_id',
'secret'))
mocker.patch.object(GsSession.current, '_get', return_value=mock_response)
# run test
response = GsReportApi.get_report_jobs(id_1)
GsSession.current._get.assert_called_with('/reports/{id}/jobs'.format(id=id_1))
assert response == expected_response
def test_set_position_target():
factor_report = FactorRiskReport(
report_id='PFRID',
position_source_type=PositionSourceType.Portfolio,
position_source_id='PORTFOLIOID',
report_type=ReportType.Portfolio_Factor_Risk,
parameters=ReportParameters(fx_hedged=True, risk_model='AXUS4M'),
status=ReportStatus.done)
factor_report.set_position_target('MA3FMSN9VNMD')
assert factor_report.position_source_type == PositionSourceType.Asset
assert factor_report.type == ReportType.Asset_Factor_Risk
def test_financial_conditions_index():
data = {
'pnl': [101, 102, 103],
'date': ['2020-01-01', '2020-01-02', '2020-01-03']
}
idx = pd.date_range('2020-01-01', freq='D', periods=3)
df = MarketDataResponseFrame(data=data, index=idx)
df.dataset_ids = ('PNL', )
replace = Replacer()
# mock PerformanceReport.get_pnl()
mock = replace('gs_quant.markets.report.PerformanceReport.get_pnl', Mock())
mock.return_value = df
# mock GsPortfolioApi.get_reports()
mock = replace('gs_quant.api.gs.portfolios.GsPortfolioApi.get_reports',
Mock())
mock.return_value = [
Report.from_dict({
'id': 'RP1',
'positionSourceType': 'Portfolio',
'positionSourceId': 'MP1',
'type': 'Portfolio Performance Analytics',
'parameters': {
'transactionCostModel': 'FIXED'
}
})
]
# mock PerformanceReport.get()
mock = replace('gs_quant.markets.report.PerformanceReport.get', Mock())
mock.return_value = PerformanceReport(
report_id='RP1',
position_source_type='Portfolio',
position_source_id='MP1',
report_type='Portfolio Performance Analytics',
parameters=ReportParameters(transaction_cost_model='FIXED'))
with DataContext(datetime.date(2020, 1, 1), datetime.date(2019, 1, 3)):
actual = mp.portfolio_pnl('MP1')
assert actual.index.equals(idx)
assert all(actual.values == data['pnl'])
replace.restore()
def test_get_factor_risk_report(mocker):
# mock GsSession
mocker.patch.object(GsSession.__class__,
'default_value',
return_value=GsSession.get(Environment.QA, 'client_id',
'secret'))
mocker.patch.object(GsSession.current,
'_get',
return_value=Report(
id='PFRID',
position_source_type=PositionSourceType.Portfolio,
position_source_id='PORTFOLIOID',
parameters=ReportParameters(risk_model='AXUS4M',
fx_hedged=True),
type=ReportType.Portfolio_Factor_Risk,
status=ReportStatus.done))
# run test
response = FactorRiskReport.get('PFRID')
assert response.type == ReportType.Portfolio_Factor_Risk
def test_report_job(mocker):
id_1 = 'RX1'
mock_response = ReportJob(id=id_1, positionSourceType='Portfolio', positionSourceId='MP1',
parameters=ReportParameters(transactionCostModel='FIXED'))
# mock GsSession
mocker.patch.object(
GsSession.__class__,
'default_value',
return_value=GsSession.get(
Environment.QA,
'client_id',
'secret'))
mocker.patch.object(GsSession.current, '_get', return_value=mock_response)
# run test
response = GsReportApi.get_report_job(id_1)
GsSession.current._get.assert_called_with('/reports/jobs/{id}'.format(id=id_1))
assert response == mock_response
KIND, either express or implied. See the License for the
specific language governing permissions and limitations
under the License.
"""
import pytest
from gs_quant.markets.report import FactorRiskReport, PerformanceReport
from gs_quant.session import *
from gs_quant.target.reports import ReportStatus, PositionSourceType, ReportType, ReportParameters, Report
fake_pfr = FactorRiskReport(report_id='PFRID',
position_source_type=PositionSourceType.Portfolio,
position_source_id='PORTFOLIOID',
report_type=ReportType.Portfolio_Factor_Risk,
parameters=ReportParameters(fx_hedged=True,
risk_model='AXUS4M'),
status=ReportStatus.done)
fake_ppa = PerformanceReport(
report_id='PPAID',
position_source_type=PositionSourceType.Portfolio,
position_source_id='PORTFOLIOID',
report_type=ReportType.Portfolio_Performance_Analytics,
parameters=None,
status=ReportStatus.done)
factor_risk_results = [{
'date': '2021-01-02',
'factor': 'factor1',
'pnl': 123,
'proportionOfRisk': 100,