def test_cross_stored_direction_for_fx_vol():
replace = Replacer()
mock_gbp = Cross('MA26QSMPX9990G66', 'GBPUSD')
xrefs = replace('gs_quant.timeseries.measures.Asset.get_identifier',
Mock())
xrefs.return_value = 'GBPUSD'
assert "MAEHA6WVHJ2S3JY9" == tm_fxo.cross_stored_direction_for_fx_vol(
mock_gbp)
replace.restore()
mock_gbp_reversed = Cross('MA26QSMPX9990G67', 'USDGBP')
xrefs = replace('gs_quant.timeseries.measures.Asset.get_identifier',
Mock())
xrefs.side_effect = ['USDGBP', 'GBPUSD']
assets = replace('gs_quant.markets.securities.SecurityMaster.get_asset',
Mock())
assets.return_value = mock_gbp
assert "MAEHA6WVHJ2S3JY9" == tm_fxo.cross_stored_direction_for_fx_vol(
mock_gbp_reversed)
replace.restore()
xrefs = replace('gs_quant.timeseries.measures.Asset.get_identifier',
Mock())
xrefs.side_effect = [mock_gbp, 'GBPUSD']
assets = replace('gs_quant.markets.securities.SecurityMaster.get_asset',
Mock())
assets.return_value = mock_gbp
assert "MAEHA6WVHJ2S3JY9" == tm_fxo.cross_stored_direction_for_fx_vol(
mock_gbp)
replace.restore()
def test_vol_swap_strike_matches_no_assets_when_expiry_tenor_is_not_none():
with pytest.raises(MqValueError):
replace = Replacer()
base = Cross('MA667', 'EURUSD')
xrefs = replace('gs_quant.timeseries.measures.Asset.get_identifier',
Mock())
xrefs.return_value = 'EURUSD'
mock_asset_1 = GsAsset(asset_class='FX',
id='MA123',
type_='VolatilitySwap',
name='Test_asset',
parameters={"lastFixingDate": "1y"})
mock_asset_2 = GsAsset(asset_class='FX',
id='MA123',
type_='VolatilitySwap',
name='Test_asset',
parameters={"lastFixingDate": "1y"})
assets = replace(
'gs_quant.timeseries.measures.GsAssetApi.get_many_assets', Mock())
assets.return_value = [mock_asset_1, mock_asset_2]
tm_fxo.vol_swap_strike(base,
"10m",
location=PricingLocation.LDN,
real_time=False)
def test_currencypair_to_tdapi_fx_vol_swap_asset():
replace = Replacer()
base = Cross('MA667', 'EURUSD')
xrefs = replace('gs_quant.timeseries.measures.Asset.get_identifier', Mock())
xrefs.return_value = 'EURUSD'
asset = tm_fxo._currencypair_to_tdapi_fx_vol_swap_asset(base)
assert asset == "MA66A4X4PRTC3N7B"
replace.restore()
def test_vol_swap_strike_unsupported_cross():
with pytest.raises(NotImplementedError):
replace = Replacer()
mock_asset_1 = Cross('MA667', 'USDPLN')
xrefs = replace('gs_quant.timeseries.measures.Asset.get_identifier', Mock())
xrefs.return_value = 'USDPLN'
tm_fxo.vol_swap_strike(mock_asset_1, "none", "none", location=PricingLocation.LDN, real_time=False)
replace.restore()
def test_vol_swap_strike_matches_no_assets():
with pytest.raises(MqValueError):
replace = Replacer()
base = Cross('MA667', 'EURUSD')
xrefs = replace('gs_quant.timeseries.measures.Asset.get_identifier', Mock())
xrefs.return_value = 'EURUSD'
assets = replace('gs_quant.timeseries.measures.GsAssetApi.get_many_assets', Mock())
assets.return_value = []
tm_fxo.vol_swap_strike(base, None, location=PricingLocation.LDN, real_time=False)
replace .restore()
def test_vol_swap_strike_matches_multiple_assets():
with pytest.raises(MqValueError):
replace = Replacer()
base = Cross('MA667', 'EURUSD')
xrefs = replace('gs_quant.timeseries.measures.Asset.get_identifier', Mock())
xrefs.return_value = 'EURUSD'
mock_asset_1 = GsAsset(asset_class='FX', id='MA123', type_='VolatilitySwap', name='Test_asset')
assets = replace('gs_quant.timeseries.measures.GsAssetApi.get_many_assets', Mock())
assets.return_value = [mock_asset_1, mock_asset_1]
tm_fxo.vol_swap_strike(base, None, location=PricingLocation.LDN, real_time=False)
replace.restore()
def test_vol_swap_strike():
replace = Replacer()
base = Cross('MA667', 'EURUSD')
xrefs = replace('gs_quant.timeseries.measures.Asset.get_identifier', Mock())
xrefs.return_value = 'EURUSD'
mock_asset_1 = GsAsset(asset_class='FX', id='MA123', type_='VolatilitySwap', name='Test_asset',
parameters={"lastFixingDate": "1y"})
mock_asset_2 = GsAsset(asset_class='FX', id='MA123', type_='VolatilitySwap', name='Test_asset',
parameters={"lastFixingDate": "2y"})
assets = replace('gs_quant.timeseries.measures.GsAssetApi.get_many_assets', Mock())
assets.return_value = [mock_asset_1, mock_asset_2]
mock_data = replace('gs_quant.timeseries.measures.GsDataApi.get_market_data', Mock())
mock_data.return_value = mock_df()
actual = tm_fxo.vol_swap_strike(base, "1y", location=PricingLocation.LDN, real_time=False)
assert_series_equal(tm_rates._extract_series_from_df(mock_df(), QueryType.STRIKE_VOL), actual)
actual = tm_fxo.vol_swap_strike(base, "1y", None, real_time=False)
assert_series_equal(tm_rates._extract_series_from_df(mock_df(), QueryType.STRIKE_VOL), actual)
replace.restore()
def test_fx_vol_measure(mocker):
replace = Replacer()
args = dict(
expiry_tenor='1m',
strike='ATMF',
option_type='Put',
expiration_location=None,
location=None,
premium_payment_date=None,
)
mock_gbp = Cross('MA26QSMPX9990G66', 'GBPUSD')
args['asset'] = mock_gbp
xrefs = replace('gs_quant.timeseries.measures.Asset.get_identifier',
Mock())
xrefs.return_value = 'GBPUSD'
args['expiry_tenor'] = '1yr'
with pytest.raises(MqValueError):
tm_fxo.implied_volatility_new(**args)
args['expiry_tenor'] = '1m'
args['real_time'] = True
with pytest.raises(NotImplementedError):
tm_fxo.implied_volatility_new(**args)
args['real_time'] = False
args['asset'] = Cross('MA666', 'USDAED')
xrefs = replace('gs_quant.timeseries.measures.Asset.get_identifier',
Mock())
xrefs.return_value = 'AEDUSD'
with pytest.raises(NotImplementedError):
tm_fxo.implied_volatility_new(**args)
args['asset'] = mock_gbp
args['asset'] = Bond('MA667', 'TEST')
with pytest.raises(NotImplementedError):
tm_fxo.implied_volatility_new(**args)
args['asset'] = mock_gbp
args['asset'] = Cross('MA667', 'GBPUSD')
xrefs = replace('gs_quant.timeseries.measures.Asset.get_identifier',
Mock())
xrefs.return_value = 'GBPUSD'
identifiers = replace(
'gs_quant.timeseries.measures_fx_vol._get_tdapi_fxo_assets', Mock())
identifiers.return_value = {'MA7F5P92330NGKAR'}
mocker.patch.object(GsDataApi,
'get_market_data',
return_value=mock_curr(None, None))
actual = tm_fxo.implied_volatility_new(**args)
expected = tm.ExtendedSeries([1, 2, 3],
index=_index * 3,
name='impliedVolatility')
expected.dataset_ids = _test_datasets
assert_series_equal(expected, actual)
assert actual.dataset_ids == _test_datasets
args['asset'] = Cross('MA667', 'USDCAD')
args['location'] = PricingLocation.LDN
args['premium_payment_date'] = 'Fwd Settle'
args['expiration_location'] = 'NYC'
xrefs = replace('gs_quant.timeseries.measures.Asset.get_identifier',
Mock())
xrefs.return_value = 'USDCAD'
identifiers = replace(
'gs_quant.timeseries.measures_fx_vol._get_tdapi_fxo_assets', Mock())
identifiers.return_value = {'MA7F5P92330NGKAR'}
mocker.patch.object(GsDataApi,
'get_market_data',
return_value=mock_curr(None, None))
actual = tm_fxo.implied_volatility_new(**args)
expected = tm.ExtendedSeries([1, 2, 3],
index=_index * 3,
name='impliedVolatility')
expected.dataset_ids = _test_datasets
assert_series_equal(expected, actual)
assert actual.dataset_ids == _test_datasets
args['option_type'] = 'Call'
xrefs = replace('gs_quant.timeseries.measures.Asset.get_identifier',
Mock())
xrefs.return_value = 'GBPUSD'
identifiers = replace(
'gs_quant.timeseries.measures_fx_vol._get_tdapi_fxo_assets', Mock())
identifiers.return_value = {'MA7F5P92330NGKAR'}
mocker.patch.object(GsDataApi,
'get_market_data',
return_value=mock_curr(None, None))
actual = tm_fxo.implied_volatility_new(**args)
expected = tm.ExtendedSeries([1, 2, 3],
index=_index * 3,
name='impliedVolatility')
expected.dataset_ids = _test_datasets
assert_series_equal(expected, actual)
assert actual.dataset_ids == _test_datasets
replace.restore()
def test_fx_vol_measure_legacy(mocker):
replace = Replacer()
args = dict(tenor='1m', strike_reference=tm_fxo.VolReference('delta_neutral'), relative_strike=0,
location=None, legacy_implementation=True)
mock_gbp = Cross('MA26QSMPX9990G66', 'GBPUSD')
args['asset'] = mock_gbp
expected = tm.ExtendedSeries([1, 2, 3], index=_index * 3, name='impliedVolatility')
expected.dataset_ids = _test_datasets
mocker.patch.object(tm_rates, 'implied_volatility',
return_value=expected)
actual = tm_fxo.implied_volatility_fxvol(**args)
assert_series_equal(expected, actual)
replace.restore()
args['legacy_implementation'] = False
xrefs = replace('gs_quant.timeseries.measures.Asset.get_identifier', Mock())
xrefs.return_value = None
with pytest.raises(MqValueError):
tm_fxo.implied_volatility_fxvol(**args)
xrefs = replace('gs_quant.timeseries.measures.Asset.get_identifier', Mock())
xrefs.return_value = 'GBPUSD'
xrefs = replace('gs_quant.timeseries.measures._cross_stored_direction_helper', Mock())
xrefs.return_value = 'GBPUSD'
mocker.patch.object(tm_fxo, 'implied_volatility_new',
return_value=expected)
actual = tm_fxo.implied_volatility_fxvol(**args)
assert_series_equal(expected, actual)
xrefs = replace('gs_quant.timeseries.measures.Asset.get_identifier', Mock())
xrefs.return_value = 'USDUSD'
xrefs = replace('gs_quant.timeseries.measures_fx_vol._cross_stored_direction_helper', Mock())
xrefs.return_value = 'GBPUSD'
assets = replace('gs_quant.markets.securities.SecurityMaster.get_asset', Mock())
assets.return_value = mock_gbp
actual = tm_fxo.implied_volatility_fxvol(**args)
assert_series_equal(expected, actual)
args['strike_reference'] = tm_fxo.VolReference('delta_call')
args['relative_strike'] = 25
actual = tm_fxo.implied_volatility_fxvol(**args)
assert_series_equal(expected, actual)
args['strike_reference'] = tm_fxo.VolReference('delta_put')
args['relative_strike'] = 25
actual = tm_fxo.implied_volatility_fxvol(**args)
assert_series_equal(expected, actual)
args['strike_reference'] = tm_fxo.VolReference('spot')
args['relative_strike'] = 100
actual = tm_fxo.implied_volatility_fxvol(**args)
assert_series_equal(expected, actual)
args['strike_reference'] = tm_fxo.VolReference('forward')
args['relative_strike'] = 100
actual = tm_fxo.implied_volatility_fxvol(**args)
assert_series_equal(expected, actual)
args['strike_reference'] = tm_fxo.VolReference('normalized')
args['relative_strike'] = 100
xrefs = replace('gs_quant.timeseries.measures_fx_vol._preprocess_implied_vol_strikes_fx', Mock())
xrefs.return_value = ['normalized', 0]
with pytest.raises(MqValueError):
tm_fxo.implied_volatility_fxvol(**args)
replace.restore()
def test_crosscurrency_swap_rate(mocker):
replace = Replacer()
args = dict(swap_tenor='5y', rateoption_type='LIBOR', clearing_house='LCH', forward_tenor='5y', real_time=False)
mock_gbp = Currency('MA26QSMPX9990G66', 'GBP')
args['asset'] = mock_gbp
xrefs = replace('gs_quant.timeseries.measures.Asset.get_identifier', Mock())
xrefs.return_value = 'GBP'
xrefs = replace('gs_quant.timeseries.measures.SecurityMaster.get_asset', Mock())
mock_usd = Currency('MA26QSMPX9990G63', 'USD')
xrefs.return_value = mock_usd
args['swap_tenor'] = '5yr'
with pytest.raises(MqValueError):
tm.crosscurrency_swap_rate(**args)
args['swap_tenor'] = '5y'
args['forward_tenor'] = '5yr'
with pytest.raises(MqValueError):
tm.crosscurrency_swap_rate(**args)
args['forward_tenor'] = '5y'
args['real_time'] = True
with pytest.raises(NotImplementedError):
tm.crosscurrency_swap_rate(**args)
args['real_time'] = False
args['asset'] = Currency('MA666', 'AED')
xrefs = replace('gs_quant.timeseries.measures.Asset.get_identifier', Mock())
xrefs.return_value = 'AED'
with pytest.raises(NotImplementedError):
tm.crosscurrency_swap_rate(**args)
args['asset'] = mock_gbp
args['asset'] = Bond('MA667', 'TEST')
with pytest.raises(MqValueError):
tm.crosscurrency_swap_rate(**args)
args['asset'] = mock_gbp
args['asset'] = Cross('MA667', 'USDAED')
xrefs = replace('gs_quant.timeseries.measures.Asset.get_identifier', Mock())
xrefs.side_effect = ['AED', 'USD']
with pytest.raises(NotImplementedError):
tm.crosscurrency_swap_rate(**args)
args['asset'] = Cross('MA667', 'USDAED')
xrefs = replace('gs_quant.timeseries.measures.Asset.get_identifier', Mock())
xrefs.side_effect = ['USD', 'AED']
with pytest.raises(NotImplementedError):
tm.crosscurrency_swap_rate(**args)
args['asset'] = Cross('MA667', 'USDGBP')
xrefs = replace('gs_quant.timeseries.measures.Asset.get_identifier', Mock())
xrefs.return_value = 'GBP'
xrefs = replace('gs_quant.timeseries.measures_xccy._check_crosscurrency_rateoption_type', Mock())
xrefs.side_effect = [tm.CrossCurrencyRateOptionType.LIBOR, tm.CrossCurrencyRateOptionType.OIS]
with pytest.raises(MqValueError):
tm.crosscurrency_swap_rate(**args)
replace.restore()
xrefs = replace('gs_quant.timeseries.measures.SecurityMaster.get_asset', Mock())
xrefs.return_value = mock_usd
args['asset'] = Cross('MA667', 'USDGBP')
xrefs = replace('gs_quant.timeseries.measures.Asset.get_identifier', Mock())
xrefs.return_value = 'GBP'
identifiers = replace('gs_quant.timeseries.measures_xccy._get_tdapi_crosscurrency_rates_assets', Mock())
identifiers.return_value = {'MA26QSMPX9990G66'}
mocker.patch.object(GsDataApi, 'get_market_data', return_value=mock_curr(None, None))
actual = tm.crosscurrency_swap_rate(**args)
expected = tm.ExtendedSeries([1, 2, 3], index=_index * 3, name='xccySwapSpread')
expected.dataset_ids = _test_datasets
assert_series_equal(expected, actual)
assert actual.dataset_ids == _test_datasets
args['asset'] = Cross('MA667', 'USDCAD')
xrefs = replace('gs_quant.timeseries.measures.Asset.get_identifier', Mock())
xrefs.return_value = 'CAD'
identifiers = replace('gs_quant.timeseries.measures_xccy._get_tdapi_crosscurrency_rates_assets', Mock())
identifiers.return_value = {'MA26QSMPX9990G66'}
mocker.patch.object(GsDataApi, 'get_market_data', return_value=mock_curr(None, None))
actual = tm.crosscurrency_swap_rate(**args)
expected = tm.ExtendedSeries([1, 2, 3], index=_index * 3, name='xccySwapSpread')
expected.dataset_ids = _test_datasets
assert_series_equal(expected, actual)
assert actual.dataset_ids == _test_datasets
args['asset'] = mock_gbp
xrefs = replace('gs_quant.timeseries.measures.Asset.get_identifier', Mock())
xrefs.return_value = 'GBP'
args['rateoption_type'] = tm.CrossCurrencyRateOptionType.TestRateOption
with pytest.raises(MqValueError):
tm.crosscurrency_swap_rate(**args)
args['rateoption_type'] = tm.CrossCurrencyRateOptionType.LIBOR
xrefs = replace('gs_quant.timeseries.measures.Asset.get_identifier', Mock())
xrefs.return_value = 'GBP'
identifiers = replace('gs_quant.timeseries.measures_xccy._get_tdapi_crosscurrency_rates_assets', Mock())
identifiers.return_value = {'MA26QSMPX9990G66'}
mocker.patch.object(GsDataApi, 'get_market_data', return_value=mock_curr(None, None))
actual = tm.crosscurrency_swap_rate(**args)
expected = tm.ExtendedSeries([1, 2, 3], index=_index * 3, name='xccySwapSpread')
expected.dataset_ids = _test_datasets
assert_series_equal(expected, actual)
assert actual.dataset_ids == _test_datasets
xrefs = replace('gs_quant.timeseries.measures.Asset.get_identifier', Mock())
xrefs.return_value = 'EUR'
identifiers = replace('gs_quant.timeseries.measures_xccy._get_tdapi_crosscurrency_rates_assets', Mock())
identifiers.return_value = {'MAZBW57ZPS54ET7K'}
mocker.patch.object(GsDataApi, 'get_market_data', return_value=mock_curr(None, None))
args['asset'] = Currency('MAZBW57ZPS54ET7K', 'EUR')
args['rateoption_type'] = 'OIS'
actual = tm.crosscurrency_swap_rate(**args)
expected = tm.ExtendedSeries([1, 2, 3], index=_index * 3, name='xccySwapSpread')
expected.dataset_ids = _test_datasets
assert_series_equal(expected, actual)
assert actual.dataset_ids == _test_datasets
replace.restore()