def mock_curr(_cls, _q):
d = {
'swapRate': [1, 2, 3],
}
df = MarketDataResponseFrame(data=d, index=_index * 3)
df.dataset_ids = _test_datasets
return df
def mock_curr(_cls, _q):
d = {
'impliedVolatility': [1, 2, 3],
}
df = MarketDataResponseFrame(data=d, index=_index * 3)
df.dataset_ids = _test_datasets
return df
def test_custom_aum():
data = {
'aum': [
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 = ('AUM',)
replace = Replacer()
# mock GsPortfolioApi.get_reports()
mock = replace('gs_quant.api.gs.portfolios.GsPortfolioApi.get_custom_aum', Mock())
mock.return_value = df
with DataContext(datetime.date(2020, 1, 1), datetime.date(2019, 1, 3)):
actual = mp.aum('MP1')
assert actual.index.equals(idx)
assert all(actual.values == data['aum'])
replace.restore()
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'}})]
with DataContext(datetime.date(2020, 1, 1), datetime.date(2019, 1, 3)):
actual = mp.pnl('MP1')
assert actual.index.equals(idx)
assert all(actual.values == data['pnl'])
replace.restore()
def mock_df():
d = {
'strikeVol': [5, 1, 2],
}
df = MarketDataResponseFrame(data=d, index=_index * 3)
df.dataset_ids = "FX_VOLATILITY_SWAP"
return df
def test_fci():
with pytest.raises(NotImplementedError):
mc.fci('IN', real_time=True)
data = {
'fci': [101, 102, 103],
'realFCI': [100, 99, 98],
'realTWIContribution': [100, 100, 98]
}
idx = pd.date_range('2020-01-01', freq='D', periods=3)
df = MarketDataResponseFrame(data=data, index=idx)
df.dataset_ids = ('FCI', )
replace = Replacer()
mock = replace('gs_quant.timeseries.measures.GsDataApi.get_market_data',
Mock())
mock.return_value = df
with DataContext(datetime.date(2020, 1, 1), datetime.date(2019, 1, 3)):
actual = mc.fci('IN')
assert actual.index.equals(idx)
assert all(actual.values == data['fci'])
mock = replace('gs_quant.timeseries.measures.Dataset.get_data', Mock())
mock.return_value = df
with DataContext(datetime.date(2020, 1, 1), datetime.date(2019, 1, 3)):
actual = mc.fci('IN', mc._FCI_MEASURE.REAL_FCI)
assert actual.index.equals(idx)
assert all(actual.values == data['realFCI'])
with DataContext(datetime.date(2020, 1, 1), datetime.date(2019, 1, 3)):
actual = mc.fci('IN', mc._FCI_MEASURE.REAL_TWI_CONTRIBUTION)
assert actual.index.equals(idx)
assert all(actual.values == data['realTWIContribution'])
replace.restore()
def test_normalized_performance_no_custom_aum():
with DataContext(datetime.date(2020, 1, 1), datetime.date(2019, 1, 3)):
df = MarketDataResponseFrame(data=ppa_data, dtype="float64")
replace = Replacer()
# 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_many_measures()
mock = replace(
'gs_quant.markets.report.PerformanceReport.get_many_measures',
Mock())
mock.return_value = df
# mock PerformanceReport.get_portfolio_constituents()
mock = replace(
'gs_quant.markets.report.PerformanceReport.get_portfolio_constituents',
Mock())
mock.return_value = MarketDataResponseFrame(data=constituents_data,
dtype="float64")
# mock PerformanceReport.get_custom_aum()
mock = replace(
'gs_quant.api.gs.portfolios.GsPortfolioApi.get_custom_aum', Mock())
mock.return_value = pd.DataFrame({})
# 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 pytest.raises(MqError):
mr.normalized_performance('MP1', 'Custom AUM')
replace.restore()
def test_normalized_performance_short():
idx = pd.date_range('2020-01-02', freq='D', periods=3)
replace = Replacer()
expected = {"Short": pd.Series(data=[1, 1 / 2, 1 / 3], index=idx,
name='normalizedPerformance', dtype='float64'),
"Long": pd.Series(data=[1, 2, 3], index=idx,
name='normalizedPerformance', dtype='float64'),
None: pd.Series(data=[1, (2 + 1 / 2) / 2, (3 + 1 / 3) / 2], index=idx,
name='normalizedPerformance', dtype='float64')}
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_portfolio_constituents()
mock = replace('gs_quant.markets.report.PerformanceReport.get_portfolio_constituents', Mock())
mock.return_value = MarketDataResponseFrame(data=constituents_data_l_s, dtype="float64")
# 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'))
for k, v in expected.items():
with DataContext(datetime.date(2020, 1, 1), datetime.date(2019, 1, 3)):
actual = mr.normalized_performance('MP1', k)
assert all((actual.values - v.values) < 0.01)
replace.restore()
def test_midcurve_vol_return_data():
replace = Replacer()
test_data = dict(midcurveVol=[1, 2, 3])
df = MarketDataResponseFrame(
data=test_data,
index=[dt.date(2019, 1, 1),
dt.date(2019, 1, 2),
dt.date(2019, 1, 3)])
replace('gs_quant.timeseries.measures.Asset.get_identifier',
Mock()).return_value = "GBP"
replace('gs_quant.timeseries.measures_rates._get_tdapi_rates_assets',
Mock(),
Mock()).return_value = ["MADWG3WHCKNE1DJA", "MAH6JK3TZJJGFQ65"]
replace('gs_quant.timeseries.measures_rates._range_from_pricing_date',
Mock(),
Mock()).return_value = [dt.date(2019, 1, 2),
dt.date(2019, 1, 5)]
replace('gs_quant.timeseries.measures_rates._market_data_timed',
Mock()).return_value = df
actual = tm_rates.midcurve_vol(Currency("GBP", name="GBP"), "1y", "1y",
"1y", 0)
assert_series_equal(tm._extract_series_from_df(df, QueryType.MIDCURVE_VOL),
actual)
replace.restore()
def test_swaption_atmFwdRate_return_data():
replace = Replacer()
test_data = dict(atmFwdRate=[1, 2, 3])
df = MarketDataResponseFrame(
data=test_data,
index=[dt.date(2019, 1, 1),
dt.date(2019, 1, 2),
dt.date(2019, 1, 3)])
replace('gs_quant.timeseries.measures.Asset.get_identifier',
Mock()).return_value = "GBP"
replace('gs_quant.timeseries.measures_rates._get_tdapi_rates_assets',
Mock(),
Mock()).return_value = ["MADWG3WHCKNE1DJA", "MAH6JK3TZJJGFQ65"]
replace('gs_quant.timeseries.measures_rates._range_from_pricing_date',
Mock(),
Mock()).return_value = [dt.date(2019, 1, 2),
dt.date(2019, 1, 5)]
replace('gs_quant.timeseries.measures_rates._market_data_timed',
Mock()).return_value = df
actual = tm_rates.swaption_atm_fwd_rate(Currency("GBP", name="GBP"))
assert_series_equal(tm._extract_series_from_df(df, QueryType.ATM_FWD_RATE),
actual)
replace.restore()
def mock_natgas_forward_price(_cls, _q):
d = {
'forwardPrice': [
2.880,
2.844,
2.726,
],
'contract': [
"F21",
"G21",
"H21",
]
}
df = MarketDataResponseFrame(data=d,
index=pd.to_datetime(
[datetime.date(2019, 1, 2)] * 3))
df.dataset_ids = _test_datasets
return df
def test_normalized_performance_default_aum():
idx = pd.date_range('2020-01-02', freq='D', periods=3)
expected = pd.Series(data=[1, 1 / 0.8, 1 / 0.6],
index=idx,
name='normalizedPerformance',
dtype='float64')
with DataContext(datetime.date(2020, 1, 1), datetime.date(2019, 1, 3)):
df = MarketDataResponseFrame(data=ppa_data, dtype="float64")
replace = Replacer()
# 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_many_measures()
mock = replace(
'gs_quant.markets.report.PerformanceReport.get_many_measures',
Mock())
mock.return_value = df
# mock PerformanceReport.get_custom_aum()
mock = replace(
'gs_quant.api.gs.portfolios.GsPortfolioApi.get_custom_aum', Mock())
mock.return_value = aum
# 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'))
mock = replace(
'gs_quant.api.gs.portfolios.GsPortfolioApi.get_portfolio', Mock())
mock.return_value = Portfolio('USD', 'P1', id_='MP1')
actual = mr.normalized_performance('MP1', None)
assert all(actual.values == expected.values)
replace.restore()
def test_swaption_premium_return_data():
replace = Replacer()
test_data = dict(swaptionPremium=[1, 2, 3])
df = MarketDataResponseFrame(data=test_data, index=[dt.date(2019, 1, 1), dt.date(2019, 1, 2),
dt.date(2019, 1, 3)])
replace('gs_quant.timeseries.measures.Asset.get_identifier', Mock()).return_value = "GBP"
replace('gs_quant.timeseries.measures_rates._get_tdapi_rates_assets', Mock(),
Mock()).return_value = "MADWG3WHCKNE1DJA"
replace('gs_quant.timeseries.measures_rates._range_from_pricing_date', Mock(), Mock()).return_value = [
dt.date(2019, 1, 2), dt.date(2019, 1, 5)]
replace('gs_quant.timeseries.measures_rates._market_data_timed', Mock()).return_value = df
actual = tm_rates.swaption_premium(Currency("GBP", name="GBP"))
assert_series_equal(tm._extract_series_from_df(df, QueryType.SWAPTION_PREMIUM), actual)
replace.restore()
def test_swaption_vol_smile2_returns_data():
replace = Replacer()
test_data = dict(strikeRelative=["ATM", "ATM+50", "ATM+100"], swaptionVol=[1, 2, 3])
df = MarketDataResponseFrame(data=test_data, index=_index * 3)
replace('gs_quant.timeseries.measures.Asset.get_identifier', Mock()).return_value = "GBP"
replace('gs_quant.timeseries.measures_rates._get_tdapi_rates_assets', Mock(), Mock()).return_value = [
"MADWG3WHCKNE1DJA", "MAH6JK3TZJJGFQ65"]
replace('gs_quant.timeseries.measures_rates._range_from_pricing_date', Mock(), Mock()).return_value = [
dt.date(2020, 1, 2), dt.date(2020, 1, 2)]
replace('gs_quant.timeseries.measures_rates._market_data_timed', Mock()).return_value = df
with DataContext('2019-01-01', '2025-01-01'):
actual = tm_rates.swaption_vol_smile(Currency("GBP", name="GBP"), '3m', '10y')
assert_series_equal(pd.Series([1, 2, 3], index=[0.0, 50.0, 100.0]), pd.Series(actual))
replace.restore()
def test_get_short_pnl():
idx = pd.date_range('2020-01-02', freq='D', periods=3)
replace = Replacer()
expected = pd.Series(data=[0, -2, -2],
index=idx,
name='shortPnl',
dtype='float64')
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_portfolio_constituents()
mock = replace(
'gs_quant.markets.report.PerformanceReport.get_portfolio_constituents',
Mock())
mock.return_value = MarketDataResponseFrame(data=pnl_data_l_s)
# 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 = mr.short_pnl('MP1')
assert all(actual.values == expected.values)
replace.restore()
def test_swaption_swaption_vol_term2_returns_data():
replace = Replacer()
df = MarketDataResponseFrame(
data=dict(expirationTenor=['1m', '6m', '1y'], terminationTenor=['1y', '2y', '3y'], swaptionVol=[1, 2, 3]),
index=_index * 3)
replace('gs_quant.timeseries.measures.Asset.get_identifier', Mock()).return_value = "GBP"
replace('gs_quant.timeseries.measures_rates._get_tdapi_rates_assets', Mock(), Mock()).return_value = [
"MADWG3WHCKNE1DJA", "MAH6JK3TZJJGFQ65"]
replace('gs_quant.timeseries.measures_rates._range_from_pricing_date', Mock(), Mock()).return_value = [
dt.date(2020, 1, 2), dt.date(2020, 1, 2)]
replace('gs_quant.timeseries.measures_rates._market_data_timed', Mock()).return_value = df
with DataContext('2019-01-01', '2025-01-01'):
actual = tm_rates.swaption_vol_term(Currency("GBP", name="GBP"), tm.SwaptionTenorType.SWAP_MATURITY, '5y', 0)
expected = pd.Series([1, 2, 3], index=pd.to_datetime(['2019-02-01', '2019-07-01', '2020-01-01']))
assert_series_equal(expected, pd.Series(actual), check_names=False)
with DataContext('2019-01-01', '2025-01-01'):
actual = tm_rates.swaption_vol_term(Currency("GBP", name="GBP"), tm.SwaptionTenorType.OPTION_EXPIRY, '5y', 0)
expected = pd.Series([1, 2, 3], index=pd.to_datetime(['2020-01-01', '2021-01-01', '2021-12-31']))
assert_series_equal(expected, pd.Series(actual), check_names=False)
replace.restore()
def test_get_long_pnl_empty():
replace = Replacer()
expected = pd.Series(dtype=float)
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_portfolio_constituents()
mock = replace(
'gs_quant.markets.report.PerformanceReport.get_portfolio_constituents',
Mock())
mock.return_value = MarketDataResponseFrame(data=constituents_data_s)
# 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 = mr.long_pnl('MP1')
assert all(actual.values == expected.values)
replace.restore()
def test_ois_fxfwd_xcswap_measures(mocker):
replace = Replacer()
dict_fns = {
"oisXccy": {
"fn": tm_rates.ois_xccy,
"queryType": QueryType.OIS_XCCY
},
"oisXccyExSpike": {
"fn": tm_rates.ois_xccy_ex_spike,
"queryType": QueryType.OIS_XCCY_EX_SPIKE
},
"usdOis": {
"fn": tm_rates.usd_ois,
"queryType": QueryType.USD_OIS
},
"nonUsdOis": {
"fn": tm_rates.non_usd_ois,
"queryType": QueryType.NON_USD_OIS
},
}
args = dict(tenor='3y', real_time=False)
for key in dict_fns:
fn = dict_fns[key]["fn"]
mock_jpy = Cross('MAYJPCVVF2RWXCES', 'USD/JPY')
xrefs = replace('gs_quant.timeseries.measures.Asset.get_identifier',
Mock())
xrefs.return_value = 'JPYUSD'
args['asset'] = mock_jpy
with pytest.raises(NotImplementedError):
fn(**args)
mock_eur = Cross('MAA0NE9QX2ABETG6', 'EUR/USD')
args['asset'] = mock_eur
xrefs = replace('gs_quant.timeseries.measures.Asset.get_identifier',
Mock())
xrefs.return_value = 'EURUSD'
with pytest.raises(NotImplementedError):
fn(..., real_time=True)
args['tenor'] = '5yr'
with pytest.raises(MqValueError):
fn(**args)
args['tenor'] = '3y'
test_data = {key: [1, 2, 3]}
df = MarketDataResponseFrame(data=test_data,
index=[
dt.date(2019, 1, 1),
dt.date(2019, 1, 2),
dt.date(2019, 1, 3)
])
identifiers = replace(
'gs_quant.timeseries.measures_rates._get_tdapi_rates_assets',
Mock())
identifiers.return_value = {'MAA9MVX15AJNQCVG'} # Test on EURUSD only
replace('gs_quant.timeseries.measures_rates._range_from_pricing_date',
Mock(), Mock()).return_value = [
dt.date(2019, 1, 2),
dt.date(2019, 1, 5)
]
replace('gs_quant.timeseries.measures_rates._market_data_timed',
Mock()).return_value = df
expected = tm_rates._extract_series_from_df(df,
dict_fns[key]["queryType"])
actual = fn(**args)
assert_series_equal(expected, actual)
replace.restore()
def test_normalized_performance():
idx = pd.date_range('2020-01-02', freq='D', periods=3)
expected = {
RiskAumSource.Net:
pd.Series(data=[1, 1 + 2 / 4, 1 + 6 / 6],
index=idx,
name='normalizedPerformance',
dtype='float64'),
RiskAumSource.Gross:
pd.Series(data=[1, 1 + 2 / 1.2, 1 + 6 / 1.3],
index=idx,
name='normalizedPerformance',
dtype='float64'),
RiskAumSource.Long:
pd.Series(data=[1, 1 + 2 / 1.2, 1 + 6 / 1.3],
index=idx,
name='normalizedPerformance',
dtype='float64'),
RiskAumSource.Short:
pd.Series(data=[1, 1 + 2 / 1.2, 1 + 6 / 1.3],
index=idx,
name='normalizedPerformance',
dtype='float64'),
RiskAumSource.Custom_AUM:
pd.Series(data=[1, 1 + 2 / 2.2, 1 + 6 / 2.4],
index=idx,
name='normalizedPerformance',
dtype='float64')
}
with DataContext(datetime.date(2020, 1, 1), datetime.date(2019, 1, 3)):
for k, v in expected.items():
df = MarketDataResponseFrame(data=ppa_data, dtype="float64")
replace = Replacer()
# 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_portfolio_constituents()
mock = replace(
'gs_quant.markets.report.PerformanceReport.get_portfolio_constituents',
Mock())
mock.return_value = MarketDataResponseFrame(data=constituents_data,
dtype="float64")
# mock PerformanceReport.get_many_measures()
mock = replace(
'gs_quant.markets.report.PerformanceReport.get_many_measures',
Mock())
mock.return_value = df
# mock PerformanceReport.get_custom_aum()
mock = replace(
'gs_quant.api.gs.portfolios.GsPortfolioApi.get_custom_aum',
Mock())
mock.return_value = aum
# 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'))
actual = mr.normalized_performance('MP1', k.value)
assert all(actual.values == v.values)
replace.restore()
