from gs_quant.datetime.time import to_zulu_string
import gs_quant.risk as risk
from gs_quant.api.gs.risk import GsRiskApi
from gs_quant.base import Priceable
from gs_quant.common import AssetClass
from gs_quant.instrument import CommodSwap, EqForward, EqOption, FXOption, IRBasisSwap, IRSwap, IRSwaption, IRCap,\
IRFloor
from gs_quant.markets import PricingContext
from gs_quant.session import Environment, GsSession
from gs_quant.target.risk import PricingDateAndMarketDataAsOf, RiskPosition, RiskRequestParameters, \
OptimizationRequest
priceables = (
CommodSwap('Electricity', '1y'),
EqForward('GS.N', '1y'),
EqOption('GS.N', '3m', 'ATMF', 'Call', 'European'),
FXOption('EUR', 'USD', '1y', 'Call', strike_price='ATMF'),
IRSwap('Pay', '10y', 'USD'),
IRBasisSwap('10y', 'USD'),
IRSwaption('Pay', '10y', 'USD'),
IRCap('10y', 'EUR'),
IRFloor('10y', 'EUR')
)
def set_session():
from gs_quant.session import OAuth2Session
OAuth2Session.init = mock.MagicMock(return_value=None)
GsSession.use(Environment.QA, 'client_id', 'secret')
under the License.
"""
import datetime as dt
from unittest import mock
import gs_quant.target.backtests as backtests
from gs_quant.api.gs.backtests import GsBacktestApi
from gs_quant.backtests.core import Backtest, QuantityType, TradeInMethod
from gs_quant.backtests.strategy_systematic import StrategySystematic
from gs_quant.instrument import EqOption
from gs_quant.session import *
from gs_quant.target.backtests import *
underlierList = [
EqOption("MA4B66MW5E27U8P32SB", "3m", 3000, 'Call', 'European'),
EqOption("MA4B66MW5E27U8P32SB", "3m", 3000, 'Put', 'European')
]
hedge = DeltaHedgeParameters(frequency='Daily')
strategy = StrategySystematic(name="Mock Test",
underliers=underlierList,
delta_hedge=hedge,
quantity=1,
quantity_type=QuantityType.Notional,
trade_in_method=TradeInMethod.FixedRoll,
roll_frequency='1m')
def set_session():