def test_aggregation_with_diff_risk_keys(mocker):
with MockCalc(mocker):
portfolio1 = Portfolio([
IRSwaption('Pay',
'10y',
'EUR',
expiration_date='3m',
name='EUR3m10ypayer')
])
portfolio2 = Portfolio([
IRSwaption('Pay',
'10y',
'EUR',
expiration_date='6m',
name='EUR6m10ypayer')
])
with PricingContext(csa_term='EUR-OIS', visible_to_gs=True):
r1 = portfolio1.price()
with PricingContext(csa_term='EUR-EuroSTR'):
r2 = portfolio2.price()
combined_result = r1 + r2
with pytest.raises(ValueError):
combined_result.aggregate()
assert isinstance(combined_result.aggregate(allow_mismatch_risk_keys=True),
float)
from gs_quant.common import PayReceive, Currency # import constants
from gs_quant.instrument import IRSwaption # import instruments
from gs_quant.markets.portfolio import Portfolio
from gs_quant.session import Environment, GsSession # import sessions
client_id = None # Supply your application id
client_secret = None # Supply your client secret
scopes = ('run_analytics', )
GsSession.use(Environment.PROD, client_id, client_secret, scopes)
swaption1 = IRSwaption(PayReceive.Pay,
'5y',
Currency.EUR,
expiration_date='3m',
name='EUR-3m5y')
swaption2 = IRSwaption(PayReceive.Pay,
'5y',
Currency.EUR,
expiration_date='6m',
name='EUR-6m5y')
portfolio = Portfolio((swaption1, swaption2))
# price of individual instrument
price_result = portfolio.price()
print(price_result['EUR-3m5y'])
# price for entire portfolio
price_agg = price_result.aggregate()
print(price_agg)