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 _get_factor_data(report_id: str, factor_name: str,
query_type: QueryType) -> pd.Series:
# Check params
report = FactorRiskReport.get(report_id)
if factor_name not in ['Factor', 'Specific', 'Total']:
if query_type in [QueryType.DAILY_RISK, QueryType.ANNUAL_RISK]:
raise MqValueError(
'Please pick a factor name from the following: ["Total", "Factor", "Specific"]'
)
model = FactorRiskModel.get(report.get_risk_model_id())
factor = model.get_factor(factor_name)
factor_name = factor.name
# Extract relevant data for each date
col_name = query_type.value.replace(' ', '')
col_name = decapitalize(col_name)
data_type = decapitalize(
col_name[6:]) if col_name.startswith('factor') else col_name
factor_data = report.get_results(factors=[factor_name],
start_date=DataContext.current.start_date,
end_date=DataContext.current.end_date,
return_format=ReturnFormat.JSON)
factor_exposures = [{
'date': d['date'],
col_name: d[data_type]
} for d in factor_data if d.get(data_type)]
# Create and return timeseries
df = pd.DataFrame(factor_exposures)
if not df.empty:
df.set_index('date', inplace=True)
df.index = pd.to_datetime(df.index)
return _extract_series_from_df(df, query_type)
def get_factor_risk_report(self,
risk_model_id: str = None,
fx_hedged: bool = None) -> FactorRiskReport:
if self.positioned_entity_type in [
EntityType.PORTFOLIO, EntityType.ASSET
]:
position_source_type = self.positioned_entity_type.value.capitalize(
)
reports = GsReportApi.get_reports(
limit=100,
position_source_type=position_source_type,
position_source_id=self.id,
report_type=f'{position_source_type} Factor Risk')
if fx_hedged:
reports = [
report for report in reports
if report.parameters.fx_hedged == fx_hedged
]
if risk_model_id:
reports = [
report for report in reports
if report.parameters.risk_model == risk_model_id
]
if len(reports) > 1:
raise MqError(
f'This {position_source_type} has more than one factor risk report that matches '
'your parameters. Please specify the risk model ID and fxHedged value in the '
'function parameters.')
if len(reports) == 0:
raise MqError(
f'This {position_source_type} has no factor risk reports that match your parameters.'
)
return FactorRiskReport.from_target(reports[0])
raise NotImplementedError
def get_reports(self) -> List[Report]:
if self.positioned_entity_type == EntityType.PORTFOLIO:
reports_as_target = GsPortfolioApi.get_reports(portfolio_id=self.id)
report_objects = []
for report in reports_as_target:
if report.type == ReportType.Portfolio_Performance_Analytics:
report_objects.append(PerformanceReport.from_target(report))
elif report.type in [ReportType.Portfolio_Factor_Risk, ReportType.Asset_Factor_Risk]:
report_objects.append(FactorRiskReport.from_target(report))
else:
report_objects.append(Report.from_target(report))
return report_objects
raise NotImplementedError
def get_factor_risk_reports(self, fx_hedged: bool = None) -> List[FactorRiskReport]:
if self.positioned_entity_type in [EntityType.PORTFOLIO, EntityType.ASSET]:
position_source_type = self.positioned_entity_type.value.capitalize()
reports = GsReportApi.get_reports(limit=100,
position_source_type=position_source_type,
position_source_id=self.id,
report_type=f'{position_source_type} Factor Risk')
if fx_hedged:
reports = [report for report in reports if report.parameters.fx_hedged == fx_hedged]
if len(reports) == 0:
raise MqError(f'This {position_source_type} has no factor risk reports that match your parameters.')
return [FactorRiskReport.from_target(report) for report in reports]
raise NotImplementedError
def get_reports(self) -> List[Report]:
"""
Get a list of all reports associated with the portfolio
:return: list of Report objects
"""
reports = []
reports_as_targets = GsPortfolioApi.get_reports(self.__portfolio_id)
for report_target in reports_as_targets:
if report_target.type in [
ReportType.Portfolio_Factor_Risk,
ReportType.Asset_Factor_Risk
]:
reports.append(FactorRiskReport.from_target(report_target))
if report_target.type == ReportType.Portfolio_Performance_Analytics:
reports.append(PerformanceReport.from_target(report_target))
return reports
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=None,
type=ReportType.Portfolio_Factor_Risk,
status=ReportStatus.done))
# run test
response = FactorRiskReport.get('PFRID')
assert response.type == ReportType.Portfolio_Factor_Risk
KIND, either express or implied. See the License for the
specific language governing permissions and limitations
under the License.
"""
import pytest
from gs_quant.api.gs.data import GsDataApi
from gs_quant.markets.report import FactorRiskReport, PerformanceReport, ThematicReport
from gs_quant.session import *
from gs_quant.target.reports import ReportStatus, PositionSourceType, ReportType, ReportParameters, Report
fake_pfr = FactorRiskReport(risk_model_id='AXUS4M',
fx_hedged=True,
report_id='PFRID',
position_source_type=PositionSourceType.Portfolio,
position_source_id='PORTFOLIOID',
report_type=ReportType.Portfolio_Factor_Risk,
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
)
fake_pta = ThematicReport(report_id='PTAID',
position_source_type=PositionSourceType.Portfolio,
position_source_id='PORTFOLIOID',
report_type=ReportType.Portfolio_Thematic_Analytics,