def test_skew_fx():
replace = Replacer()
mock = Cross('MAA0NE9QX2ABETG6', 'USD/EUR')
xrefs = replace('gs_quant.timeseries.measures.GsAssetApi.get_asset_xrefs', Mock())
xrefs.return_value = [GsTemporalXRef(dt.date(2019, 1, 1), dt.date(2952, 12, 31), XRef(bbid='EURUSD', ))]
replace('gs_quant.markets.securities.SecurityMaster.get_asset', mock)
replace('gs_quant.timeseries.measures.GsDataApi.get_market_data', mock_fx)
actual = tm.skew(Cross('MAA0NE9QX2ABETG6', 'USD/EUR'), '1m', None, 25)
assert_series_equal(pd.Series([2.0], index=_index, name='impliedVolatility'), actual)
replace.restore()
def test_cross_to_fxfwd_xcswp_asset(mocker):
replace = Replacer()
mocker.patch.object(GsSession.__class__,
'current',
return_value=GsSession.get(Environment.DEV,
'client_id', 'secret'))
mocker.patch.object(GsSession.current, '_get', side_effect=mock_request)
mocker.patch.object(SecurityMaster, 'get_asset', side_effect=mock_request)
bbid_mock = replace('gs_quant.timeseries.measures.Asset.get_identifier',
Mock())
correct_mapping = {
'EURUSD': {
"id": 'MA1VJC1E3SZW8E4S',
"crossID": "MAA9MVX15AJNQCVG"
},
'GBPUSD': {
"id": 'MA3JTR4HSC63H4V6',
"crossID": "MA58R87SPRMKKE7Z"
},
'AUDUSD': {
"id": 'MAD4VBRWYXFSY1N4',
"crossID": "MAJTN2XJVF97SYJK"
},
'NZDUSD': {
"id": 'MA1YHQMZVTM3VBWT',
"crossID": "MANQ8REB1VJ4JFTR"
},
'USDSEK': {
"id": 'MA2APZREBGDMME83',
"crossID": "MA4ZD5CZGC3Y6JZD"
},
'USDNOK': {
"id": 'MA0K3W6FKH6K1KJE',
"crossID": "MAZ0P16RPG5P0MVF"
},
'USDDKK': {
"id": 'MA328HZB86DYSWSJ',
"crossID": "MABCHYGJ1TCBCQE4"
},
'USDCAD': {
"id": 'MAT8JNEE2GN5NES6',
"crossID": "MAP8G81B2KHTYR07"
},
'USDCHF': {
"id": 'MABNGGTNB9A0TKCG',
"crossID": "MAMPQHNP1A26RS1C"
},
'USDJPY': {
"id": 'MAMZ9YG8AF3HQ18C',
"crossID": "MAYJPCVVF2RWXCES"
},
}
with tm.PricingContext(dt.date.today()):
for cross in correct_mapping:
asset = Cross(correct_mapping[cross]["crossID"], cross)
bbid_mock.return_value = cross
correct_id = tm_rates._cross_to_fxfwd_xcswp_asset(asset)
assert correct_mapping[cross]["id"] == correct_id
replace.restore()
def test_vol_fx():
replace = Replacer()
mock = Cross('MAA0NE9QX2ABETG6', 'USD/EUR')
xrefs = replace('gs_quant.timeseries.measures.GsAssetApi.get_asset_xrefs', Mock())
xrefs.return_value = [GsTemporalXRef(dt.date(2019, 1, 1), dt.date(2952, 12, 31), XRef(bbid='EURUSD', ))]
replace('gs_quant.markets.securities.SecurityMaster.get_asset', mock)
# for different delta strikes
replace('gs_quant.timeseries.measures.GsDataApi.get_market_data', mock_fx)
actual = tm.implied_volatility(mock, '1m', tm.VolReference.DELTA_CALL, 25)
assert_series_equal(pd.Series([5, 1, 2], index=_index * 3, name='impliedVolatility'), actual)
actual = tm.implied_volatility(mock, '1m', tm.VolReference.DELTA_PUT, 25)
assert_series_equal(pd.Series([5, 1, 2], index=_index * 3, name='impliedVolatility'), actual)
actual = tm.implied_volatility(mock, '1m', tm.VolReference.DELTA_NEUTRAL)
assert_series_equal(pd.Series([5, 1, 2], index=_index * 3, name='impliedVolatility'), actual)
actual = tm.implied_volatility(mock, '1m', tm.VolReference.FORWARD, 100)
assert_series_equal(pd.Series([5, 1, 2], index=_index * 3, name='impliedVolatility'), actual)
actual = tm.implied_volatility(mock, '1m', tm.VolReference.SPOT, 100)
assert_series_equal(pd.Series([5, 1, 2], index=_index * 3, name='impliedVolatility'), actual)
# NORMALIZED not supported
with pytest.raises(MqError):
tm.implied_volatility(mock, '1m', tm.VolReference.DELTA_CALL)
with pytest.raises(MqError):
tm.implied_volatility(mock, '1m', tm.VolReference.NORMALIZED, 25)
with pytest.raises(MqError):
tm.implied_volatility(mock, '1m', tm.VolReference.SPOT, 25)
with pytest.raises(MqError):
tm.implied_volatility(mock, '1m', tm.VolReference.FORWARD, 25)
replace.restore()
def test_vol_fx():
replace = Replacer()
# for different delta strikes
replace('gs_quant.timeseries.measures.GsDataApi.get_market_data', mock_fx)
actual = tm.implied_volatility(Cross('MA123', 'ABCXYZ'), '1m',
tm.VolReference.DELTA_PUT, 50)
assert_series_equal(
pd.Series([5, 1, 2], index=_index * 3, name='impliedVolatility'),
actual)
actual = tm.implied_volatility(Cross('MA123', 'ABCXYZ'), '1m',
tm.VolReference.DELTA_PUT, 25)
assert_series_equal(
pd.Series([5, 1, 2], index=_index * 3, name='impliedVolatility'),
actual)
actual = tm.implied_volatility(Cross('MA123', 'ABCXYZ'), '1m',
tm.VolReference.FORWARD, 100)
assert_series_equal(
pd.Series([5, 1, 2], index=_index * 3, name='impliedVolatility'),
actual)
actual = tm.implied_volatility(Cross('MA123', 'ABCXYZ'), '1m',
tm.VolReference.SPOT, 100)
assert_series_equal(
pd.Series([5, 1, 2], index=_index * 3, name='impliedVolatility'),
actual)
# NORMALIZED not supported
with pytest.raises(MqError):
tm.implied_volatility(Cross('MA123', 'ABCXYZ'), '1m',
tm.VolReference.NORMALIZED, 25)
with pytest.raises(MqError):
tm.implied_volatility(Cross('MA123', 'ABCXYZ'), '1m',
tm.VolReference.SPOT, 25)
with pytest.raises(MqError):
tm.implied_volatility(Cross('MA123', 'ABCXYZ'), '1m',
tm.VolReference.FORWARD, 25)
# triggers error if empty and name does not contain '/'
replace('gs_quant.timeseries.measures.GsDataApi.get_market_data',
mock_fx_empty)
with pytest.raises(MqError):
tm.implied_volatility(Cross('MA123', 'ABCXYZ'), '1m',
tm.VolReference.DELTA_CALL, 25)
# checking if reverse cross data is available
replace('gs_quant.timeseries.measures.GsDataApi.get_market_data',
mock_fx_empty)
replace('gs_quant.markets.securities.SecurityMaster.get_asset',
mock_fx_switch)
xyz = Cross("MA1889", "XYZ/ABC")
assert tm.implied_volatility(xyz, '1m', tm.VolReference.DELTA_PUT,
25).empty
replace.restore()
def test_vol_forecast_inverse():
replace = Replacer()
get_cross = replace('gs_quant.timeseries.measures.cross_to_usd_based_cross', Mock())
get_cross.return_value = "MATGYV0J9MPX534Z"
replace('gs_quant.timeseries.measures.GsDataApi.get_market_data', mock_fx)
mock = Cross("MAYJPCVVF2RWXCES", 'USD/JPY')
actual = tm.forecast(mock, '3m')
assert_series_equal(pd.Series([1 / 1.1, 1 / 1.1, 1 / 1.1], index=_index * 3, name='forecast'), actual)
replace.restore()
def test_basis():
replace = Replacer()
mock_jpyusd = Cross('MA890', 'USD/JPY')
xrefs = replace('gs_quant.timeseries.measures.GsAssetApi.get_asset_xrefs', Mock())
xrefs.return_value = [GsTemporalXRef(dt.date(2019, 1, 1), dt.date(2952, 12, 31), XRef(bbid='JPYUSD', ))]
identifiers = replace('gs_quant.timeseries.measures.GsAssetApi.map_identifiers', Mock())
identifiers.return_value = {'USD-3m/JPY-3m': 'MA123'}
replace('gs_quant.timeseries.measures.GsDataApi.get_market_data', mock_cross)
actual = tm.basis(mock_jpyusd, '1y')
assert_series_equal(pd.Series([1, 2, 3], index=_index * 3, name='basis'), actual)
with pytest.raises(NotImplementedError):
tm.basis(..., '1y', real_time=True)
replace.restore()
def test_vol_forecast():
replace = Replacer()
mock = Cross('MAA0NE9QX2ABETG6', 'USD/EUR')
xrefs = replace('gs_quant.timeseries.measures.GsAssetApi.get_asset_xrefs', Mock())
xrefs.return_value = [GsTemporalXRef(dt.date(2019, 1, 1), dt.date(2952, 12, 31), XRef(bbid='EURUSD', ))]
replace('gs_quant.markets.securities.SecurityMaster.get_asset', mock)
replace('gs_quant.timeseries.measures.GsDataApi.get_market_data', mock_fx)
actual = tm.forecast(mock, '1y')
assert_series_equal(pd.Series([1.1, 1.1, 1.1], index=_index * 3, name='forecast'), actual)
actual = tm.forecast(mock, '3m')
assert_series_equal(pd.Series([1.1, 1.1, 1.1], index=_index * 3, name='forecast'), actual)
with pytest.raises(NotImplementedError):
tm.forecast(mock, '1y', real_time=True)
replace.restore()
def test_skew():
replace = Replacer()
replace('gs_quant.timeseries.measures.GsDataApi.get_market_data', mock_fx)
actual = tm.skew(Cross('MA123', 'ABCXYZ'), '1m', None, 25)
assert_series_equal(
pd.Series([2.0], index=_index, name='impliedVolatility'), actual)
mock_spx = Index('MA890', AssetClass.Equity, 'SPX')
replace('gs_quant.timeseries.measures.GsDataApi.get_market_data', mock_eq)
actual = tm.skew(mock_spx, '1m', tm.SkewReference.DELTA, 25)
assert_series_equal(
pd.Series([2.0], index=_index, name='impliedVolatility'), actual)
replace('gs_quant.timeseries.measures.GsDataApi.get_market_data',
mock_eq_norm)
actual = tm.skew(mock_spx, '1m', tm.SkewReference.NORMALIZED, 4)
assert_series_equal(
pd.Series([2.0], index=_index, name='impliedVolatility'), actual)
replace('gs_quant.timeseries.measures.GsDataApi.get_market_data',
mock_eq_spot)
actual = tm.skew(mock_spx, '1m', tm.SkewReference.SPOT, 25)
assert_series_equal(
pd.Series([2.0], index=_index, name='impliedVolatility'), actual)
mock = replace('gs_quant.timeseries.measures.GsDataApi.get_market_data',
Mock())
mock.return_value = pd.DataFrame()
assert tm.skew(mock_spx, '1m', tm.SkewReference.SPOT, 25).empty
replace('gs_quant.timeseries.measures.GsDataApi.get_market_data', mock_inc)
with pytest.raises(MqError):
tm.skew(mock_spx, '1m', tm.SkewReference.DELTA, 25)
replace.restore()
with pytest.raises(MqError):
tm.skew(mock_spx, '1m', None, 25)
with pytest.raises(MqError):
tm.skew(mock_spx, '1m', tm.SkewReference.SPOT, 25, real_time=True)
def test_forward_price():
# Tests for US NG assets
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
replace = Replacer()
replace('gs_quant.timeseries.measures.GsDataApi.get_market_data',
mock_natgas_forward_price)
mock = CommodityNaturalGasHub('MA001', 'AGT')
with DataContext(datetime.date(2019, 1, 2), datetime.date(2019, 1, 2)):
actual = pd.Series(
tm.forward_price(mock, price_method='GDD', contract_range='F21'))
expected = pd.Series([2.880],
index=[datetime.date(2019, 1, 2)],
name='price')
assert_series_equal(expected, actual)
with pytest.raises(MqError):
tm.forward_price(Cross('MA002', 'USD/EUR'),
price_method='GDD',
contract_range='F21')
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 mock_fx_switch(_cls, _q, _n):
replace = Replacer()
replace('gs_quant.timeseries.measures.GsDataApi.get_market_data',
mock_fx_empty)
replace.restore()
return Cross('MA1889', 'ABC/XYZ')