def get_excess_returns_query(self) -> DataQueryInfo:
marquee_id = SharpeAssets[self.currency.value].value
entity = Stock(marquee_id, "", "")
coordinate: DataCoordinate = DataCoordinate(
measure=DataMeasure.CLOSE_PRICE, frequency=DataFrequency.DAILY)
data_query: DataQuery = DataQuery(coordinate=coordinate,
start=self.start,
end=self.end)
return DataQueryInfo('excess_returns', None, data_query, entity)
def get_test_entity(entity_id: str):
entity = _read_entity(entity_id)
return Stock(id_=entity_id,
name=entity['name'],
currency=Currency.USD,
entity=entity)
def test_factor_zscore():
replace = Replacer()
# mock getting risk model entity()
mock = replace('gs_quant.api.gs.risk_models.GsRiskModelApi.get_risk_model',
Mock())
mock.return_value = mock_risk_model_obj
# mock getting risk model factor entity
mock = replace(
'gs_quant.api.gs.risk_models.GsFactorRiskModelApi.get_risk_model_data',
Mock())
mock.return_value = mock_risk_model_data
# mock getting risk model factor entity
mock = replace(
'gs_quant.api.gs.risk_models.GsFactorRiskModelApi.get_risk_model_factor_data',
Mock())
mock.return_value = mock_risk_model_factor_data
# mock getting asset gsid
mock = replace('gs_quant.markets.securities.Asset.get_identifier', Mock())
mock.return_value = '12345'
# mock getting risk model dates
mock = replace(
'gs_quant.api.gs.risk_models.GsRiskModelApi.get_risk_model_dates',
Mock())
mock.return_value = ['2020-01-01', '2020-01-02', '2020-01-03']
# mock getting risk model data
mock = replace('gs_quant.models.risk_model.FactorRiskModel.get_data',
Mock())
mock.return_value = {
'results': [{
'date': '2020-01-01',
'assetData': {
'factorExposure': [{
'factor_id': 1.01,
'factor_id_1': 1.23
}]
}
}, {
'date': '2020-01-02',
'assetData': {
'factorExposure': [{
'factor_id': 1.02,
'factor_id_1': 1.23
}]
}
}, {
'date': '2020-01-03',
'assetData': {
'factorExposure': [{
'factor_id': 1.03,
'factor_id_1': 1.23
}]
}
}]
}
with DataContext(datetime.date(2020, 1, 1), datetime.date(2020, 1, 3)):
actual = mrm.factor_zscore(Stock(id_='id', name='Fake Asset'),
'model_id', 'Factor Name')
assert all(actual.values == [1.01, 1.02, 1.03])
with pytest.raises(MqValueError):
mrm.factor_zscore(Stock(id_='id', name='Fake Asset'), 'model_id',
'Wrong Factor Name')
replace.restore()
def test_factor_exposure():
risk_model = RiskModel(coverage=CoverageType.Country, id_='model_id', name='Fake Risk Model',
term=Term.Long, universe_identifier=UniverseIdentifier.gsid, vendor='GS',
version=1.0)
risk_model_data = {
'results': [
{
'date': '2020-01-01',
'assetData': {
'factorExposure': [
{
'factor_id': 1.01,
'factor_id_1': 1.23
}
]
}
},
{
'date': '2020-01-02',
'assetData': {
'factorExposure': [
{
'factor_id': 1.02,
'factor_id_1': 1.23
}
]
}
},
{
'date': '2020-01-03',
'assetData': {
'factorExposure': [
{
'factor_id': 1.03,
'factor_id_1': 1.23
}
]
}
}
]
}
replace = Replacer()
# mock getting risk model entity()
mock = replace('gs_quant.api.gs.risk_models.GsRiskModelApi.get_risk_model', Mock())
mock.return_value = risk_model
# mock getting risk model factor entity
mock = replace('gs_quant.api.gs.risk_models.GsRiskModelApi.get_risk_model_factor_data', Mock())
mock.return_value = [{
'identifier': 'factor_id',
'type': 'Factor',
'name': "Factor Name"
}]
# mock getting asset gsid
mock = replace('gs_quant.markets.securities.Asset.get_identifiers', Mock())
mock.return_value = {'GSID': '12345'}
# mock getting risk model dates
mock = replace('gs_quant.api.gs.risk_models.GsRiskModelApi.get_risk_model_dates', Mock())
mock.return_value = ['2020-01-01', '2020-01-02', '2020-01-03']
# mock getting risk model data
mock = replace('gs_quant.markets.risk_model.RiskModel.get_data', Mock())
mock.return_value = risk_model_data
with DataContext(datetime.date(2020, 1, 1), datetime.date(2020, 1, 3)):
actual = mrm.factor_exposure(Stock(id_='id', name='Fake Asset'), 'model_id', 'Factor Name')
assert all(actual.values == [1.01, 1.02, 1.03])
with pytest.raises(MqValueError):
mrm.factor_exposure(Stock(id_='id', name='Fake Asset'), 'model_id', 'Wrong Factor Name')
replace.restore()