def _value_for_date(result: Union[DataFrameWithInfo, SeriesWithInfo], date: Union[Iterable, dt.date]) -> \
Union[DataFrameWithInfo, ErrorValue, FloatWithInfo]:
from gs_quant.markets import CloseMarket
raw_value = result.loc[date]
key = result.risk_key
risk_key = RiskKey(
key.provider, date if isinstance(date, dt.date) else tuple(date),
CloseMarket(date=date,
location=key.market.location if isinstance(
key.market, CloseMarket) else None), key.params,
key.scenario, key.risk_measure)
if isinstance(raw_value, ErrorValue):
return raw_value
elif isinstance(raw_value, DataFrameWithInfo):
raw_df = raw_value.raw_value.set_index('dates')
return DataFrameWithInfo(raw_df.reset_index(
drop=True) if isinstance(date, dt.date) else raw_df,
risk_key=risk_key,
unit=result.unit,
error=result.error)
elif isinstance(raw_value, SeriesWithInfo):
return SeriesWithInfo(raw_value.raw_value,
risk_key=risk_key,
unit=result.unit,
error=result.error)
else:
return FloatWithInfo(
risk_key,
raw_value,
unit=result.unit.get(date, '') if result.unit else None,
error=result.error)
def extract_market_data(this_result: DataFrameWithInfo):
market_data = {}
for _, row in this_result.iterrows():
coordinate_values = {p: row.get(p) for p in properties}
mkt_point = coordinate_values.get('mkt_point')
if mkt_point is not None:
coordinate_values['mkt_point'] = tuple(coordinate_values['mkt_point'].split(';'))
# return 'redacted' as coordinate value if its a redacted coordinate
market_data[MarketDataCoordinate.from_dict(coordinate_values)] = row['value'] if \
row['permissions'] == 'Granted' else 'redacted'
return market_data