def test_vol_term():
with DataContext('2018-01-01', '2019-01-01'):
_vol_term_typical(tm.SkewReference.SPOT, 100)
_vol_term_typical(tm.SkewReference.NORMALIZED, 4)
_vol_term_empty()
with DataContext('2018-01-16', '2018-12-31'):
out = _vol_term_typical(tm.SkewReference.SPOT, 100)
assert out.empty
with pytest.raises(NotImplementedError):
tm.vol_term(..., tm.SkewReference.SPOT, 100, real_time=True)
def _vol_term_typical(reference, value):
from gs_quant.target.common import FieldFilterMap
assert DataContext.current_is_set
data = {
'tenor': ['1w', '2w', '1y', '2y'],
'impliedVolatility': [1, 2, 3, 4]
}
out = pd.DataFrame(data=data, index=pd.DatetimeIndex(['2018-01-01'] * 4))
replace = Replacer()
market_mock = replace('gs_quant.timeseries.measures.GsDataApi.get_market_data', Mock())
market_mock.return_value = out
ffm_mock = replace('gs_quant.timeseries.measures.FieldFilterMap', Mock(spec=FieldFilterMap))
actual = tm.vol_term(Index('MA123', AssetClass.Equity, '123'), reference, value)
idx = pd.DatetimeIndex(['2018-01-08', '2018-01-15', '2019-01-01', '2020-01-01'], name='expirationDate')
expected = pd.Series([1, 2, 3, 4], name='impliedVolatility', index=idx)
expected = expected.loc[DataContext.current.start_date: DataContext.current.end_date]
if expected.empty:
assert actual.empty
else:
assert_series_equal(expected, actual)
market_mock.assert_called_once()
ffm_mock.assert_called_once_with(relativeStrike=value if reference == tm.SkewReference.NORMALIZED else value / 100,
strikeReference=unittest.mock.ANY)
replace.restore()
return actual
def _vol_term_empty():
replace = Replacer()
market_mock = replace('gs_quant.timeseries.measures.GsDataApi.get_market_data', Mock())
market_mock.return_value = pd.DataFrame()
actual = tm.vol_term(Index('MAXYZ', AssetClass.Equity, 'XYZ'), tm.SkewReference.DELTA, 777)
assert actual.empty
market_mock.assert_called_once()
replace.restore()
