def test_vol_swap_strike_matches_no_assets_when_expiry_tenor_is_not_none():
with pytest.raises(MqValueError):
replace = Replacer()
base = Cross('MA667', 'EURUSD')
xrefs = replace('gs_quant.timeseries.measures.Asset.get_identifier', Mock())
xrefs.return_value = 'EURUSD'
mock_asset_1 = GsAsset(asset_class='FX', id='MA123', type_='VolatilitySwap', name='Test_asset',
parameters={"lastFixingDate": "1y"})
mock_asset_2 = GsAsset(asset_class='FX', id='MA123', type_='VolatilitySwap', name='Test_asset',
parameters={"lastFixingDate": "1y"})
assets = replace('gs_quant.timeseries.measures.GsAssetApi.get_many_assets', Mock())
assets.return_value = [mock_asset_1, mock_asset_2]
tm_fxo.vol_swap_strike(base, "10m", location=PricingLocation.LDN, real_time=False)
replace.restore()
def test_vol_swap_strike_matches_multiple_assets():
with pytest.raises(MqValueError):
replace = Replacer()
base = Cross('MA667', 'EURUSD')
xrefs = replace('gs_quant.timeseries.measures.Asset.get_identifier',
Mock())
xrefs.return_value = 'EURUSD'
mock_asset_1 = GsAsset(asset_class='FX',
id='MA123',
type_='VolatilitySwap',
name='Test_asset')
assets = replace(
'gs_quant.timeseries.measures.GsAssetApi.get_many_assets', Mock())
assets.return_value = [mock_asset_1, mock_asset_1]
tm_fxo.vol_swap_strike(base,
None,
location=PricingLocation.LDN,
real_time=False)
def test_vol_swap_strike():
replace = Replacer()
base = Cross('MA667', 'EURUSD')
xrefs = replace('gs_quant.timeseries.measures.Asset.get_identifier', Mock())
xrefs.return_value = 'EURUSD'
mock_asset_1 = GsAsset(asset_class='FX', id='MA123', type_='VolatilitySwap', name='Test_asset',
parameters={"lastFixingDate": "1y"})
mock_asset_2 = GsAsset(asset_class='FX', id='MA123', type_='VolatilitySwap', name='Test_asset',
parameters={"lastFixingDate": "2y"})
assets = replace('gs_quant.timeseries.measures.GsAssetApi.get_many_assets', Mock())
assets.return_value = [mock_asset_1, mock_asset_2]
mock_data = replace('gs_quant.timeseries.measures.GsDataApi.get_market_data', Mock())
mock_data.return_value = mock_df()
actual = tm_fxo.vol_swap_strike(base, "1y", location=PricingLocation.LDN, real_time=False)
assert_series_equal(tm_rates._extract_series_from_df(mock_df(), QueryType.STRIKE_VOL), actual)
actual = tm_fxo.vol_swap_strike(base, "1y", None, real_time=False)
assert_series_equal(tm_rates._extract_series_from_df(mock_df(), QueryType.STRIKE_VOL), actual)
replace.restore()
def test_vol_swap_strike_raises_exception():
with pytest.raises(NotImplementedError):
mock_asset_1 = GsAsset(asset_class='FX', id='MAW8SAXPSKYA94E2', type_='Option', name='Test_asset')
tm_fxo.vol_swap_strike(mock_asset_1, "none", "none", location=PricingLocation.LDN, real_time=True)