def test_swaption_vol_smile2_returns_no_data():
replace = Replacer()
df = ExtendedSeries()
replace('gs_quant.timeseries.measures.Asset.get_identifier', Mock()).return_value = "GBP"
replace('gs_quant.timeseries.measures_rates._get_tdapi_rates_assets', Mock(), Mock()).return_value = [
"MADWG3WHCKNE1DJA", "MAH6JK3TZJJGFQ65"]
replace('gs_quant.timeseries.measures_rates._range_from_pricing_date', Mock(), Mock()).return_value = [
dt.date(2020, 1, 2), dt.date(2020, 1, 2)]
replace('gs_quant.timeseries.measures_rates._market_data_timed', Mock()).return_value = df
with DataContext('2019-01-01', '2025-01-01'):
actual = tm_rates.swaption_vol_smile(Currency("GBP", name="GBP"), '3m', '10y')
assert_series_equal(ExtendedSeries(), actual)
replace.restore()
def test_swaption_vol_smile2_returns_data():
replace = Replacer()
test_data = dict(strikeRelative=["ATM", "ATM+50", "ATM+100"], swaptionVol=[1, 2, 3])
df = MarketDataResponseFrame(data=test_data, index=_index * 3)
replace('gs_quant.timeseries.measures.Asset.get_identifier', Mock()).return_value = "GBP"
replace('gs_quant.timeseries.measures_rates._get_tdapi_rates_assets', Mock(), Mock()).return_value = [
"MADWG3WHCKNE1DJA", "MAH6JK3TZJJGFQ65"]
replace('gs_quant.timeseries.measures_rates._range_from_pricing_date', Mock(), Mock()).return_value = [
dt.date(2020, 1, 2), dt.date(2020, 1, 2)]
replace('gs_quant.timeseries.measures_rates._market_data_timed', Mock()).return_value = df
with DataContext('2019-01-01', '2025-01-01'):
actual = tm_rates.swaption_vol_smile(Currency("GBP", name="GBP"), '3m', '10y')
assert_series_equal(pd.Series([1, 2, 3], index=[0.0, 50.0, 100.0]), pd.Series(actual))
replace.restore()
def test_swaption_vol_smile2_returns_throws():
with pytest.raises(NotImplementedError):
tm_rates.swaption_vol_smile(Currency("GBP", name="GBP"),
"1m",
"1m",
real_time=True)
