def test_swaption_swaption_vol_term2_throws():
with pytest.raises(NotImplementedError):
tm_rates.swaption_vol_term(Currency("GBP", name="GBP"),
tm.SwaptionTenorType.SWAP_MATURITY,
'5y',
0,
real_time=True)
def test_swaption_swaption_vol_term2_returns_data():
replace = Replacer()
df = MarketDataResponseFrame(
data=dict(expirationTenor=['1m', '6m', '1y'], terminationTenor=['1y', '2y', '3y'], swaptionVol=[1, 2, 3]),
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_term(Currency("GBP", name="GBP"), tm.SwaptionTenorType.SWAP_MATURITY, '5y', 0)
expected = pd.Series([1, 2, 3], index=pd.to_datetime(['2019-02-01', '2019-07-01', '2020-01-01']))
assert_series_equal(expected, pd.Series(actual), check_names=False)
with DataContext('2019-01-01', '2025-01-01'):
actual = tm_rates.swaption_vol_term(Currency("GBP", name="GBP"), tm.SwaptionTenorType.OPTION_EXPIRY, '5y', 0)
expected = pd.Series([1, 2, 3], index=pd.to_datetime(['2020-01-01', '2021-01-01', '2021-12-31']))
assert_series_equal(expected, pd.Series(actual), check_names=False)
replace.restore()
def test_swaption_swaption_vol_term2_returns_empty():
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_term(Currency("GBP", name="GBP"), tm.SwaptionTenorType.SWAP_MATURITY, '5y', 0)
assert_series_equal(ExtendedSeries(), actual, check_names=False)
replace.restore()