Python IRFloor Examples

Example #1

File: test_risk.py Project: akshay7194/gs-quant

    IRFloor
from gs_quant.markets import PricingContext
from gs_quant.session import Environment, GsSession
from gs_quant.target.risk import PricingDateAndMarketDataAsOf, RiskPosition, RiskRequestParameters, \
    OptimizationRequest

priceables = (
    CommodSwap('Electricity', '1y'),
    EqForward('GS.N', '1y'),
    EqOption('GS.N', '3m', 'ATMF', 'Call', 'European'),
    FXOption('EUR', 'USD', '1y', 'Call', strike_price='ATMF'),
    IRSwap('Pay', '10y', 'USD'),
    IRBasisSwap('10y', 'USD'),
    IRSwaption('Pay', '10y', 'USD'),
    IRCap('10y', 'EUR'),
    IRFloor('10y', 'EUR')
)


def set_session():
    from gs_quant.session import OAuth2Session
    OAuth2Session.init = mock.MagicMock(return_value=None)
    GsSession.use(Environment.QA, 'client_id', 'secret')


def structured_calc(mocker, priceable: Priceable, measure: risk.RiskMeasure):
    set_session()

    values = {
        '$type': 'RiskVector',
        'asset': [0.01, 0.015],

Example #2

File: test_risk.py Project: viniciusmaroli/gs-quant

from gs_quant.api.gs.risk import GsRiskApi
from gs_quant.base import Priceable
from gs_quant.common import AssetClass
from gs_quant.instrument import CommodSwap, EqForward, EqOption, FXOption, IRBasisSwap, IRSwap, IRSwaption, IRCap,\
    IRFloor
from gs_quant.markets import PricingContext
from gs_quant.session import Environment, GsSession
from gs_quant.target.risk import PricingDateAndMarketDataAsOf, RiskPosition, RiskRequestParameters, \
    APEXOptimizationRequest

priceables = (CommodSwap('Electricity', '1y'), EqForward('GS.N', '1y'),
              EqOption('GS.N', '3m', 'ATMF', 'Call', 'European'),
              FXOption('EUR', 'USD', '1y', 'Call',
                       strike_price='ATMF'), IRSwap('Pay', '10y', 'USD'),
              IRBasisSwap('10y', 'USD'), IRSwaption('Pay', '10y', 'USD'),
              IRCap('10y', 'EUR'), IRFloor('10y', 'EUR'))


def set_session():
    from gs_quant.session import OAuth2Session
    OAuth2Session.init = mock.MagicMock(return_value=None)
    GsSession.use(Environment.QA, 'client_id', 'secret')


def structured_calc(mocker, priceable: Priceable, measure: risk.RiskMeasure):
    set_session()

    values = {
        '$type':
        'RiskVector',
        'asset': [0.01, 0.015],