def test_cache_addition_removal():
# Don't use a mocker here as it will hold refs to things and break the cache removal test
set_session()
p1 = IRSwap('Pay', '10y', 'DKK')
with PricingContext(use_cache=True):
market_data_location = PricingContext.current.market_data_location
pricing_date = PricingContext.current.pricing_date
p1.price()
assert PricingCache.get(p1, market_data_location, risk.Price, pricing_date)
assert not PricingCache.get(p1, market_data_location, risk.IRDelta,
pricing_date)
# Assert that deleting the cached instrument removes it from the PricingCache
# N.B, this may not work when debugging tests
del p1
p2 = IRSwap('Pay', '10y', 'DKK')
assert not PricingCache.get(p2, market_data_location, risk.Price,
pricing_date)
with PricingContext(use_cache=True):
p2.price()
assert PricingCache.get(p2, market_data_location, risk.Price, pricing_date)
# Change a property and assert that p2 is no longer cached
p2.notional_currency = 'EUR'
assert not PricingCache.get(p2, market_data_location, risk.Price,
pricing_date)
def test_cache_addition_removal():
set_session()
p1 = IRSwap('Pay', '10y', 'DKK')
with mock.patch('gs_quant.api.gs.risk.GsRiskApi._exec') as mocker:
mocker.return_value = [[[[{'$type': 'Risk', 'val': 0.07}]]]]
with PricingContext(use_cache=True) as pc:
p1.price()
price_key = pc._PricingContext__risk_key(risk.Price, p1.provider)
delta_key = pc._PricingContext__risk_key(risk.IRDelta, p1.provider)
assert PricingCache.get(price_key, p1)
assert not PricingCache.get(delta_key, p1)
# Assert that deleting the cached instrument removes it from the PricingCache
# N.B, this may not work when debugging tests
del p1
del mocker
import gc
gc.collect()
p2 = IRSwap('Pay', '10y', 'DKK')
p2_price_key = PricingContext.current._PricingContext__risk_key(
risk.Price, p2.provider)
# assert not PricingCache.get(p2_price_key)
with mock.patch('gs_quant.api.gs.risk.GsRiskApi._exec') as mocker:
mocker.return_value = [[[[{'$type': 'Risk', 'val': 0.07}]]]]
with PricingContext(use_cache=True):
p2_price = p2.price()
assert PricingCache.get(p2_price_key, p2) == p2_price.result()
# Assert that running under a scenario does not retrieve the base result
with mock.patch('gs_quant.api.gs.risk.GsRiskApi._exec') as mocker:
mocker.return_value = [[[[{'$type': 'Risk', 'val': 0.08}]]]]
with risk.RollFwd(date='1m'), PricingContext(use_cache=True) as spc:
# Don't want the price without the scenario
scenario_risk_key = spc._PricingContext__risk_key(
risk.Price, p2.provider)
assert not PricingCache.get(scenario_risk_key, p2)
scenario_price = p2.price()
assert PricingCache.get(scenario_risk_key,
p2) == scenario_price.result()
with PricingContext(use_cache=True) as pc, risk.RollFwd(date='1m'):
cached_scenario_price = PricingCache.get(
pc._PricingContext__risk_key(risk.Price, p2.provider), p2)
# Check that we get the cached scenario price
assert cached_scenario_price == scenario_price.result()
# Check the base result is still correct
assert PricingCache.get(p2_price_key, p2) == p2_price.result()
# Assert that caching respects parameters, such as csa
with mock.patch('gs_quant.api.gs.risk.GsRiskApi._exec') as mocker:
mocker.return_value = [[[[{'$type': 'Risk', 'val': 0.08}]]]]
with PricingContext(use_cache=True, csa_term='INVALID') as pc:
# Don't want the price with default csa
assert not PricingCache.get(
pc._PricingContext__risk_key(risk.Price, p2.provider), p2)
csa_price = p2.price()
with PricingContext(use_cache=True, csa_term='INVALID') as pc:
cached_csa_price = PricingCache.get(
pc._PricingContext__risk_key(risk.Price, p2.provider), p2)
# Check that we get the cached csa price
assert cached_csa_price == csa_price.result()
# Check the base result is still correct
assert PricingCache.get(p2_price_key, p2) == p2_price.result()
# Change a property and assert that p2 is no longer cached
p2.notional_currency = 'EUR'
assert not PricingCache.get(p2_price_key, p2)
def test_cache_addition_removal():
set_session()
p1 = IRSwap('Pay', '10y', 'DKK')
with mock.patch('gs_quant.api.gs.risk.GsRiskApi._exec') as mocker:
mocker.return_value = [[[{'date': '2019-10-07', 'value': 0.07}]]]
with PricingContext(use_cache=True):
p1.price()
assert PricingCache.get(p1, risk.Price)
assert not PricingCache.get(p1, risk.IRDelta)
# Assert that deleting the cached instrument removes it from the PricingCache
# N.B, this may not work when debugging tests
del p1
del mocker
import gc
gc.collect()
p2 = IRSwap('Pay', '10y', 'DKK')
assert not PricingCache.get(p2, risk.Price)
with mock.patch('gs_quant.api.gs.risk.GsRiskApi._exec') as mocker:
mocker.return_value = [[[{'date': '2019-10-07', 'value': 0.07}]]]
with PricingContext(use_cache=True):
p2_price = p2.price()
assert PricingCache.get(p2, risk.Price) == p2_price.result()
# Assert that running under a scenario does not retrieve the base result
with mock.patch('gs_quant.api.gs.risk.GsRiskApi._exec') as mocker:
mocker.return_value = [[[{'date': '2019-10-07', 'value': 0.08}]]]
with risk.CarryScenario(time_shift=30), PricingContext(use_cache=True) as spc:
# Don't want the price without the scenario
assert not PricingCache.get(p2, risk.Price)
scenario_price = p2.price()
scenario_pricing_key = spc.pricing_key
assert PricingCache.get(p2, risk.Price, scenario_pricing_key) == scenario_price.result()
with PricingContext(use_cache=True), risk.CarryScenario(time_shift=30):
cached_scenario_price = PricingCache.get(p2, risk.Price)
# Check that we get the cached scenario price
assert cached_scenario_price == scenario_price.result()
# Check the base result is still correct
assert PricingCache.get(p2, risk.Price) == p2_price.result()
# Assert that caching respects parameters, such as csa
with mock.patch('gs_quant.api.gs.risk.GsRiskApi._exec') as mocker:
mocker.return_value = [[[{'date': '2019-10-07', 'value': 0.08}]]]
with PricingContext(use_cache=True, csa_term='INVALID'):
# Don't want the price with default csa
assert not PricingCache.get(p2, risk.Price)
csa_price = p2.price()
with PricingContext(use_cache=True, csa_term='INVALID'):
cached_csa_price = PricingCache.get(p2, risk.Price)
# Check that we get the cached csa price
assert cached_csa_price == csa_price.result()
# Check the base result is still correct
assert PricingCache.get(p2, risk.Price) == p2_price.result()
# Change a property and assert that p2 is no longer cached
p2.notional_currency = 'EUR'
assert not PricingCache.get(p2, risk.Price)
