def test_multiple_measures(mocker):
day = [
[
[{
'$type': 'RiskVector',
'asset': [0.01, 0.015],
'points': [
{'type': 'IR Vol', 'asset': 'USD-LIBOR-BBA', 'class_': 'Swap', 'point': '1y'},
{'type': 'IR Vol', 'asset': 'USD-LIBOR-BBA', 'class_': 'Swap', 'point': '2y'}
]
}]
],
[
[{
'$type': 'RiskVector',
'asset': [0.01, 0.015],
'points': [
{'type': 'IR', 'asset': 'USD', 'class_': 'Swap', 'point': '1y'},
{'type': 'IR', 'asset': 'USD', 'class_': 'Swap', 'point': '2y'}
]
}],
],
[
[{'$type': 'Risk', 'val': 0.01}]
]
]
mocker.return_value = [day, day, day]
set_session()
ir_swaption = IRSwaption('Pay', '10y', 'USD')
dates = (dt.date(2019, 10, 7), dt.date(2019, 10, 8), dt.date(2019, 10, 9))
with HistoricalPricingContext(dates=dates, use_cache=True):
ir_swaption.price()
ir_swaption.calc(risk.IRDelta)
ir_swaption.calc(risk.IRVega)
# make sure all the risk measures got cached correctly
for date in dates:
with PricingContext(pricing_date=date) as pc:
for risk_measure in (risk.Price, risk.IRDelta, risk.IRVega):
val = PricingCache.get(pc._PricingContext__risk_key(risk_measure, ir_swaption.provider), ir_swaption)
assert val is not None
with PricingContext(pricing_date=dt.date(2019, 10, 11)) as pc:
for risk_measure in (risk.Price, risk.IRDelta, risk.IRVega):
val = PricingCache.get(pc._PricingContext__risk_key(risk_measure, ir_swaption.provider), ir_swaption)
assert val is None
def test_multiple_measures(mocker):
values = [[[{
'date': '2019-10-07',
'marketDataType': 'IR Vol',
'assetId': 'USD-LIBOR-BBA',
'pointClass': 'Swap',
'point': '1y',
'value': 0.01
}, {
'date': '2019-10-07',
'marketDataType': 'IR Vol',
'assetId': 'USD-LIBOR-BBA',
'pointClass': 'Swap',
'point': '2y',
'value': 0.015
}, {
'date': '2019-10-08',
'marketDataType': 'IR Vol',
'assetId': 'USD-LIBOR-BBA',
'pointClass': 'Swap',
'point': '1y',
'value': 0.01
}, {
'date': '2019-10-08',
'marketDataType': 'IR Vol',
'assetId': 'USD-LIBOR-BBA',
'pointClass': 'Swap',
'point': '2y',
'value': 0.015
}, {
'date': '2019-10-09',
'marketDataType': 'IR Vol',
'assetId': 'USD-LIBOR-BBA',
'pointClass': 'Swap',
'point': '1y',
'value': 0.01
}, {
'date': '2019-10-09',
'marketDataType': 'IR Vol',
'assetId': 'USD-LIBOR-BBA',
'pointClass': 'Swap',
'point': '2y',
'value': 0.015
}]],
[[{
'date': '2019-10-07',
'marketDataType': 'IR',
'assetId': 'USD',
'pointClass': 'Swap',
'point': '1y',
'value': 0.01
}, {
'date': '2019-10-07',
'marketDataType': 'IR',
'assetId': 'USD',
'pointClass': 'Swap',
'point': '2y',
'value': 0.015
}, {
'date': '2019-10-08',
'marketDataType': 'IR',
'assetId': 'USD',
'pointClass': 'Swap',
'point': '1y',
'value': 0.01
}, {
'date': '2019-10-08',
'marketDataType': 'IR',
'assetId': 'USD',
'pointClass': 'Swap',
'point': '2y',
'value': 0.015
}, {
'date': '2019-10-09',
'marketDataType': 'IR',
'assetId': 'USD',
'pointClass': 'Swap',
'point': '1y',
'value': 0.01
}, {
'date': '2019-10-09',
'marketDataType': 'IR',
'assetId': 'USD',
'pointClass': 'Swap',
'point': '2y',
'value': 0.015
}]],
[[{
'date': '2019-10-07',
'value': 0.01
}, {
'date': '2019-10-08',
'value': 0.01
}, {
'date': '2019-10-09',
'value': 0.01
}]]]
mocker.return_value = values
set_session()
ir_swaption = IRSwaption('Pay', '10y', 'USD')
dates = (dt.date(2019, 10, 7), dt.date(2019, 10, 8), dt.date(2019, 10, 9))
with HistoricalPricingContext(dates=dates, use_cache=True):
market_data_location = PricingContext.current.market_data_location
ir_swaption.price()
ir_swaption.calc(risk.IRDelta)
ir_swaption.calc(risk.IRVega)
# make sure all the risk measures got cached correctly
cached = PricingCache.get(ir_swaption, market_data_location, risk.Price,
dates)
assert len(cached) == len(dates)
cached1 = PricingCache.get(ir_swaption, market_data_location, risk.IRDelta,
dates)
assert len(cached1.index.unique()) == len(dates)
cached2 = PricingCache.get(ir_swaption, market_data_location, risk.IRVega,
dates)
assert len(cached2.index.unique()) == len(dates)
# date not in cache
cached3 = PricingCache.get(ir_swaption, market_data_location, risk.IRVega,
dt.date(2019, 10, 11))
assert cached3 is None
# subset from cache
subset = dates[0:2]
cached4 = PricingCache.get(ir_swaption, market_data_location, risk.Price,
subset)
assert len(cached4) == len(subset)
# intersection
subset += (dt.date(2019, 10, 2), )
cached5 = PricingCache.get(ir_swaption, market_data_location, risk.Price,
subset)
assert len(cached5) == len(subset) - 1
def test_multiple_measures(mocker):
values = [[[{
'$type':
'RiskVector',
'asset': [0.01, 0.015],
'points': [{
'type': 'IR Vol',
'asset': 'USD-LIBOR-BBA',
'class_': 'Swap',
'point': '1y'
}, {
'type': 'IR Vol',
'asset': 'USD-LIBOR-BBA',
'class_': 'Swap',
'point': '2y'
}]
}, {
'$type':
'RiskVector',
'asset': [0.01, 0.015],
'points': [{
'type': 'IR Vol',
'asset': 'USD-LIBOR-BBA',
'class_': 'Swap',
'point': '1y'
}, {
'type': 'IR Vol',
'asset': 'USD-LIBOR-BBA',
'class_': 'Swap',
'point': '2y'
}]
}, {
'$type':
'RiskVector',
'asset': [0.01, 0.015],
'points': [{
'type': 'IR Vol',
'asset': 'USD-LIBOR-BBA',
'class_': 'Swap',
'point': '1y'
}, {
'type': 'IR Vol',
'asset': 'USD-LIBOR-BBA',
'class_': 'Swap',
'point': '2y'
}]
}]],
[[{
'$type':
'RiskVector',
'asset': [0.01, 0.015],
'points': [{
'type': 'IR',
'asset': 'USD',
'class_': 'Swap',
'point': '1y'
}, {
'type': 'IR',
'asset': 'USD',
'class_': 'Swap',
'point': '2y'
}]
}, {
'$type':
'RiskVector',
'asset': [0.01, 0.015],
'points': [{
'type': 'IR',
'asset': 'USD',
'class_': 'Swap',
'point': '1y'
}, {
'type': 'IR',
'asset': 'USD',
'class_': 'Swap',
'point': '2y'
}]
}, {
'$type':
'RiskVector',
'asset': [0.01, 0.015],
'points': [{
'type': 'IR',
'asset': 'USD',
'class_': 'Swap',
'point': '1y'
}, {
'type': 'IR',
'asset': 'USD',
'class_': 'Swap',
'point': '2y'
}]
}]],
[[{
'$type': 'Risk',
'val': 0.01
}, {
'$type': 'Risk',
'val': 0.01
}, {
'$type': 'Risk',
'val': 0.01
}]]]
mocker.return_value = [values]
set_session()
ir_swaption = IRSwaption('Pay', '10y', 'USD')
dates = (dt.date(2019, 10, 7), dt.date(2019, 10, 8), dt.date(2019, 10, 9))
with HistoricalPricingContext(dates=dates, use_cache=True) as hpc:
pricing_key = hpc.pricing_key
ir_swaption.price()
ir_swaption.calc(risk.IRDelta)
ir_swaption.calc(risk.IRVega)
# make sure all the risk measures got cached correctly
cached = PricingCache.get(ir_swaption, risk.Price, pricing_key)
assert len(cached) == len(dates)
cached1 = PricingCache.get(ir_swaption, risk.IRDelta, pricing_key)
assert len(cached1.index.unique()) == len(dates)
cached2 = PricingCache.get(ir_swaption, risk.IRVega, pricing_key)
assert len(cached2.index.unique()) == len(dates)
# date not in cache
cached3 = PricingCache.get(
ir_swaption, risk.IRVega,
PricingContext(pricing_date=dt.date(2019, 10, 11)).pricing_key)
assert cached3 is None
# subset from cache
subset_key = HistoricalPricingContext(dates=dates[0:2]).pricing_key
cached4 = PricingCache.get(ir_swaption, risk.Price, subset_key)
assert len(cached4) == 2
# intersection
subset_key = HistoricalPricingContext(dates=dates[0:2] +
(dt.date(2019, 10, 2), )).pricing_key
cached5 = PricingCache.get(ir_swaption,
risk.Price,
subset_key,
return_partial=True)
assert len(cached5) == 2