def test_backtothefuture_pricing(mocker):
with MockCalc(mocker):
swap1 = IRSwap('Pay', '10y', 'USD', fixed_rate=0.01, name='swap1')
swap2 = IRSwap('Pay', '10y', 'USD', fixed_rate=0.02, name='swap2')
swap3 = IRSwap('Pay', '10y', 'USD', fixed_rate=0.03, name='swap3')
portfolio = Portfolio((swap1, swap2, swap3))
pricing_date = dt.date(2021, 2, 10)
with PricingContext(pricing_date=pricing_date):
with BackToTheFuturePricingContext(dates=business_day_offset(
pricing_date, [-1, 0, 1], roll='forward')) as hpc:
risk_key = hpc._PricingContext__risk_key(
risk.DollarPrice, swap1.provider)
results = portfolio.calc(risk.DollarPrice)
expected = risk.SeriesWithInfo(
pd.Series(
data=[-22711963.80864744, -22655907.930484552, -21582551.58922608],
index=business_day_offset(pricing_date, [-1, 0, 1],
roll='forward')),
risk_key=historical_risk_key(risk_key),
)
actual = results[risk.DollarPrice].aggregate()
assert actual.equals(expected)
def test_backtothefuture_pricing(mocker):
with MockCalc(mocker):
swap1 = IRSwap('Pay', '10y', 'USD', fixed_rate=0.01, name='swap1')
swap2 = IRSwap('Pay', '10y', 'USD', fixed_rate=0.02, name='swap2')
swap3 = IRSwap('Pay', '10y', 'USD', fixed_rate=0.03, name='swap3')
portfolio = Portfolio((swap1, swap2, swap3))
pricing_date = dt.date(2020, 10, 7)
with PricingContext(pricing_date=pricing_date):
with BackToTheFuturePricingContext(dates=business_day_offset(
pricing_date, [-1, 0, 1], roll='forward')) as hpc:
risk_key = hpc._PricingContext__risk_key(
risk.DollarPrice, swap1.provider)
results = portfolio.calc(risk.DollarPrice)
expected = risk.SeriesWithInfo(
pd.Series(
data=[-35280379.86540368, -35348910.76427929, -30830994.939595155],
index=business_day_offset(pricing_date, [-1, 0, 1],
roll='forward')),
risk_key=risk_key.ex_date_and_market,
)
actual = results[risk.DollarPrice].aggregate()
assert actual.equals(expected)
def test_backtothefuture_pricing(mocker):
set_session()
day1 = [
[
[{'$type': 'Risk', 'val': 0.01}],
[{'$type': 'Risk', 'val': 0.02}],
[{'$type': 'Risk', 'val': 0.03}],
]
]
day2 = [
[
[{'$type': 'Risk', 'val': 0.011}],
[{'$type': 'Risk', 'val': 0.021}],
[{'$type': 'Risk', 'val': 0.031}],
]
]
day3 = [
[
[{'$type': 'Risk', 'val': 0.012}],
[{'$type': 'Risk', 'val': 0.022}],
[{'$type': 'Risk', 'val': 0.032}],
]
]
mocker.return_value = [day1, day2, day3]
swap1 = IRSwap('Pay', '10y', 'USD', fixed_rate=0.01, name='swap1')
swap2 = IRSwap('Pay', '10y', 'USD', fixed_rate=0.02, name='swap2')
swap3 = IRSwap('Pay', '10y', 'USD', fixed_rate=0.03, name='swap3')
portfolio = Portfolio((swap1, swap2, swap3))
with BackToTheFuturePricingContext(dates=business_day_offset(dt.datetime.today().date(), [-1, 0, 1],
roll='forward')) as hpc:
risk_key = hpc._PricingContext__risk_key(risk.DollarPrice, swap1.provider)
results = portfolio.calc(risk.DollarPrice)
expected = risk.SeriesWithInfo(
pd.Series(
data=[0.06, 0.063, 0.066],
index=business_day_offset(dt.datetime.today().date(), [-1, 0, 1], roll='forward')
),
risk_key=risk_key.ex_date_and_market,)
actual = results[risk.DollarPrice].aggregate()
assert actual.equals(expected)