def structured_calc(mocker, priceable: Priceable, measure: risk.RiskMeasure):
set_session()
values = {
'$type': 'RiskVector',
'asset': [0.01, 0.015],
'points': [
{'type': 'IR', 'asset': 'USD', 'class_': 'Swap', 'point': '1y'},
{'type': 'IR', 'asset': 'USD', 'class_': 'Swap', 'point': '2y'}
]
}
mocker.return_value = [[[[values]]]]
expected = risk.sort_risk(pd.DataFrame([
{'mkt_type': 'IR', 'mkt_asset': 'USD', 'mkt_class': 'Swap', 'mkt_point': '1y', 'value': 0.01},
{'mkt_type': 'IR', 'mkt_asset': 'USD', 'mkt_class': 'Swap', 'mkt_point': '2y', 'value': 0.015}
]))
current = PricingContext.current
result = priceable.calc(measure)
assert result.raw_value.equals(expected)
risk_requests = (risk.RiskRequest(
positions=(RiskPosition(instrument=priceable, quantity=1),),
measures=(measure,),
pricing_and_market_data_as_of=(PricingDateAndMarketDataAsOf(pricing_date=current.pricing_date,
market=current.market),),
parameters=RiskRequestParameters(raw_results=True),
wait_for_results=True),)
mocker.assert_called_with(risk_requests)
def structured_calc(mocker, priceable: Priceable, measure: risk.RiskMeasure):
set_session()
values = [{
'marketDataType': 'IR',
'assetId': 'USD',
'pointClass': 'Swap',
'point': '1y',
'value': 0.01
}, {
'marketDataType': 'IR',
'assetId': 'USD',
'pointClass': 'Swap',
'point': '2y',
'value': 0.015
}]
mocker.return_value = [[values]]
result = priceable.calc(measure)
expected = risk.sort_risk(pd.DataFrame(values))
assert result.equals(expected)
risk_request = risk.RiskRequest(
positions=(risk.RiskPosition(priceable, 1), ),
measures=(measure, ),
pricing_location=PricingContext.current.market_data_location,
pricing_and_market_data_as_of=PricingContext.current.
_pricing_market_data_as_of,
parameters=RiskRequestParameters(),
wait_for_results=True)
mocker.assert_called_with(risk_request)
def price(mocker, priceable: Priceable):
set_session()
mocker.return_value = [[[{'value': 0.01}]]]
result = priceable.dollar_price()
assert result == 0.01
risk_request = risk.RiskRequest(
positions=(risk.RiskPosition(priceable, 1),),
measures=(risk.DollarPrice,),
pricingLocation=PricingContext.current.market_data_location,
pricingAndMarketDataAsOf=PricingContext.current._pricing_market_data_as_of,
waitForResults=True)
mocker.assert_called_with(risk_request)
def scalar_calc(mocker, priceable: Priceable, measure: risk.RiskMeasure):
set_session()
mocker.return_value = [[[{'value': 0.01}]]]
result = priceable.calc(measure)
assert result == 0.01
risk_request = risk.RiskRequest(
positions=(risk.RiskPosition(priceable, 1),),
measures=(measure,),
pricing_location=PricingContext.current.market_data_location,
pricing_and_market_data_as_of=PricingContext.current._pricing_market_data_as_of,
parameters=RiskRequestParameters(),
wait_for_results=True)
mocker.assert_called_with(risk_request)
def scalar_calc(mocker, priceable: Priceable, measure: risk.RiskMeasure):
set_session()
mocker.return_value = [[[[{'$type': 'Risk', 'val': 0.01}]]]]
current = PricingContext.current
result = priceable.calc(measure)
assert result == 0.01
risk_requests = (risk.RiskRequest(
positions=(RiskPosition(instrument=priceable, quantity=1),),
measures=(measure,),
pricing_and_market_data_as_of=(PricingDateAndMarketDataAsOf(pricing_date=current.pricing_date,
market=current.market),),
parameters=RiskRequestParameters(raw_results=True),
wait_for_results=True),)
mocker.assert_called_with(risk_requests)
def price(mocker, priceable: Priceable):
set_session()
mocker.return_value = [[[[{'$type': 'Risk', 'val': 0.01}]]]]
result = priceable.dollar_price()
assert result == 0.01
risk_requests = (risk.RiskRequest(
positions=(risk.RiskPosition(priceable, 1), ),
measures=(risk.DollarPrice, ),
pricing_location=PricingContext.current.market_data_location,
pricing_and_market_data_as_of=PricingContext.current.
_pricing_market_data_as_of,
parameters=RiskRequestParameters(raw_results=True),
wait_for_results=True), )
mocker.assert_called_with(risk_requests)
