def test_var_term():
with DataContext('2018-01-01', '2019-01-01'):
_var_term_typical()
_var_term_empty()
_var_term_fwd()
with DataContext('2019-01-01', '2019-07-04'):
_var_term_fwd()
with DataContext('2018-01-16', '2018-12-31'):
out = _var_term_typical()
assert out.empty
with pytest.raises(MqError):
tm.var_term(..., pricing_date=300)
def _var_term_typical():
assert DataContext.current_is_set
data = {'tenor': ['1w', '2w', '1y', '2y'], 'varSwap': [1, 2, 3, 4]}
out = pd.DataFrame(data=data, index=pd.DatetimeIndex(['2018-01-01'] * 4))
replace = Replacer()
market_mock = replace(
'gs_quant.timeseries.measures.GsDataApi.get_market_data', Mock())
market_mock.return_value = out
actual = tm.var_term(Index('MA123', AssetClass.Equity, '123'))
idx = pd.DatetimeIndex(
['2018-01-08', '2018-01-15', '2019-01-01', '2020-01-01'],
name='varSwap')
expected = pd.Series([1, 2, 3, 4], name='varSwap', index=idx)
expected = expected.loc[DataContext.current.start_date:DataContext.current.
end_date]
if expected.empty:
assert actual.empty
else:
assert_series_equal(expected, actual, check_names=False)
market_mock.assert_called_once()
replace.restore()
return actual
def _var_term_fwd():
idx = pd.date_range('2018-01-01', periods=2, freq='D')
def mock_var_swap(_asset, tenor, _forward_start_date, **_kwargs):
if tenor == '1m':
return pd.Series([1, 2], idx, name='varSwap')
if tenor == '2m':
return pd.Series([3, 4], idx, name='varSwap')
return pd.Series()
replace = Replacer()
market_mock = replace('gs_quant.timeseries.measures.var_swap', Mock())
market_mock.side_effect = mock_var_swap
tenors_mock = replace('gs_quant.timeseries.measures._var_swap_tenors',
Mock())
tenors_mock.return_value = ['1m', '2m', '3m']
actual = tm.var_term(Index('MA123', AssetClass.Equity, '123'),
forward_start_date='1m')
idx = pd.DatetimeIndex(['2018-02-02', '2018-03-02'], name='varSwap')
expected = pd.Series([2, 4], name='varSwap', index=idx)
expected = expected.loc[DataContext.current.start_date:DataContext.current.
end_date]
if expected.empty:
assert actual.empty
else:
assert_series_equal(expected, actual, check_names=False)
market_mock.assert_called()
replace.restore()
return actual
def _var_term_empty():
replace = Replacer()
market_mock = replace('gs_quant.timeseries.measures.GsDataApi.get_market_data', Mock())
market_mock.return_value = pd.DataFrame()
actual = tm.var_term(Index('MAXYZ', AssetClass.Equity, 'XYZ'))
assert actual.empty
market_mock.assert_called_once()
replace.restore()