def _risk_keys_compatible(lhs, rhs) -> bool:
from gs_quant.markets import historical_risk_key
while isinstance(lhs, MultipleRiskMeasureResult):
lhs = next(iter(lhs.values()))
while isinstance(rhs, MultipleRiskMeasureResult):
rhs = next(iter(rhs.values()))
return historical_risk_key(lhs.risk_key).ex_measure == historical_risk_key(rhs.risk_key).ex_measure
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, -23671267.111283153],
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_historical_pricing(mocker):
with MockCalc(mocker):
swap1 = IRSwap('Pay', '10y', 'USD', fixed_rate='ATM+1', name='10y@a+1')
swap2 = IRSwap('Pay', '10y', 'USD', fixed_rate='ATM+2', name='10y@a+2')
swap3 = IRSwap('Pay', '10y', 'USD', fixed_rate='ATM+3', name='10y@a+3')
portfolio = Portfolio((swap1, swap2, swap3))
dates = (dt.date(2021, 2, 9), dt.date(2021, 2, 10), dt.date(2021, 2, 11))
with HistoricalPricingContext(dates=dates) as hpc:
risk_key = hpc._PricingContext__risk_key(risk.DollarPrice, swap1.provider)
results = portfolio.calc((risk.DollarPrice, risk.IRDelta))
expected = risk.SeriesWithInfo(
pd.Series(
data=[-580316.7895084377, -580373.4091600645, -580811.1441974249],
index=[dt.date(2021, 2, 9), dt.date(2021, 2, 10), dt.date(2021, 2, 11)]
),
risk_key=historical_risk_key(risk_key), )
assert results.dates == dates
actual = results[risk.DollarPrice].aggregate()
assert actual.equals(expected)
assert (results[dt.date(2021, 2, 9)][risk.DollarPrice]['10y@a+1'] ==
results[risk.DollarPrice][dt.date(2021, 2, 9)]['10y@a+1'])
assert (results[dt.date(2021, 2, 9)][risk.DollarPrice]['10y@a+1'] ==
results[risk.DollarPrice]['10y@a+1'][dt.date(2021, 2, 9)])
assert (results[dt.date(2021, 2, 9)][risk.DollarPrice]['10y@a+1'] ==
results['10y@a+1'][risk.DollarPrice][dt.date(2021, 2, 9)])
assert (results[dt.date(2021, 2, 9)][risk.DollarPrice]['10y@a+1'] ==
results['10y@a+1'][dt.date(2021, 2, 9)][risk.DollarPrice])
assert (results[dt.date(2021, 2, 9)][risk.DollarPrice]['10y@a+1'] ==
results[dt.date(2021, 2, 9)]['10y@a+1'][risk.DollarPrice])
def test_historical_pricing(mocker):
with MockCalc(mocker):
swap1 = IRSwap('Pay', '10y', 'USD', fixed_rate='ATM+1', name='10y@a+1')
swap2 = IRSwap('Pay', '10y', 'USD', fixed_rate='ATM+2', name='10y@a+2')
swap3 = IRSwap('Pay', '10y', 'USD', fixed_rate='ATM+3', name='10y@a+3')
portfolio = Portfolio((swap1, swap2, swap3))
dates = (dt.date(2019, 10, 7), dt.date(2019, 10,
8), dt.date(2019, 10, 9))
with HistoricalPricingContext(dates=dates) as hpc:
risk_key = hpc._PricingContext__risk_key(risk.DollarPrice,
swap1.provider)
results = portfolio.calc((risk.DollarPrice, risk.IRDelta))
expected = risk.SeriesWithInfo(
pd.Series(data=[
-564854.3640043903, -565604.2636791412, -564751.5121349357
],
index=[
dt.date(2019, 10, 7),
dt.date(2019, 10, 8),
dt.date(2019, 10, 9)
]),
risk_key=historical_risk_key(risk_key),
)
assert results.dates == dates
actual = results[risk.DollarPrice].aggregate()
assert actual.equals(expected)
assert (results[dt.date(2019, 10, 9)][risk.DollarPrice]['10y@a+1'] ==
results[risk.DollarPrice][dt.date(2019, 10, 9)]['10y@a+1'])
assert (results[dt.date(2019, 10, 9)][risk.DollarPrice]['10y@a+1'] ==
results[risk.DollarPrice]['10y@a+1'][dt.date(2019, 10, 9)])
assert (results[dt.date(2019, 10, 9)][risk.DollarPrice]['10y@a+1'] ==
results['10y@a+1'][risk.DollarPrice][dt.date(2019, 10, 9)])
assert (results[dt.date(
2019, 10,
9)][risk.DollarPrice]['10y@a+1'] == results['10y@a+1'][dt.date(
2019, 10, 9)][risk.DollarPrice])
assert (results[dt.date(
2019, 10, 9)][risk.DollarPrice]['10y@a+1'] == results[dt.date(
2019, 10, 9)]['10y@a+1'][risk.DollarPrice])
