def resolve(
self,
in_place: bool = True
) -> Optional[Union[PricingFuture, PriceableImpl, dict]]:
pricing_context = self.__pricing_context
with pricing_context:
futures = [i.resolve(in_place) for i in self.__priceables]
if not in_place:
ret = {} if isinstance(PricingContext.current,
HistoricalPricingContext) else Portfolio(
name=self.name)
result_future = PricingFuture() if not isinstance(pricing_context, PricingContext) or\
pricing_context.is_async or pricing_context.is_entered else None
def cb(future):
if isinstance(ret, Portfolio):
ret.priceables = [f.result() for f in future.futures]
else:
priceables_by_date = {}
for future in futures:
for date, priceable in future.result().items():
priceables_by_date.setdefault(date,
[]).append(priceable)
for date, priceables in priceables_by_date.items():
ret[date] = Portfolio(priceables, name=self.name)
if result_future:
result_future.set_result(ret)
CompositeResultFuture(futures).add_done_callback(cb)
return result_future or ret
def market(self) -> Union[OverlayMarket, PricingFuture, dict]:
"""
Market Data map of coordinates and values. Note that this is not yet supported on all instruments
***Examples**
>>> from gs_quant.markets.portfolio import Portfolio
>>>
>>> portfolio = Portfolio(...)
>>> market = portfolio.market()
"""
pricing_context = self.__pricing_context
with pricing_context:
futures = [i.market() for i in self.all_instruments]
result_future = PricingFuture()
return_future = not isinstance(
pricing_context, PricingContext
) or pricing_context.is_async or pricing_context.is_entered
def cb(future: CompositeResultFuture):
def update_market_data(all_market_data, this_market_data):
for item in this_market_data:
existing_value = all_market_data.setdefault(
item.coordinate, item.value)
if abs(existing_value - item.value) > 1e-6:
raise ValueError(
f'Conflicting values for {item.coordinate}: {existing_value} vs {item.value}'
)
results = [f.result() for f in future.futures]
is_historical = isinstance(results[0], dict)
market_data = None if is_historical else {}
overlay_markets = {} if is_historical else None
for result in results:
if market_data is not None:
update_market_data(market_data, result.market_data)
else:
for market in result.values():
update_market_data(
overlay_markets.setdefault(market.base_market, {}),
market.market_data)
if market_data:
ret = OverlayMarket(base_market=results[0].base_market,
market_data=market_data)
else:
ret = {
base_market.date: OverlayMarket(base_market=base_market,
market_data=market_data)
for base_market, market_data in overlay_markets.items()
}
if result_future:
result_future.set_result(ret)
CompositeResultFuture(futures).add_done_callback(cb)
return result_future if return_future else result_future.result()
def resolve(self, in_place: bool = True) -> Optional[Union[PricingFuture, PriceableImpl, dict]]:
priceables = self._get_instruments(self.__position_context.position_date, in_place, True)
pricing_context = self._pricing_context
with pricing_context:
futures = [p.resolve(in_place) for p in priceables]
if not in_place:
ret = {} if isinstance(PricingContext.current, HistoricalPricingContext) else Portfolio(name=self.name)
result_future = PricingFuture() if self._return_future else None
def cb(future: CompositeResultFuture):
if isinstance(ret, Portfolio):
ret.priceables = [f.result() for f in future.futures]
else:
priceables_by_date = {}
for future in futures:
for date, priceable in future.result().items():
priceables_by_date.setdefault(date, []).append(priceable)
for date, priceables in priceables_by_date.items():
if any(p for p in priceables if not isinstance(p, PriceableImpl)):
_logger.error(f'Error resolving on {date}, skipping that date')
else:
ret[date] = Portfolio(priceables, name=self.name)
if result_future:
result_future.set_result(ret)
CompositeResultFuture(futures).add_done_callback(cb)
return result_future or ret