def calc(self, risk_measure: Union[RiskMeasure, Iterable[RiskMeasure]], fn=None)\
-> Union[DataFrameWithInfo, ErrorValue, FloatWithInfo, PriceableImpl, PricingFuture,
SeriesWithInfo, Tuple[MarketDataCoordinate, ...]]:
"""
Calculate the value of the risk_measure
:param risk_measure: the risk measure to compute, e.g. IRDelta (from gs_quant.risk)
:param fn: post-processing function (optional)
:return: a float or dataframe, depending on whether the value is scalar or structured, or a future thereof
(depending on how PricingContext is being used)
**Examples**
>>> from gs_quant.instrument import IRCap
>>> from gs_quant.risk import IRDelta
>>>
>>> cap = IRCap('1y', 'USD')
>>> delta = cap.calc(IRDelta)
delta is a dataframe
>>> from gs_quant.instrument import EqOption
>>> from gs_quant.risk import EqDelta
>>>
>>> option = EqOption('.SPX', '3m', 'ATMF', 'Call', 'European')
>>> delta = option.calc(EqDelta)
delta is a float
>>> from gs_quant.markets import PricingContext
>>>
>>> cap_usd = IRCap('1y', 'USD')
>>> cap_eur = IRCap('1y', 'EUR')
>>> with PricingContext():
>>> usd_delta_f = cap_usd.calc(IRDelta)
>>> eur_delta_f = cap_eur.calc(IRDelta)
>>>
>>> usd_delta = usd_delta_f.result()
>>> eur_delta = eur_delta_f.result()
usd_delta_f and eur_delta_f are futures, usd_delta and eur_delta are dataframes
"""
futures = {r: r.pricing_context.calc(self, r)
for r in ((risk_measure,) if isinstance(risk_measure, RiskMeasure) else risk_measure)}
future = MultipleRiskMeasureFuture(futures) if len(futures) > 1 else futures[risk_measure]
if fn is not None:
ret = PricingFuture()
def cb(f):
try:
ret.set_result(fn(f.result()))
except Exception as e:
ret.set_exception(e)
future.add_done_callback(cb)
future = ret
return future.result() if not (PricingContext.current.is_entered or PricingContext.current.is_async) else future
def calc(self, priceable: Priceable, risk_measure: Union[RiskMeasure, Iterable[RiskMeasure]])\
-> Union[list, DataFrameWithInfo, ErrorValue, FloatWithInfo, Future, MultipleRiskMeasureFuture,
SeriesWithInfo]:
"""
Calculate the risk measure for the priceable instrument. Do not use directly, use via instruments
:param priceable: The priceable (e.g. instrument)
:param risk_measure: The measure we wish to calculate
:return: A float, Dataframe, Series or Future (depending on is_async or whether the context is entered)
**Examples**
>>> from gs_quant.instrument import IRSwap
>>> from gs_quant.risk import IRDelta
>>>
>>> swap = IRSwap('Pay', '10y', 'USD', fixed_rate=0.01)
>>> delta = swap.calc(IRDelta)
"""
position = RiskPosition(priceable, priceable.get_quantity())
multiple_measures = not isinstance(risk_measure, RiskMeasure)
futures = {}
active_context_lock = self.__active_context.__lock if self.__active_context != self else nullcontext(
)
with self.__lock, active_context_lock:
for measure in risk_measure if multiple_measures else (
risk_measure, ):
scenario = self.__scenario
measure_future = self.__active_context.__futures.get(
(scenario, measure), {}).get(position)
if measure_future is None:
measure_future = PricingFuture(self.__active_context)
if self.__use_cache:
cached_result = PricingCache.get(
priceable, risk_measure)
if cached_result:
measure_future.set_result(cached_result)
if not measure_future.done():
self.__risk_measures_in_scenario_by_provider_and_position.setdefault(
priceable.provider(),
{}).setdefault(position,
{}).setdefault(scenario,
set()).add(measure)
self.__active_context.__futures.setdefault(
(scenario, measure), {})[position] = measure_future
futures[measure] = measure_future
future = MultipleRiskMeasureFuture(futures, result_future=PricingFuture(self.__active_context))\
if multiple_measures else futures[risk_measure]
if not (self.is_entered or self.__is_async):
if not future.done():
self._calc()
return future.result()
else:
return future
def calc(self, priceable: Priceable, risk_measure: Union[RiskMeasure, Iterable[RiskMeasure]])\
-> Union[dict, float, str, pd.DataFrame, pd.Series, Future]:
"""
Calculate the risk measure for the priceable instrument. Do not use directly, use via instruments
:param priceable: The priceable (e.g. instrument)
:param risk_measure: The measure we wish to calculate
:return: A float, Dataframe, Series or Future (depending on is_async or whether the context is entered)
**Examples**
>>> from gs_quant.instrument import IRSwap
>>> from gs_quant.risk import IRDelta
>>>
>>> swap = IRSwap('Pay', '10y', 'USD', fixed_rate=0.01)
>>> delta = swap.calc(IRDelta)
"""
from gs_quant.risk.results import MultipleRiskMeasureFuture
position = RiskPosition(priceable, priceable.get_quantity())
multiple_measures = not isinstance(risk_measure, RiskMeasure)
futures = {}
for measure in risk_measure if multiple_measures else (risk_measure, ):
measure_future = self.__futures.get(measure, {}).get(position)
if measure_future is None:
measure_future = Future()
if self.__use_cache:
cached_result = PricingCache.get(priceable,
self.market_data_location,
risk_measure,
self.pricing_date)
if cached_result:
measure_future.set_result(cached_result)
if not measure_future.done():
self.__risk_measures_by_provider_and_position.setdefault(
priceable.provider(),
{}).setdefault(position, set()).add(measure)
self.__futures.setdefault(measure,
{})[position] = measure_future
futures[measure] = measure_future
future = MultipleRiskMeasureFuture(
futures) if multiple_measures else futures[risk_measure]
if not (self._is_entered or self.__is_async):
if not future.done():
self._calc()
return future.result()
else:
return future
def calc(self, priceable: Priceable, risk_measure: Union[RiskMeasure, Iterable[RiskMeasure]])\
-> Union[list, DataFrameWithInfo, ErrorValue, FloatWithInfo, Future, MultipleRiskMeasureFuture,
SeriesWithInfo]:
"""
Calculate the risk measure for the priceable instrument. Do not use directly, use via instruments
:param priceable: The priceable (e.g. instrument)
:param risk_measure: The measure we wish to calculate
:return: A float, Dataframe, Series or Future (depending on is_async or whether the context is entered)
**Examples**
>>> from gs_quant.instrument import IRSwap
>>> from gs_quant.risk import IRDelta
>>>
>>> swap = IRSwap('Pay', '10y', 'USD', fixed_rate=0.01)
>>> delta = swap.calc(IRDelta)
"""
futures = {}
with self.__active_context.__lock:
for risk_measure in (risk_measure, ) if isinstance(
risk_measure, RiskMeasure) else risk_measure:
risk_key = self.__risk_key(risk_measure, priceable.provider())
future = self.__active_context.__pending.get(
(risk_key, priceable))
cached_result = PricingCache.get(
risk_key, priceable) if self.use_cache else None
if future is None:
future = PricingFuture(self.__active_context)
if cached_result is not None:
future.set_result(cached_result)
else:
self.__active_context.__pending[(risk_key,
priceable)] = future
futures[risk_measure] = future
future = MultipleRiskMeasureFuture(futures, result_future=self._result_future())\
if len(futures) > 1 else futures[risk_measure]
return self._return_calc_result(future)
def calc(self, risk_measure: Union[RiskMeasure, Iterable[RiskMeasure]], fn=None) \
-> Union[DataFrameWithInfo, ErrorValue, FloatWithInfo, PriceableImpl, PricingFuture,
SeriesWithInfo, Tuple[MarketDataCoordinate, ...]]:
"""
Calculate the value of the risk_measure
:param risk_measure: the risk measure to compute, e.g. IRDelta (from gs_quant.risk)
:param fn: post-processing function (optional)
:return: a float or dataframe, depending on whether the value is scalar or structured, or a future thereof
(depending on how PricingContext is being used)
**Examples**
>>> from gs_quant.instrument import IRCap
>>> from gs_quant.risk import IRDelta
>>>
>>> cap = IRCap('1y', 'USD')
>>> delta = cap.calc(IRDelta)
delta is a dataframe
>>> from gs_quant.instrument import EqOption
>>> from gs_quant.risk import EqDelta
>>>
>>> option = EqOption('.SPX', '3m', 'ATMF', 'Call', 'European')
>>> delta = option.calc(EqDelta)
delta is a float
>>> from gs_quant.markets import PricingContext
>>>
>>> cap_usd = IRCap('1y', 'USD')
>>> cap_eur = IRCap('1y', 'EUR')
>>> with PricingContext():
>>> usd_delta_f = cap_usd.calc(IRDelta)
>>> eur_delta_f = cap_eur.calc(IRDelta)
>>>
>>> usd_delta = usd_delta_f.result()
>>> eur_delta = eur_delta_f.result()
usd_delta_f and eur_delta_f are futures, usd_delta and eur_delta are dataframes
"""
single_measure = isinstance(risk_measure, RiskMeasure)
with self._pricing_context:
future = risk_measure.pricing_context.calc(self, risk_measure) if single_measure else \
MultipleRiskMeasureFuture(self, {r: r.pricing_context.calc(self, r) for r in risk_measure})
# Warn on use of deprecated measures
def warning_on_one_line(msg, category, _filename, _lineno, _file=None, _line=None):
return f'{category.__name__}:{msg}'
for measure in (risk_measure,) if single_measure else risk_measure:
if measure.name in DEPRECATED_MEASURES.keys():
message = '{0} risk measure is deprecated. Please use {1} instead and pass in arguments to describe ' \
'risk measure specifics.\n'.format(measure.name, DEPRECATED_MEASURES[measure.name])
warnings.simplefilter('once')
warnings.formatwarning = warning_on_one_line
warnings.warn(message, DeprecationWarning)
warnings.simplefilter('ignore')
if fn is not None:
ret = PricingFuture()
def cb(f):
try:
ret.set_result(fn(f.result()))
except Exception as e:
ret.set_exception(e)
future.add_done_callback(cb)
future = ret
return future if self._return_future else future.result()
