def test_structured_calc(mocker):
set_session()
for priceable in priceables:
if priceable.assetClass == AssetClass.Rates:
for measure in (risk.IRDelta, risk.IRVega):
structured_calc(mocker, priceable, measure)
elif priceable.assetClass == AssetClass.FX:
for measure in (risk.FXDelta, risk.FXGamma, risk.FXVega):
structured_calc(mocker, priceable, measure)
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]] * len(priceables)]]
with PricingContext():
delta_f = [p.calc(risk.IRDelta) for p in priceables]
delta = risk.aggregate_risk(delta_f, threshold=0)
assert len(delta) == 2
def test_structured_calc(mocker):
set_session()
for priceable in priceables:
if priceable.assetClass == AssetClass.Rates:
for measure in (risk.IRDelta, risk.IRVega):
structured_calc(mocker, priceable, measure)
elif priceable.assetClass == AssetClass.FX:
for measure in (risk.FXDelta, risk.FXGamma, risk.FXVega):
structured_calc(mocker, priceable, measure)
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] * len(priceables)]
with PricingContext():
delta_f = [p.calc(risk.IRDelta) for p in priceables]
delta = risk.aggregate_risk(delta_f, threshold=0)
assert len(delta) == 2
def test_portfolio(mocker):
set_session()
dollar_price_values = [[[{
'date': '2019-10-07',
'value': 0.01
}], [{
'date': '2019-10-07',
'value': 0.02
}], [{
'date': '2019-10-07',
'value': 0.03
}]]]
dollar_price_ir_delta_values = [[[{
'date': '2019-10-07',
'value': 0.01
}], [{
'date': '2019-10-07',
'value': 0.02
}], [{
'date': '2019-10-07',
'value': 0.03
}]],
[[{
'date': '2019-10-07',
'marketDataType': 'IR',
'assetId': 'USD',
'pointClass': 'Swap',
'point': '1y',
'value': 0.01
}, {
'date': '2019-10-07',
'marketDataType': 'IR',
'assetId': 'USD',
'pointClass': 'Swap',
'point': '2y',
'value': 0.015
}],
[{
'date': '2019-10-07',
'marketDataType': 'IR',
'assetId': 'USD',
'pointClass': 'Swap',
'point': '1y',
'value': 0.02
}, {
'date': '2019-10-07',
'marketDataType': 'IR',
'assetId': 'USD',
'pointClass': 'Swap',
'point': '2y',
'value': 0.025
}],
[{
'date': '2019-10-07',
'marketDataType': 'IR',
'assetId': 'USD',
'pointClass': 'Swap',
'point': '1y',
'value': 0.03
}, {
'date': '2019-10-07',
'marketDataType': 'IR',
'assetId': 'USD',
'pointClass': 'Swap',
'point': '2y',
'value': 0.035
}]]]
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))
mocker.return_value = dollar_price_values
prices: PortfolioRiskResult = portfolio.dollar_price()
assert tuple(sorted(prices)) == (0.01, 0.02, 0.03)
assert round(prices.aggregate(), 2) == 0.06
assert prices[0] == 0.01
assert prices[swap2] == 0.02
assert prices['swap3'] == 0.03
mocker.return_value = dollar_price_ir_delta_values
result = portfolio.calc((risk.DollarPrice, risk.IRDelta))
assert tuple(result[risk.DollarPrice]) == (0.01, 0.02, 0.03)
assert result[risk.DollarPrice].aggregate() == 0.06
assert result[risk.DollarPrice]['swap3'] == 0.03
assert result[risk.DollarPrice]['swap3'] == result['swap3'][
risk.DollarPrice]
expected = risk.aggregate_risk(
[pd.DataFrame(v) for v in dollar_price_ir_delta_values[1]])
assert result[risk.IRDelta].aggregate().equals(expected)
prices_only = result[risk.DollarPrice]
assert tuple(prices) == tuple(prices_only)
def test_portfolio(mocker):
set_session()
dollar_price_values = [[[{
'date': '2019-10-07',
'value': 0.01
}], [{
'date': '2019-10-07',
'value': 0.02
}], [{
'date': '2019-10-07',
'value': 0.03
}]]]
dollar_price_ir_delta_values = [[[{
'date': '2019-10-07',
'value': 0.01
}], [{
'date': '2019-10-07',
'value': 0.02
}], [{
'date': '2019-10-07',
'value': 0.03
}]],
[[{
'date': '2019-10-07',
'marketDataType': 'IR',
'assetId': 'USD',
'pointClass': 'Swap',
'point': '1y',
'value': 0.01
}, {
'date': '2019-10-07',
'marketDataType': 'IR',
'assetId': 'USD',
'pointClass': 'Swap',
'point': '2y',
'value': 0.015
}],
[{
'date': '2019-10-07',
'marketDataType': 'IR',
'assetId': 'USD',
'pointClass': 'Swap',
'point': '1y',
'value': 0.02
}, {
'date': '2019-10-07',
'marketDataType': 'IR',
'assetId': 'USD',
'pointClass': 'Swap',
'point': '2y',
'value': 0.025
}],
[{
'date': '2019-10-07',
'marketDataType': 'IR',
'assetId': 'USD',
'pointClass': 'Swap',
'point': '1y',
'value': 0.03
}, {
'date': '2019-10-07',
'marketDataType': 'IR',
'assetId': 'USD',
'pointClass': 'Swap',
'point': '2y',
'value': 0.035
}]]]
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))
mocker.return_value = dollar_price_values
prices: PortfolioRiskResult = portfolio.dollar_price()
assert tuple(sorted(prices)) == (0.01, 0.02, 0.03)
assert round(prices.aggregate(), 2) == 0.06
assert prices[0] == 0.01
assert prices[swap2] == 0.02
assert prices['swap3'] == 0.03
mocker.return_value = dollar_price_ir_delta_values
result = portfolio.calc((risk.DollarPrice, risk.IRDelta))
assert tuple(result[risk.DollarPrice]) == (0.01, 0.02, 0.03)
assert result[risk.DollarPrice].aggregate() == 0.06
assert result[risk.DollarPrice]['swap3'] == 0.03
assert result[risk.DollarPrice]['swap3'] == result['swap3'][
risk.DollarPrice]
expected = risk.aggregate_risk([
risk.DataFrameWithInfo(PricingContext.current.pricing_key,
pd.DataFrame(v))
for v in dollar_price_ir_delta_values[1]
]).reset_index(drop=True)
actual = result[risk.IRDelta].aggregate().raw_value
assert actual.equals(expected)
prices_only = result[risk.DollarPrice]
assert tuple(prices) == tuple(prices_only)
swap4 = IRSwap('Pay', '10y', 'USD', fixed_rate=0.01, name='swap4')
portfolio.append(swap4)
assert len(portfolio.instruments) == 4
extracted_swap = portfolio.pop('swap2')
assert extracted_swap == swap2
assert len(portfolio.instruments) == 3
swap_dict = {'swap_5': swap1, 'swap_6': swap2, 'swap_7': swap3}
portfolio = Portfolio(swap_dict)
assert len(portfolio) == 3