def test_vol():
replace = Replacer()
mock_spx = Index('MA890', AssetClass.Equity, 'SPX')
replace('gs_quant.timeseries.measures.GsDataApi.get_market_data', mock_eq)
actual = tm.implied_volatility(mock_spx, '1m', tm.VolReference.DELTA_CALL, 25)
assert_series_equal(pd.Series([5, 1, 2], index=_index * 3, name='impliedVolatility'), actual)
actual = tm.implied_volatility(mock_spx, '1m', tm.VolReference.DELTA_PUT, 75)
assert_series_equal(pd.Series([5, 1, 2], index=_index * 3, name='impliedVolatility'), actual)
with pytest.raises(NotImplementedError):
tm.implied_volatility(mock_spx, '1m', tm.VolReference.DELTA_NEUTRAL)
replace.restore()
def implied_volatility_fxvol(asset: Asset,
tenor: str,
strike_reference: VolReference = None,
relative_strike: Real = None,
location: Optional[PricingLocation] = None,
legacy_implementation: bool = True,
*,
source: str = None,
real_time: bool = False,
request_id: Optional[str] = None) -> Series:
"""
Volatility of an asset implied by observations of market prices.
:param asset: asset object loaded from security master
:param tenor: relative date representation of expiration date e.g. 1m
or absolute calendar strips e.g. 'Cal20', 'F20-G20'
:param strike_reference: reference for strike level
:param relative_strike: strike relative to reference
:param location: location of the data snapshot Example - "HKG", "LDN", "NYC"
:param legacy_implementation: use FX_IVOl over FX_VANILLA_OPTIONS_VOLS
:param source: name of function caller
:param real_time: whether to retrieve intraday data instead of EOD
:param request_id: service request id, if any
:return: implied volatility curve
"""
if legacy_implementation:
return (tm.implied_volatility(asset,
tenor,
strike_reference,
relative_strike,
source=source,
real_time=real_time,
request_id=request_id))
bbid = asset.get_identifier(AssetIdentifier.BLOOMBERG_ID)
if bbid is not None:
cross = _cross_stored_direction_helper(bbid)
if cross != bbid:
cross_asset = SecurityMaster.get_asset(
cross, AssetIdentifier.BLOOMBERG_ID)
else:
cross_asset = asset
else:
raise MqValueError('Badly setup cross ' + asset.name)
ref_string, relative_strike = _preprocess_implied_vol_strikes_fx(
strike_reference, relative_strike)
if ref_string == 'delta':
if relative_strike == 0:
strike = 'DN'
option_type = OptionType.CALL.value
else:
if relative_strike > 0:
strike = str(relative_strike) + 'D'
option_type = OptionType.CALL.value
else:
strike = str(-relative_strike) + 'D'
option_type = OptionType.PUT.value
elif ref_string == VolReference.SPOT.value:
strike = 'Spot'
option_type = OptionType.CALL.value
elif ref_string == VolReference.FORWARD.value:
strike = 'ATMF'
option_type = OptionType.CALL.value
else:
raise MqValueError(
'unknown strike_reference and relative_strike combination')
tenor = _tenor_month_to_year(tenor)
s = implied_volatility_new(cross_asset,
tenor,
strike,
option_type,
location=location)
return s
def test_vol_fx():
replace = Replacer()
# for different delta strikes
replace('gs_quant.timeseries.measures.GsDataApi.get_market_data', mock_fx)
actual = tm.implied_volatility(Cross('MA123', 'ABCXYZ'), '1m',
tm.VolReference.DELTA_PUT, 50)
assert_series_equal(
pd.Series([5, 1, 2], index=_index * 3, name='impliedVolatility'),
actual)
actual = tm.implied_volatility(Cross('MA123', 'ABCXYZ'), '1m',
tm.VolReference.DELTA_PUT, 25)
assert_series_equal(
pd.Series([5, 1, 2], index=_index * 3, name='impliedVolatility'),
actual)
actual = tm.implied_volatility(Cross('MA123', 'ABCXYZ'), '1m',
tm.VolReference.FORWARD, 100)
assert_series_equal(
pd.Series([5, 1, 2], index=_index * 3, name='impliedVolatility'),
actual)
actual = tm.implied_volatility(Cross('MA123', 'ABCXYZ'), '1m',
tm.VolReference.SPOT, 100)
assert_series_equal(
pd.Series([5, 1, 2], index=_index * 3, name='impliedVolatility'),
actual)
# NORMALIZED not supported
with pytest.raises(MqError):
tm.implied_volatility(Cross('MA123', 'ABCXYZ'), '1m',
tm.VolReference.NORMALIZED, 25)
with pytest.raises(MqError):
tm.implied_volatility(Cross('MA123', 'ABCXYZ'), '1m',
tm.VolReference.SPOT, 25)
with pytest.raises(MqError):
tm.implied_volatility(Cross('MA123', 'ABCXYZ'), '1m',
tm.VolReference.FORWARD, 25)
# triggers error if empty and name does not contain '/'
replace('gs_quant.timeseries.measures.GsDataApi.get_market_data',
mock_fx_empty)
with pytest.raises(MqError):
tm.implied_volatility(Cross('MA123', 'ABCXYZ'), '1m',
tm.VolReference.DELTA_CALL, 25)
# checking if reverse cross data is available
replace('gs_quant.timeseries.measures.GsDataApi.get_market_data',
mock_fx_empty)
replace('gs_quant.markets.securities.SecurityMaster.get_asset',
mock_fx_switch)
xyz = Cross("MA1889", "XYZ/ABC")
assert tm.implied_volatility(xyz, '1m', tm.VolReference.DELTA_PUT,
25).empty
replace.restore()
def test_vol_fx():
replace = Replacer()
mock = Cross('MAA0NE9QX2ABETG6', 'USD/EUR')
xrefs = replace('gs_quant.timeseries.measures.GsAssetApi.get_asset_xrefs',
Mock())
xrefs.return_value = [
GsTemporalXRef(dt.date(2019, 1, 1), dt.date(2952, 12, 31),
XRef(bbid='EURUSD', ))
]
replace('gs_quant.markets.securities.SecurityMaster.get_asset', mock)
# for different delta strikes
replace('gs_quant.timeseries.measures.GsDataApi.get_market_data', mock_fx)
actual = tm.implied_volatility(mock, '1m', tm.VolReference.DELTA_CALL, 25)
assert_series_equal(
pd.Series([5, 1, 2], index=_index * 3, name='impliedVolatility'),
actual)
actual = tm.implied_volatility(mock, '1m', tm.VolReference.DELTA_PUT, 25)
assert_series_equal(
pd.Series([5, 1, 2], index=_index * 3, name='impliedVolatility'),
actual)
actual = tm.implied_volatility(mock, '1m', tm.VolReference.DELTA_NEUTRAL)
assert_series_equal(
pd.Series([5, 1, 2], index=_index * 3, name='impliedVolatility'),
actual)
actual = tm.implied_volatility(mock, '1m', tm.VolReference.FORWARD, 100)
assert_series_equal(
pd.Series([5, 1, 2], index=_index * 3, name='impliedVolatility'),
actual)
actual = tm.implied_volatility(mock, '1m', tm.VolReference.SPOT, 100)
assert_series_equal(
pd.Series([5, 1, 2], index=_index * 3, name='impliedVolatility'),
actual)
# NORMALIZED not supported
with pytest.raises(MqError):
tm.implied_volatility(mock, '1m', tm.VolReference.DELTA_CALL)
with pytest.raises(MqError):
tm.implied_volatility(mock, '1m', tm.VolReference.NORMALIZED, 25)
with pytest.raises(MqError):
tm.implied_volatility(mock, '1m', tm.VolReference.SPOT, 25)
with pytest.raises(MqError):
tm.implied_volatility(mock, '1m', tm.VolReference.FORWARD, 25)
replace.restore()